Course list

Interest Rate Derivatives 2: Structured Products

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 programme is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps, Range Accruals and Quantos. Groups are kept small and more than half of the course is devoted to practical workshops. The exercise answers include fully worked scenario spreadsheets containing relevant Excel functions and macros for participants to take away.

  • Date:
  • 18th - 19th April 2018
  • Venue:
  • Central London and remotely via LFS LiveLFS Live
  • Fee:
  • £1345 per day


  • You might be eligible for preferential rates. Please contact us to check if your company is a member of the LFS Global Client Programme.

This course is also available in New York and Singapore

Who The Course is For

This course is designed for anyone who wishes to be able to price, use, hedge and manage second-generation interest rate derivatives, in particular:

  • Risk Managers
  • Asset Managers
  • Financial Engineers
  • Traders and Structurers
  • Quantitative Analysts
  • Researchers and others who manage interest rate risk

Learning Objectives

  • 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

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Prior Knowledge

A good understanding of vanilla interest rate derivatives at a level covered in the LFS Interest Rate Derivatives 1 course is an essential prerequisite for this course.


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