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Euromoney Learning Solutions

Non-option Derivatives Products

Oct 21—23, 2019
3 days
USD 4495
USD 1498 per day

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A guide to derivatives instruments & markets management

This course forms Module 1 (Days 1 - 3) of the 5 day School of Derivatives

  • Module 1: Non-option Derivatives Products (Days 1-3)
  • Module 2: Options & Structured Products (Days 4-5)

Course overview

This 3 day course looks into non-option derivatives products in equity, FX and interest rates although the majority of the discussion will focus on the last two asset classes.

The module starts with the short term derivatives markets and details how the basic building block of all derivatives – a forward contract – is derived for different asset classes. Participants will then move on to the longer term markets and gain a practical understanding of how interest rate and cross currency swaps are used, priced and traded. A focus of this module will be the link between interest rate derivatives and the fixed income markets. Risk management methodologies used by investment banks will also be explored. Discussions will be had as to how the classical approach to pricing has been challenged following the crisis. The new approach adopted by banks and clearing houses will be covered. Participants will use an Excel based swap pricer for pricing and risk management exercises.

Counterparty credit risk has in recent years become a hot topic in derivatives. Certain significant changes in regulations and pricing methodologies in the derivatives market are the direct consequence of dealing with counterparty credit risk. A session will be devoted to provide an overview of this topic.


The School uses interactive lectures, worked examples and real-world case studies showing how the products are used and the underlying rationale. Participants will be expected to work on a large number of case studies to enhance the learning process.


Day 1

Overview of derivatives markets

  • defining derivatives and the common formats
  • categorising the risks of trading derivatives
  • trading venues: OTC vs exchange trading
  • the rise of central clearing parties

Pricing forwards: the building blocks of all derivatives

  • calculating FX and equity forwards
  • decomposing the market risk elements of a forward trade
  • Non-deliverable FX forwards (NDF)

Short term interest rate derivatives

  • forward rate agreements and futures
  • managing short term interest rate risk

Interest rate swaps

  • mechanism and cash flow structures
  • intuitive understanding of marking-to-market a swap
  • applications in bond issuance
  • asset swaps

Case studies for Day 1

  • Estimating the price of a long term FX forward and understanding the components that affect its value
  • Hedging a bond issuance using an interest rate swap

Day 2

Swaps pricing and curves construction: building a swap pricer

  • traditional boot-strapping
  • incorporating tenor basis for different Libor tenors
  • post-crisis market practice: OIS discounting and the rationale behind it
  • market instruments required to build a valuation curve
  • overview of a new benchmark: Secured Overnight Financing Rate (SOFR)

Swaps risk management

  • PV01 and swap portfolio management
  • risk profiles of different structures
  • new risk reporting under OIS discounting

Swaps trading strategies utilising the PV01 concept

  • directional trading
  • yield curve trading
  • basis trading

Case studies for Day 2

  • Building a swap pricer in Excel
  • Pricing various swap structures both by using the pricer and by some intuitive estimation

Day 3

Cross currency swaps (CCS) and currency basis

  • CCS and foreign bond issuance
  • drivers of currency basis
  • pricing long term FX forwards by incorporating the currency basis
  • risk profiles of different structures
  • overview of curve construction incorporating the currency basis

Counterparty credit risk of derivatives

  • basic mitigation strategies: credit limit, netting, margining, etc
  • collateral management and the Credit Support Annex (CSA)
  • overview of current regulatory requirements

Case studies for Day 3

  • Pricing a foreign bond issuance using a cross currency swap
  • Managing collateral under a CSA


Goliath Lau has over 13 years of trading experience in the financial derivatives industry. After a brief period as an officer in the back office, he became a HKD and USD interest rate derivatives and government bond trader at HSBC Hong Kong in 1995. As a market maker of HKD interest rate derivati...


Detailed Description
Detailed Description

Next dates

Oct 21—23, 2019
3 days
USD 4495
USD 1498 per day

How it works

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