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Swaps and Fixed Income Derivatives

Perfiliev Financial Training
Course summary
2 days
English
Full time
Professional Training
Next available date: Enquire for more information - Online courses
Course Dates
Online courses
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London
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Course description

Swaps and Fixed Income Derivatives

Valuation and trading of swaps, mortgages and credit tranches

In this two-day training course we will go in-depth into some of the more complex financial derivatives. We’ll explore interest rate swaps in great detail and discuss different valuation methods, including a dual-curve approach. We will then cover hot topics of the 2008 Financial Crisis, such as Credit Default Swaps, mortgages and the process of securitization.

This advanced course is aimed at those who have some understanding of bond markets and its key concepts. A basic level of derivatives knowledge is also recommended, although not required.

Suitability - Who should attend?

  • Private traders and investors, looking to learn about fixed income derivatives markets.
  • Professionals within the financial industry or those providing services to the financial sector.
  • Professionals performing financial functions in non-financial industries, such as corporate treasury, accounting, and investor relations.
  • Students, preparing for an upcoming internship or starting their careers in finance.
  • Anyone working in or looking to understand how fixed income derivatives work.

Outcome / Qualification etc.

What will you learn?

By the end of the course, you will:

  • Gain a solid understanding of interest rate swaps, credit default swaps and other fixed income derivative products.
  • Learn about hedging interest rate swaps with futures and how it gives rise to a convexity adjustment.
  • Explore the details of CDO tranches and how they are used in correlation trading.
  • Understand the complexities behind applying a dual-curve approve to pricing interest rate swaps.
  • Be able to explain the role of the clearing house in trading interest rate derivatives.
  • Become familiar with recent standardization of the Credit Default Swap market.
  • Appreciate how mortgages can be pooled together to create a diversified investment product.
  • Find out how swaps can be used to trade different parts of the interest rate curve.
  • Explore how Credit Default Swap indices are used to insure a portfolio of issuers.
  • Become confident when dealing with fixed income derivatives.
  • And much more!

What will you get upon completion?

  • Formal completion certificate.
  • Course notes and materials.
  • Follow-up support – ability to ask questions and seek further clarification, if needed.
  • 20% OFF any future courses you wish to attend.

Training Course Content

Day 1:

  • Treasury and Bond Futures:
    • Quotation conventions.
    • Deliverable bond.
    • Conversion factors.
    • Cheapest to deliver bond.
  • Eurodollar Futures:
    • Short Term Interest Rates (STIR).
    • Mechanics of Eurodollar futures.
    • Pricing interest rate futures.
    • Hedging IRS with futures.
    • Forward Rate Agreement (FRAs).
    • Convexity adjustment.
  • Interest Rate Swaps (IRS):
    • Comparative advantage theory.
    • Swap pricing and valuation.
    • Cross-currency swaps.
    • Rate-quoted and fee-quoted swaps.
    • Spread and fly trades.
    • Role of the clearinghouse.
    • Managing a portfolio of IRS.

Day 2:

  • OIS, Libor and Dual-Curve Pricing:
    • Counterparty risk and collateralization.
    • How much collateral is enough?
    • LIBOR-OIS spread.
    • Dual-curve approach.
  • Interest Rate Options:
    • Interest rate caps and floors.
    • Payer and receiver swaptions.
    • Exercising a swaption.
    • Cancellable and extendable swaps.
  • Credit default swaps (CDS):
    • Mechanics of a CDS contract.
    • Credit events.
    • Protection buyers and sellers.
    • Credit curve.
    • Standardized premiums.
    • Credit indices and Portfolio CDS.
  • Mortgages and Securitization:
    • Process of securitization.
    • Senior, mezzanine and equity tranches.
    • CDOs and correlation trading.
    • Mortgage-backed securities (MBS).
    • Agency issuers.

About provider

Perfiliev Financial Training

Perfiliev Financial Training specialises in delivering high-quality training programs, covering a wide range of topics within the fascinating world of financial markets. We believe that education and learning should be engaging, exciting and even entertaining and we prepared our courses...


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