User Login

Error
Home Courses Course Calendar Teaching Team About Us Resources Contact
Close

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

  • Live interaction with LFS faculty from anywhere in the world
  • Real classroom experience without the inconvenience of travel
  • World class teaching from the comfort of your preferred location

Please contact us for more information.

Course Calendar Course Calendar

Interest Rate Derivatives 2: Structured Products

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 its 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



Keep me updated about this course

Submit