Interest Rate Derivatives are an essential part of the financial marketplace. This programme 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 programme 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

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

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.