Interest Rate Derivatives - Advanced

Pricing Cost for BPP PD Members: £910.00 + VAT : 12 CPD Hours (£2020.00 + VAT for non BPP PD Members - Click here for details of our membership scheme.) Skip to Course Dates and Booking

Course level

Advanced

Delegates

This course will be of benefit to those who need a deeper understanding of the pricing and hedging of swaps and options, and typical structures of swap and option combinations.

Course Content

This two-day course is designed to follow on from the Understanding Swaps and Derivatives Introduction courses. A basic understanding of swaps and options is therefore assumed. The course is designed to be highly interactive and relies on several Excel based case studies to develop a detailed understanding of interest rate derivatives and their applications.

Learning outcomes include obtaining a greater understanding of:

• Valuation of Interest Rate Swaps
• Theory of the time value of money
• Yield curve modelling and term structure of interest rates
• Yield curve modelling using derived zero-coupon rates
• Constructing the implied forward curve
• Swaps and the interrelationship between bond and swap markets (hedging swaps)
• Applications of Swaps in Debt Liability Management and Asset Management
• Creating synthetic liabilities
• Creating synthetic assets
• Mechanics of pricing and structuring asset swaps
• Structured product asset swaps (FRNs, MTNs, callable assets)
• Non-generic Swaps – Structuring Pricing and Applications
• Amortising and accreting swaps
• Step-up coupons, zero coupons
• Forward starting swaps
• Pricing and Valuation of Cross Currency Swaps
• Generic cross-currency swaps
• Pricing and valuation of cross-currency swaps
• Pricing and valuation of coupon swaps
• Pricing and valuation of basis swaps
• Interest Rate Options
• Caps, floors and collars
• Construction of a zero-cost collar
• Swaptions
• European and Bermudan options
• Digital options
• Option Embedded Swaps
• Cancellable/callable swaps
• European and Bermudan structures
• Pricing and valuation
• Swap Portfolio Risk Management
• Interest rate risk buckets
• Present Value of a Basis Point (PVBP)
• Using Value-at-Risk to Measure and Manage the Credit Exposure of Swap Transactions
• VaR Basics
• VaR methods (parametric and non-parametric)
• VaR applications
• Monte-carlo technique
• Measuring credit exposure

Course Dates

Location	Dates	Time	Availability
London	04 - 05 Oct 2020	9:00 AM - 5:00 PM	Spaces	Book Now