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Interest Rate Derivatives 1: Hedging and Managing Risk

Interest Rate Derivatives are an essential part of the financial marketplace. This programme 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 programme includes extensive practical exercises using Excel spreadsheets for valuation and risk management, which participants can take away for immediate implementation.

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  • Date:
  • 21st - 24th October 2019
  • Venue:
  • Cliftons Singapore - The Finexis Building
  • Fee:
  • US$1245 per day

This course is also available in London and New York

This course is FTS-Eligible* and also eligible for 32 CPD hours. GARP & CFA Institute members are eligible for 32 CE/CPD credits. See details

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

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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*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants' business activities or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.