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Interest Rate Derivatives - Advanced
This two-day course is designed to follow on fromIntroduction to Derivatives (including Futures, Forwards, Options & Swaps). 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.
Suitability - Who should attend?
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.
Outcome / Qualification etc.
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
- Computer based exercise – valuing the cancellation of a swap using the created yield curve
- Computer based exercise – calculating forward rates
- Swaps and the interrelationship between bond and swap markets (hedging swaps)
- Applications of swaps in debt liability management and asset management
- Creating synthetic liabilities
- Case study – analysing and understanding new issue swaps
- Creating synthetic assets
- Mechanics of pricing and structuring asset swaps
- Computer based exercise – valuing an asset swap on a par/par basis
- 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
- Cross-currency swaps
- Generic cross-currency swaps
- Valuation of cross-currency swaps
- Basis swaps
- Interest rate options
- Caps, floors and collars
- Construction of a zero-cost collar
- Case study – comparing caps, collars and swaps
- European and Bermudan 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
- Case study – understanding portfolio VAR
- Measuring credit exposure
"A CPD certificate of completion will be provided by BPP Professional Education Limited upon request, following attendance."
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BPP Professional Education is one of the specialist examination-based and professional development training arm of the BPP Group, Europe's biggest professional education and publishing provider with 2,000 staff members across 40 countries and over 30,000 students per year. BPP Professional Education...