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

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