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Interest Rate Derivatives 1: Hedging and Managing Risk

Interest Rate Derivatives are an essential part of the financial marketplace. This program will equip you to use, price, manage, and evaluate interest rate and cross-currency derivatives.

The course starts with the building blocks of money markets and futures, through yield curve building to interest-rate and cross-currency swaps, options, and structured products. The approach is hands-on and learning is enhanced through many practical exercises covering hedging, valuation, and risk management. This course also includes sections on XVA, documentation, and settlement.

The program includes extensive practical exercises using Excel spreadsheets for valuation and risk management, which participants can take away for immediate implementation.

  • Date:
  •  1st -  4th April 2019
  • Venue:
  • Manhattan - New York
  • Fee:
  • US$1245 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 London and Singapore

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 including:

  • 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 modern multi-curve interest-rate derivatives pricing
  • Learn how to build a yield curve from alternative instruments, and then bootstrap discount factors and forward curves
  • Explore the relationship between futures, forwards, and FRAs
  • Understand the four equivalent expressions of a yield curve: par curve, zero curve, discount curve, and projection curve
  • Construct hedges using futures, swaps, and bonds
  • Price and revalue swaps
  • Learn how to value and hedge a swap portfolio
  • Structure asset and liability (new issue) swaps
  • Price and structure cross-currency swaps
  • Understand documentation, credit, and settlement including XVA
  • Learn Option fundamentals and the “Greeks”
  • Design, price, and use caps, floors, collars, and swaptions
  • Understand and structure combinations of derivative products

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Prior Knowledge

Basic knowledge of Microsoft Excel and a general understanding of fixed-income markets are assumed. Some of the important basic topics in bond maths are covered briefly at the beginning of the course.

Comprehensive teaching on fixed income markets and bond maths takes place in the LFS Fixed Income Markets and Analytics course.


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