Day One
The building blocks
-
The nature of interest rates
-
Basis periodicity and compounding
-
The time value of money
-
Forward rates and discount factors
-
Sensitivity and duration
The essentials of futures & FRAs
-
Managing short term interest rate risk
-
FRA settlement and cash flow calculations
-
Position DV01
-
Short term Interest rate Futures
-
Contract details
-
Margining
-
Globex
-
Simple hedges using FRAs and Futures
-
Comparison: Forwards, FRAs, Futures
-
Futures, FRAs and convexity
Workshops: applying the basics, hedging interest rate risk
Day Two
Yield curves and how to build them
-
Why a yield curve
-
Building zero curves manually
-
Linear and spline interpolation
-
Overnight Index Swaps
-
Multiple OIS Discounting
-
Building an OIS curve
-
Libor forward curves
Interest rate swaps
-
Definitions and history
-
Today's market
-
Single currency basis swaps
-
Cash flows and pricing for zero NPV
-
Revaluation and buyout
-
Amortising and accreting structures
-
Hedging
-
SWAP Clearing
Workshops: yield curve building, swap pricing and valuation
Day Three
Currency and asset swaps
-
Swaps and forward FX
-
Basis swaps
-
Conversion factors
-
Pricing and structuring currency swaps
-
Using and pricing par and proceeds asset swaps
Interest rate options: caps and floors
-
Definitions and structure
-
Determination of prices
-
Volatility and its effects
-
Hedging factors
-
Black’s model and limitations volatility smile
-
SABR & stochastic volatility
Workshops: using currency swaps, valuing caps and floors
Day Four
Using and marketing combinations
-
Cap-floor-swap mix
-
Zero cost collars
-
Participating caps
-
Market developments
Interest rate options - swaptions
-
Caps and swaptions
-
Payer/ Receiver spreads
-
Spreads and skew
-
Risk Reversals
-
Constructing callable swaps
-
Hedging factors
Workshops: evaluating the alternatives, using swaptions
