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| Interest
Rate Derivatives | View All In-house Training Agendas |
| Pre-Course
Online Study |
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Interest Rate
and Financial Maths Recap |
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Fixed Income
Concepts |
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Risk Concepts,
Futures and Options |
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Swaps |
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| Post-Course
Online Study |
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Cross Currency
and Exotic Interest Swaps |
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Swaption and
Bond Options |
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Applications |
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| This programme focuses on the central importance of
yield curves in interest rate derivative pricing, examining
the concepts, theory and practice of yield curve construction.
It also looks in detail at exchange-traded interest rate
derivatives, OTC interest rate derivatives and embedded
option securities. |
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- Overview of Interest Rate Derivatives
- OTC products, swaps and options
- Exchange traded products, futures and
options
- Embedded derivative securities, structured
notes
- Interest rate optionality in other products,
CBs, MBS etc
- Interest Rate Option Pricing
- Problems with using price-based models
- Lognormal (short rate) model
- Black Derman Toy
- Path-dependent options
- Monte Carlo simulation
- Interest Rate Swaps
- Plain vanilla
- Non LIBOR indices
- Swaps with embedded optionality
- Forward start swaps
- Non-constant notional
- Review of Fundamental Concepts and Yield Curves
- The yield curve
- Defining the yield curve
- Functions of the yield curve
- Pricing and valuation using yield curves
- Par and zero coupon rates
- Forward interest rates
- Pricing and valuation using zero coupon
discount factors
- The Swap Yield Curve - Zero Coupon Yield Curve
Estimation
- Sources of interest rate data
- Bootstrapping cash and swap rate data
- Using the futures and FRA markets
- Deriving zero coupon discount factors
- Properties of zero coupon discount function
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- Practical Issues in Yield Curve Modelling
and Implementation
- Interpolation and smoothing techniques
for yield curves
- Maintaining an arbitrage free yield curve
- Liquidity considerations in yield curve
modelling
- Exchange Traded Interest Rate Derivatives
- Deposit futures / options
- Bond futures options
- Effective duration and convexity of futures
contracts
- OTC Interest Rate Derivatives
- Caps, floors
- Swaptions
- Bond options
- Exotic interest rate options
- Embedded Option Securities
- Callable fixed rate and capped floating
rate bonds
- Structured notes
- Special index FRNs
- Dual currency bonds
- Quantos
- Accrual notes
- Examples / Case Studies
- Ratchet, quanto, digital, CMS / CMT structures
- Single currency and cross currency
“The trainer is a wonderful instructor
with a great deal of market experience and
knowledge. He is definitely the right man
for the job”
Sales Associate,
ABN Amro |
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