Interest Rate Derivatives - Advanced

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
• Swaptions
• 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."