Interest Rate Derivatives

Euromoney Learning Solutions

How long?

  • 2 days
  • in person

What are the topics?

Euromoney Learning Solutions

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About the course

Learn fundamentals of interest rate derivatives, swaps & yield curves

This course represents Module 1 of Advanced Derivatives

  • Day 1 Interest rate derivatives, swaps and cross-currency swaps, modern yield curve construction
  • Day 2 Interest rate options and exotics, CMS and applications, structured products

The emphasis is on a healthy mix of theory and client applications, and is illustrated throughout with real-life examples and case-studies.

Agenda

Day 1 Interest Rate and Cross-Currency Swaps

Interest rate swaps

  • Quotation and terminology
  • Drivers of yield curve shape and level
  • Understanding swap spreads

Settlement and clearing

  • OTC versus central clearing
  • The ISDA Master and the role of the CSA
  • Collateral and netting
  • Briefly on CVA adjustments

Customer applications

  • Using swaps to hedge debt issuance
  • Asset swaps
  • Curve trades and other proprietary positions

Formal swaps pricing

  • From par rates to discount curves and forwards
  • Bootstrapping the discount curve
  • The choice of the discount curve – why OIS?
  • Tenor basis and projection curves
  • Modern yield curve construction

Cross-currency swaps

  • Mechanics of a CRX swap
  • Understanding the drivers of the CRX basis spread
  • Customer applications  

Day 2 Interest Rate Options

Caps, floors and collars

  • Mechanics and settlement

Swaptions

  • Structure and mechanics
  • European versus Bermudan settlement

Constant maturity swaps

  • Mechanics, quotation and settlement
  • Understanding the convexity adjustment
  • Model-independent replication and hedging of the convexity
  • Applications in liability-management

Understanding the volatility surface

  • Drivers of the skew and smile
  • Normal versus lognormal vol, CEV models, shifted lognormal
  • Introduction to stoch vol and SABR

Introduction to interest rate modelling

  • Single-factor models
  • Mult-factor models and the LMM

Structured products

  • Callable bonds
  • Embedding options for yield-enhancment: capped FRNs, reverse floaters
  • Corporate liability management

Interest rate exotics and structured products

  • Digitals and range accruals
  • Target redemption structures

CMS spread-linked

Experts

Videos and materials

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Interest Rate Derivatives at Euromoney Learning Solutions

From  3495 EUR$3,889

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.