Using Excel to Value Derivatives

ACF Academy
Training overview
Professional Course
Classroom, Virtual Classroom
1 day
From 800 GBP
1,150 USD

Start dates
New York City
1,150 USD

925 GBP

800 GBP

Course description

Using Excel to Value Derivatives

The Using Excel to Value Derivatives course is an intensive one-day course that gives participants expertise in using Excel to value and price a range of derivative products that includes swaps, options, and credit derivatives.

What really sets our program apart is the way in which we explain, step-by-step, how to create real-world pricing models within Excel. Our approach demystifies the complexities and really brings the topics to life.

Participants will have access to fully working derivatives valuation spreadsheets, and will be able to download these for their own use after the seminar is over.

Who should attend?

Who Should Attend

Anyone who needs to understand the pricing and valuation of derivatives using Excel.


A good working knowledge of Excel, and a basic understanding of derivatives.

Training content

Valuing Interest Rate Swaps

  • Swap valuation principles
  • Valuing a swap
  • Sensitivity to movements in swap rates
  • LIBOR vs. SOFR swaps
  • Pricing and valuing vanilla and non-standard swaps

Valuing Options

  • Introduction
  • Programming the Black-Scholes model and variants
  • Converting from market to continuously compounded rates
  • Creating an initial model
  • Handling limit and extreme inputs
  • Creating an improved model

Valuing Credit Default Swaps

  • An intuitive approach to CDS pricing
  • Calculating CDS premiums
  • Obtaining CDS premiums from default probabilities
  • Converting between premiums running and points up-front
  • The ISDA CDS Standard Model
  • Bootstrapping default probabilities from CDS premiums


  • New York: $1,150
  • London: £925 (plus VAT)
  • Virtual: £800 (plus VAT)

Certification / Credits

CPD: 7 hours

Learning Outcomes

By attending this course, you will:

  • Explore how Excel can be used to create accurate and effective models for valuing derivatives
  • See how some of the practical hurdles can be overcome
  • Bridge the gap between finance theory and financial practice

Why choose ACF Academy?

Over 100,000 professionals trained globally

Award-winning practical financial simulations

Consistently high ratings

About ACF Academy

ACF Academy

ACF Consultants are a global leader in providing practical and effective training for financial professionals. Leading banks, companies and financial institutions from all over the world partner with us to develop their people to achieve their goals. They trust our...

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Contact info

ACF Academy

28 King Street
EC2V 8EH London

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