Figured I would post an update on the type of work I'm doing now. As I mentioned before I'm supporting a corporate Treasury department and recently we ran into a valuation issue with a IR Cap we put on to hedge some IR risk for our floating debt. Right now the value the system is calculating for the NPV is way off from what Bloomberg calculates and what the bank is valuing the cap at as end of March. It's off pretty significantly actually and we don't know why exactly. This is important as it opens us up for an audit deep dive into how the system is valuing these instruments. This is only an issue with this specific cap so it's most likely a data issue. 

There's no way I could have even begun to understand this issue without the CFA curriculum. If you recall IR caps from derivatives(I know, your favorite subject), you'll remember that a IR cap is essentially a call option on an interest rate. You pay a premium to a dealer(investment bank typically) and in turn you receive payments whenever the reference interest rate goes above the strike price. IR Caps are usually structured as a series of caplets, each with expiration dates corresponding to the payments to be made on the instrument you're hedging(in this case floating debt payments). They are used typically to place a ceiling on your floating debt payments and for companies with less than a sterling credit rating, are usually one of the few options available to you to hedge your floating debt exposure. Swaps typically require better credit history. 

IR Caps are valued using the Black-Scholes model typically. I won't go into the gory details here. 

This is as close as I've come to actually using the material in real life, excluding some of the basic accounting knowledge I've had to use from time to time. The great thing is, I can actually speak to these guys intelligently vs the deer in the headlights look that most IT people give them when trying to explain this.