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Interest Rate Derivatives 2: Structured Products

London Financial Studies
Course summary
English
Corporate Training for Teams
Next available date: Enquire for more information - Online courses
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Worldwide
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Course description

Structured Products - 2 day course in Interest Rate Derivatives

A comprehensive and practical workshop on pricing, using and managing structured interest rate derivatives.

What used to be called exotic interest rate derivatives are now commonplace and an essential part of the financial marketplace either as legacy transactions or embedded in new structures.

This intensive programme is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps, Range Accruals and Quantos. Groups are kept small and more than half of the course is devoted to practical workshops. The exercise answers include fully worked scenario spreadsheets containing relevant Excel functions and macros for participants to take away.

Leaning Objectives:

  • Learn how to build up second generation IRDs from vanilla products and thereby hedge and manage the risk in these structures
  • Explore how to use second generation and structured products in the design of risk management strategies
  • Gain an intuitive understanding of convexity and timing adjustments needed in the valuation of second generation derivatives
  • Understand the role of correlation and volatility in the pricing and structuring of second generation IRDs

Can't travel? Don't want to travel? LFS Live brings the class to you!

  • Live interactive training from world renowned practitioners in the comfort of your own home
  • Real classroom experience without the inconvenience of travel
  • World class teaching from the comfort of your preferred location

Please contact us for more information.

Suitability - Who should attend?

This Structured Products training course has been designed for anyone who wishes to be able to price, use, hedge and manage second-generation interest rate derivatives, in particular:

  • Risk Managers
  • Asset Managers
  • Financial Engineers
  • Traders and Structurers
  • Quantitative Analysts
  • Researchers and others who manage interest rate risk

Course requirements: A good understanding of vanilla interest rate derivatives

Training Course Content

This Interest Rate Derivatives 2: Structured Products training course provides a thorough exploration of relevant issues as outlined here:

Day One

Variations on the normal swap: Libor in Arrears

  • Basic structure
  • Why use swaps with Libor set in arrears
  • LIA and the yield curve
  • Hedging LIA
  • Introduction to convexity adjustments and timing corrections

Workshop: The impact of volatility on LIA value

Introduction to correlation: Quantos

  • Description of quanto structures
  • Why use quanto swaps
  • Relative yield curve trades and carry
  • Determinants of value
  • Hedging
  • The importance of correlation and its limitations
  • Measuring correlation

Workshop: Pricing and using Quantos

Day Two

Review of Swaption Volatility

  • Interpreting swaption volatility (basis point/lognormal)
  • Smile and Skew with Normal and Lognormal assumptions
  • How “Vol of Vol” explains smile and skew
  • The SABR model and it’s benefits

Using CMS: The Impact of Volatility

  • Constant Maturity Swaps and their uses
  • CMS for asset/liability management
  • CMS structures in a flat yield curve environment
  • Steepeners and CMS spread options
  • CMS caps
  • Hedging CMS with a portfolio of swaptions
  • The interaction between CMS and swaption volatility

Workshop: Using and structuring Steepener notes

Range Accruals

  • Examples of typical range accrual products and how they are used
  • The link with Libor caps and floors
  • Hedging digital options
  • The impact of yield curve shape
  • The importance of volatility
  • Libor and CMS range accruals
  • Call features

Bermudan Swaptions

  • What Bermudans are for and how they work
  • Users and uses of Bermudan swaptions
  • The relationship between Bermudan and European swaptions
  • Issues in pricing and hedging Bermudans

Workshop: Structured Notes

Why choose London Financial Studies

Established 1997

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About provider

London Financial Studies - Capital Markets Learning

Exclusive training for Capital Markets & Investment Bankers in Europe, Americas and Asia Pacific

London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...


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London Financial Studies

34 Curlew Street
SE1 2ND London

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www.londonfs.com


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