Swaps I & II

New York Institute of Finance

How long?

  • 2 days
  • in person, online

What are the topics?

New York Institute of Finance

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Who should attend

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

About the course

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

This course is a component of the Derivatives Professional Certificate.

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: 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 2

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

  • Why swap rates?
  • Speculating with interest rate swaps
  • Managing portfolio risk with equity swaps
  • Hedging credit risk
  • Regulation and evolving market structure for swaps

** WHAT YOU'LL LEARN**

  • 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 swaps

Swaps I & II at New York Institute of Finance

From  $1,503

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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.

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