Interest Rate Swap-Derivative Pricing in Python

from Harbourfront Technologies · host Harbourfront Technologies

We are going to provide an example of interest rate swap pricing in Python. We are going to use the USD Libor swap curve as at December 31 2018. Note that we utilize the deposit and swap rates only and ignore the futures prices in the bootstrapping process. The values of the fixed, floating legs and the interest rate swap are calculated using a Python program. http://tech.harbourfronts.com/derivatives/interest-rate-swap-derivative-pricing-python/

Episode metadata supplied by the publisher feed · Published Apr 11, 2019

Embed this episode

Attribution link and audio player

Ready to play

Interest Rate Swap-Derivative Pricing in Python

0:00 2:32

1×

No transcript for this episode yet

We transcribe on demand. Request one and we'll notify you when it's ready — usually under 10 minutes.

Share this episode

Similar Episodes

No similar episodes found.

Similar Podcasts

Build Amazing Things (securely) Laura Bell Main Featuring guests from around the world and builders of some of the most exciting technologies on earth, join us as we explore the world of innovation and technology and what we need to do as engineers to keep it safe and secure. HCI Growth Catalyst HCI Podcast Network Welcome to ”HCI Growth Catalyst,” the podcast dedicated to exploring the transformative power of Learning and Development (L&D) within organizations. In each episode, we dive deep into the world of L&D, uncovering innovative strategies, best practices, and real-life success stories that propel businesses forward. From cultivating a culture of continuous learning to leveraging cutting-edge technologies, we leave no stone unturned when it comes to fostering growth and development. Join me as we engage in thought-provoking conversations with industry experts, renowned thought leaders, and seasoned practitioners who have witnessed firsthand the profound impact of L&D on organizational success. We explore topics such as leadership development, employee training, talent management, and organizational change, offering practical insights and actionable strategies that you can implement immediately. Whether you’re an HR professional, a learning enthusiast, or a business leader passionate abo Workforce Insights with Employ Milwaukee Employ Milwaukee Milwaukee’s workforce development ecosystem constantly adapts to change as it responds to economic disruptions, new technologies, socioeconomic disparities, and now the impact of a global pandemic. Over the next decade, change will be even more dramatic, opening a whole new spectrum of possibilities around the notion of work and what both workers and employers need to be successful. Join workforce leaders from the public and private sectors, as they discuss insights, trends, challenges, and solutions. If you want to learn more about the opportunities we can embrace to ensure equity, expand job readiness, and catalyze collaboration among stakeholders, this podcast is for you!Hosted by Ausha. See ausha.co/privacy-policy for more information.

Frequently Asked Questions

How long is this episode of Harbourfront Technologies?

This episode is 2 minutes long.

When was this Harbourfront Technologies episode published?

This episode was published on April 11, 2019.

Can I download this Harbourfront Technologies episode?

Yes. Use the download control on the episode player to save the publisher-provided media file.

URL copied to clipboard!