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New York Institute of Finance

Derivatives Professional Certificate

Available dates

Nov 18—22, 2019
5 days
New York, New York, United States
USD 3899
USD 779 per day
Nov 18—22, 2019
Online
USD 3899
Mar 2—6, 2020
Online
USD 3509
+6 more options

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About the course

Develop a comprehensive, practical understanding of derivative instruments including market conventions, contract specifications, valuation, trading strategies and the regulation of derivatives markets.

Prerequisite knowledge:

  • Intermediate MS Excel skills (use solver, etc.)
  • Basic probability
  • Basic calculus
  • Some knowledge of equity markets
  • Knowledge of fixed income basics

CURRICULUM

Day 1

MODULE 1: FORWARDS & FUTURES

  • Standardized versus customized contracts
  • Margin & daily settlement
  • Clearing firms
  • End users & producers
  • Speculators & arbitrageurs
  • How market participants use futures

MODULE 2: SHORT-TERM FINANCIAL FUTURES

  • Forward rate agreements (FRA's)
  • Value of a basis point in FRA's
  • Eurodollar futures
  • Value of a basis point in ED Futures
  • FRA’s vs. ED Futures

MODULE 3: LONG-TERM FINANCIAL FUTURES

  • Treasury bond futures
  • Basket deliverable futures
  • Conversion factors
  • Cheapest-to-Deliver

MODULE 4: HEDGE ACCOUNTING FOR FORWARDS AND FUTURES

  • Fair value and cash flow hedges
  • Basis and hedge ineffectiveness

Day 2

MODULE 1: SWAP FUNDAMENTALS

  • Swaps as portfolios of forward contracts
  • Example: Commodity swaps
  • Physical vs. cash settlement
  • Market value of a swap

MODULE 2: INTEREST RATE SWAPS: THE BASICS

  • Essential fixed income arithmetic
  • Value of a floating rate note
  • Par coupon rates
  • Vanilla interest rate swaps
  • Swap curves (term structures) and spreads

MODULE 3: INTEREST RATE SWAPS: ADVANCED TOPICS

  • Eurodollar futures, FRA's and interest rate swap pricing
  • Forward starting swaps
  • Constant maturity swaps
  • Amortizing and accreting swaps
  • Overnight index swaps
  • ISDA documentation

Day 3

MODULE 1: TAXONOMY OF SWAP CONTRACTS

  • Basis swaps
  • Currency swaps
  • Total return swaps
  • Equity swaps
  • Accrual swaps
  • The Bankers Trust - Proctor & Gamble leveraged swap

MODULE 2: CREDIT SWAPS

  • Credit risk arithmetic
  • Single-name credit default swaps (CDS)
  • ISDA credit definitions
  • CDS market conventions
  • The CDS - cash basis

MODULE 3: ASSET SWAPS

  • Par asset swaps
  • Market asset swaps
  • Asset swap spreads vs. CDS spreads

MODULE 4: APPLICATIONS

  1. Why swap rates?
  2. Speculating with interest rate swaps
  3. Managing portfolio risk with equity swaps
  4. Hedging credit risk
  5. Regulation and evolving market structure for swaps

Day 4

MODULE 1: CONTRACT TERMS AND CONDITIONS

  • Option Terminology
  • Contract Terms, Payoff Profiles & Break-evens

MODULE 2: INPUTS INTO OPTION PRICING MODELS

  • Asset price
  • Strike price
  • Time to expiration
  • Interest rates
  • Dividends
  • Volatility

MODULE 3: MARKET PARTICIPANTS AND STRATEGIES

  • Unlevered portfolio managers: Buy write, put write
  • Speculators: Vertical spreads and earnings speculation
  • Earnings announcements speculation

Day 5

MODULE 1: OPTION PRICING

  • Probability: essential concepts
  • Normal and log-normal random variables
  • Pricing models: Binomial and Black-Scholes-Merton

MODULE 2: RISK MANAGEMENT

The Greeks: Delta, Gamma, Theta, Vega, Rho and Psi

MODULE 3: RISK ARBITRAGE TRADING STRATEGIES

  • Calendar spreads
  • Yield curve spreads
  • Volatility trading

MODULE 4: HEDGE ACCOUNTING FOR SWAPS AND OPTIONS

  • Time decay
  • Hedge ineffectiveness
  • Cash flow hedges using interest rate swaps
  • Fair value hedges using options

MODULE 5: DESK READY SKILLS KNOWLEDGE CHECK

WHAT YOU'LL LEARN

  • Learn to price forward and futures contracts
  • Be familiar with futures contract specifications and market conventions
  • Understand the valuation of a variety of swap contracts
  • Learn how to extract credit risk measures from CDS spreads and asset swap spreads
  • Understand common trading strategies using futures, forwards, swaps and options
  • Develop a conceptual understanding of the Black-Scholes-Merton option valuation model
  • Use option sensitivities (the Greeks) to determine the impact of changing model parameters on option prices
  • Understand basic hedge accounting using futures, forwards, swaps and options

Who should attend

  • Asset managers
  • fund managers
  • risk managers
  • treasury analysts
  • regulators
  • auditors
  • controllers and financial journalists

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