SLG Financial Mathematics and Interest Calculation 2021 - Vienna | Schwabe, Ley & Greiner | 14 April 2021 | Schwabe, Ley & Greiner GmbH - Online, Gertrude-Fröhlich-Sandner-Strasse 3, 1100 Vienna, Austria

Even if arithmetic tasks in the treasury are largely performed by systems, a basic understanding of the mathematics behind them is essential for a more in-depth understanding. In addition, the seminar teaches the different types of interest (simple, exponential, mixed interest) and provides the tools to recalculate the interest calculations of the banks according to different interest conventions (such as Actual / 360 or 30/360). An example for the valuation of bonds and an interest rate swap is calculated on this basis.

Main Topics:

• Simple interest and compound interest calculation
- What is the difference between simple interest and exponential interest (compound interest) and where are these used?
- How do you calculate the final capital, the interest rate, the initial capital or the term from the other information?

• Day counting methods
- How do you calculate interest with 30/360 or Act / 360 etc.?
- How do you use the ISDA formula for the daily calculation?
- Which conventions are common in different markets?

• Forward rates
- What is a forward rate and where is it used?
- How can you derive and calculate a forward interest rate?

• Assessment of future cash flows
- How can one determine the present value of future cash flows?
- 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 the present value of an interest rate swap be calculated with Excel?

2021 Speakers

Bernhard Kastner
Manager at Schwabe, Ley & Greiner

Peter Schmid
Senior Consultant at Schwabe, Ley & Greiner