Advanced Swaps Course

Location: Available Globally

Dates: Open date - Open date

Duration: -

Price:

The Aim of this course is to provide participants with the skills and techniques necessary to understand, analyse, assess and utilise the Swaps market. We will address non-generic and exotic swap products, terminology, pricing methodology, risk management and product applications. By the end of this course, participants will be able to: Understand the key concepts of yield curve modelling Apply and use interest rate derivatives effectively Price and hedge Interest Rate Swaps Price Exotic Swaps Calculate the risks and rewards of swaps market Structure Interest Rate Options into Structured Bonds Comprehend the CDS market Methodology Teaching methodology will include discussions, casework, exercises and computer-based exercises Course categories:Derivatives Inhouse, Structured Products Inhouse
COVERED TOPICS

Day One: Broad introduction to the Swaps Market Evolution of the Swap Market Main uses of Swaps Examples of the concept of Comparative Advantage Some market statistics Building the Yield Curve Zero coupon yield curve approach Yield curve construction using a futures strip and par swap rates Bootstrapping a curve from market data The Yield Curve applied to pricing swaps Short-term Money Market Swaps Estimation of Forward rates Pricing a FRA Hedging a FRA with a pair of Deposit Futures contracts Measuring hedge effectiveness Pricing a short-term swap using a futures strip *Exercises:* *Complete the pricing and hedging of the Swap* *Demonstrating hedge effectiveness* Pricing Non-generic Swaps Generic IRSs and their relationship to bond markets Valuing the floating side Valuing the fixed side Components of the swap spread Valuation using forwards method Compare with a notional principal approach Pricing simple non-generic swaps using implied forwards Forward start, amortising, etc. Rollercoaster *Exercise: Pricing simple non-generic Swaps* Pricing Cross-Currency Swaps Pricing and Valuation of Cross Currency Swaps Generic and non-generic cross currency swaps Cross currency coupon swaps Pricing and valuation of cross-currency basis swaps; pricing bias Basis point conversion factors; PVBP conversion matrix Basis point conversion factors		Day Two: Liability Swaps Single Market Exposure: Interest Rates Using company reports to Identify and quantify the risks and opportunities Identify possible sources of internal or external conflict Using derivatives to improve the risk-return trade-off Selling it all to the clients – and to their shareholders Counterparty credit exposure *Case Study: Transportation (British Airways and a European Company)* Asset Swaps How significant is the business Looking at the drivers and spreads Using notional principals Structuring and pricing methodologies for asset swaps Par/par asset swap Yield/yield asset swap Yield Curve Shift – Z spread analysis *Exercise: Valuing an Asset Swap* Swap Trading How to manage a portfolio What risks do you want to run – understanding Value at Risk (VaR) Yield curve arbitrage Delta neutral curve trading Relative value and directional trading strategies Hedging and Arbitrage Creating a delta-sensitivity ladder of a swap portfolio Building an Equivalent Portfolio Hedging a Swap Portfolio Practical Issues of Swap risk management *Case study: Demonstrating an effective hedge for a portfolio* Day Three: Interest Rate Options – The Greeks The volatility trader – how they review their positions Delta hedging and its dynamics Delta and Gamma Rho, Theta, Vega Volatility trades – straddles, strangles *Case Study: Understanding delta hedging* Applications of Interest Rate Options in Structured Bonds Concept and Rationale Key Structural Features Value Aspects Capped and Floored Floaters Range floaters and leveraged floaters Reverse FRNs Callable bonds European and Bermudan style swap options Pricing: Black model Option Embedded Swaps Callable and puttable swaps Switchable swaps, accrual swaps Applications: structured (callable, puttable)bonds; call monetisation Index amortising swaps *Case Study: Comparing Caps, Collars and Swaps* Advanced Swaps and Options Different types of exotic option Volatility trades – straddles, strangles Volatility and correlation effects Inflation swaps Pricing and valuing inflation swaps Constructing an inflation swap curve Applications of inflation swap Constant Maturity swaps *Case Study: Use combinations to achieve desired view* Credit Default Swaps Understanding the CDS market Pricing a CDS Understanding the relationship with Asset Swaps Review both Sovereign and Corporate CDS pricing The relationships between Credit Spreads Reverse engineering a Credit Linked Notes *Case Study: An analysis of Structured Products understanding the components*

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Location: Available Globally
Event date: Open date - Open date
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Phone: +44 208 133 5917

Advanced Swaps Course

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