Financial mathematics and interest calculation
From simple interest to the valuation of an interest rate swap
Basics
1 day
EUR 1.750,- plus VAT.
Bernhard Kastner
Senior Manager
Schwabe, Ley & Greiner
Peter Schmid
Manager
Schwabe, Ley & Greiner
Content
Even if calculation tasks in treasury are largely performed by systems, a basic understanding of the mathematics behind them is absolutely necessary for a deeper understanding. To this end, the seminar teaches the different types of interest calculation (simple, exponential, mixed interest) and provides the tools to recalculate the banks' interest calculations according to different interest rate conventions (such as Actual/360 or 30/360). On this basis, an example is calculated for the valuation of bonds and an interest rate swap.
Main topics
Basics
- What are the tasks of the cash manager in the company?
- What are the minimum standards to be taken into account in the organizational structure & process organization?
- What are the differences in the accounting or treasury perspective? Which business management approaches do you need to understand?
- What are the requirements vis-à-vis banks?
- What are the current trends in cash management for large and small companies?
Simple interest calculation and compound interest calculation
- What is the difference between simple interest and exponential interest (compound interest) and where do they apply?
- How do you calculate the final principal, interest rate, initial principal, or term from the other information?
Day Counting Methods
- How to calculate interest with 30/360 or Act/360 etc.?
- How to apply the ISDA formula for days calculation?
- What conventions are common in different markets?
Forward interest rates
- What is a forward rate and where is it applied?
- How to derive and calculate a forward interest rate?
Valuation of future cash flows
- How can the present value of future cash flows be determined?
- How is the present value of a fixed or floating rate bond calculated?
Valuation of an interest rate swap
- What is an interest rate swap and where is it used?
- How can Excel be used to calculate the present value of an interest rate swap?
Group of participants
Employees and managers working in risk management as well as corporate account managers from banks who want to learn about their clients' day-to-day business from their perspective
Targets
Students will learn the different types of interest rates (simple, exponential, mixed), be able to recalculate different interest rate conventions (Actual/360, 30/360), and evaluate bonds and interest rate swaps.
Do you have any questions?
Marc Baumgärtner
Seminar organization
Treasury Training
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