PURPOSE

To provide modern techniques for evaluation and simulation of interest rates term structures with emphasis on applications to the Brazilian market.

 MAIN TOPICS

. Calculation of interest rate volatility
. Main components
. Behavior of ET in Brazil
. Design of the preset and foreign exchange term structure
. Data extraction: bootstrapping and fitting of term structure
. Factors which affect ET
. Sources of spot rates: interest rate futures (DI and FRA) and SWAP
. Fixed income instruments and marking to market
. Interpolation: linear, flat forward, C-spline and Nelson-Siegel
. Monte Carlo Method applied to ET
. Factor models
. What is term structure of the interest rate?
. Simulation of term structure
. Types of interest rates
. Volatility and distribution of ET probability