Fundamentals of Swaps

This course allows you to apply your knowledge to real-life situations straight away via the use of practical software programmes that you will utilise to complete a number of tasks and exercises. The dissection and financial engineering of some structures will be undertaken which will help you unlock the ìblack boxî behind the products. Agenda Summary ï Broad Introduction to the Swaps Market ï Short-Term Money Market Swaps ï Futures ï The Yield Curve Applied to Pricing Swaps Building the Yield Curve ï Pricing Cross-Currency Swaps ï Swap Trading ï Liability Swaps ï Single Market Exposure: Interest Rates ï Asset Swaps ï Discounting in a Collateralised World ï Interest Rate Options - The Greeks ï Applications of Interest Rate Options in Structured Bonds ï Advanced Swaps and Options ï Credit Default Swaps ï How to Measure Counterparty Credit Risk ï Credit Valuation Adjustment (CVA) Case Studies ï Hedging a FRA with a pair of Deposit Futures contracts ï Understanding portfolio VAR and hedging ï Analysing the comparative advantage of swaps ï Comparing Caps, Collars and Swaps ï Understanding the sensitivities of caps, floors and collars ï Understanding inflation swaps ï An analysis of structured products understanding the components Computer-Based Exercises ï Valuing the cancellation of a swap using the created yield curve ï Calculating forward rates ï Valuing forward positions ï Quoting extensions to a customer ï Valuing an asset swap on a yield/yield basis, par/par basis and adjusting for funding costs ï Bootstrapping an EONIA curve, deriving the projected Euribor. Swap pricing from that curve ï Understanding delta hedging ï Pricing a CDS