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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, market, and evaluate interest rate and cross-currency derivatives.

The course starts with the building blocks (money markets and futures), through interest-rate and cross-currency swaps, to options and structured products. The approach is hands-on and learning is enhanced through several practical workshops covering hedging, valuation, and risk management.

More than half of the program is devoted to exercises using Excel spreadsheets for valuation and risk management, which participants can take away for immediate implementation.

Course Objectives

  • 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
  • Structure asset and liability (new issue) swaps
  • Price and structure cross-currency swaps
  • Design, price and use caps, floors, collars, and swaptions
  • Structure and market combinations of derivative products
  • Date:
  •  3rd -  6th December 2018
  • Venue:
  • Manhattan - New York
  • Fee:
  • US$1215 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, Singapore, Frankfurt and Sydney

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 traders and structurers
  • Junior quants, risk-control, and IPV professionals
  • Directors, treasurers, and dealers
  • Corporate finance and investment managers
  • Accountants, auditors, and IT personnel
  • Derivatives marketing executives, consultants, advisors, and brokers

Learning Objectives

  • Gain familiarity with modern multi-curve interest-rate derivatives pricing
  • Learn how to value and hedge a swap portfolio
  • Price and structure derivative products using caps, floors, and swaptions
  • Learn how to build a yield curve from alternative instruments, and then bootstrap discount factors and forward curves

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Prior Knowledge

Basic knowledge of Microsoft Excel and some general understanding of fixed-income markets is assumed, but the basics are covered in detail at the start making the course accessible to a wide audience.


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