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Can't travel? Don't want to travel? LFS LiveLFS 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 at info@londonfs.com.

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Interest Rate Derivatives 3: Structuring

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 course is for anyone who wishes to be able to use, price, manage, market or evaluate standard interest rate derivatives such as Constant Maturity Swaps, Range Accruals and Quantos. We also look in detail at such important products as CMS spread-linked structures and volatility/variance swaps, always from a pragmatic practitioner’s perspective.

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  • Date:
  • Venue:
  • This course is only available via LFS LiveLFS Live
  • Fee:
  • £1145 per day
    £3435 total

This course is also available in New York Time Zone and Singapore Time Zone

Who The Course is For

This course is designed for anyone who wishes to be able to price, use, market, manage or evaluate interest rate derivatives.

  • Interest-rate sales / traders / structurers / quants and relevant IT personnel
  • Bank Treasury and other Asset Liability Management executives
  • Central Bank and Government Treasury / Funding managers
  • Insurance Company investment managers
  • Fixed Income portfolio managers
  • Company finance executives and Investment Bankers
  • Risk managers, finance, IPV professionals, auditors and accountants
Learning Objectives
  • Gain familiarity with advanced option products traded in the rates world
  • 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
  • Understand the replicating strategy behind variance swaps
Prior Knowledge

Basic knowledge of Microsoft Excel, a broad understanding of fixed-income markets and basic knowledge of Interest Rate Swaps and Futures is assumed.

Comprehensive teaching on fixed income markets and bond maths takes place in the Fixed Income Markets & Analytics course; comprehensive teaching on Interest Rate Swaps and Futures takes place in Interest Rate Derivatives and Swaps.


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