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Interest Rate Derivatives 2: Second Generation Techniques

in London Financial Studies (England)

Classes Course

Place:

London

Price:

£2,100 + VAT Special offers 

Duration:

2 Days

Start:

16/02/2009 calendar
See course programme

Requirements:

A good understanding of vanilla interest rate derivatives is an essential prerequisite for this course. see more

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Course objectives:

A comprehensive seminar on pricing and managing second generation interest rate derivatives. This intensive seminar is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps and Quantos. Seminar groups are kept small and more than half of the course is devoted to practical workshops.

London Financial Studies

<strong>London Financial Studies</strong> is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that...

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Course details

Type Course Duration 2 Days
Method / place Contact course provider Inhouse / Classes in London where
Suitability * Quantitative Analysts * Risk Managers * Financial Engineers * Traders and Structurers * Researchers and others who manage interest rate risk
Course objectives A comprehensive seminar on pricing and managing second generation interest rate derivatives. This intensive seminar is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps and Quantos. Seminar groups are kept small and more than half of the course is devoted to practical workshops.
Requirements
A good understanding of vanilla interest rate derivatives is an essential prerequisite for this course.
Price £2,100 + VAT
Special offer
Request this special offer here
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Course programme

Interest Rate Derivatives 2: Second Generation Techniques
Interest Rate Derivatives 2: Second Generation Techniques

A comprehensive seminar on pricing and managing second generation interest rate derivatives.  
 
What used to be called exotic interest rate derivatives are now commonplace and an essential part of the financial marketplace.  
 
This intensive seminar is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps and Quantos. Seminar groups are kept small and more than half of the course is devoted to practical workshops. The exercise answers include fully worked scenario spreadsheets containing relevant Excel functions and macros for participants to take away.

Day One Variations on the normal swap: Libor in Arrears
 
  • Basic structure

  • Why do swaps with Libor set in arrears

  • LIA and the yield curve

  • Hedging LIA

  • Introduction to convexity adjustments and timing corrections
    Workshops: The impact of volatility on LIA value
     
    Introduction to correlation: Quantos
     

  • Description of quanto structures

  • Why use quanto swaps

  • Relative yield curve trades and carry

  • Determinants of value

  • Hedging

  • The importance of correlation and its limitations

  • Measuring correlation
    Workshops: Pricing and using Quantos
     
    Day Two Review of Swaption Volatility
     

  • Interpreting swaption volatility (basis point/lognormal)

  • Smile and Skew with Normal and Lognormal assumptions

  • How “Vol of Vol” explains smile and skew

  • The SABR model and it’s benefits
    Using CMS: The Impact of Volatility
     

  • Constant Maturity Swaps and their uses

  • CMS for asset/liability management

  • CMS structures in a flat yield curve environment

  • Steepeners and CMS spread options

  • CMS caps

  • Hedging CMS with a portfolio of swaptions

  • The interaction between CMS and swaption volatility
    Workshops: Using and structuring Steepener notes
     
    Range Accruals
     

  • Examples of typical range accrual products and how they are used

  • The link with Libor caps and floors

  • Hedging digital options

  • The impact of yield curve shape

  • The importance of volatility

  • Libor and CMS range accruals

  • Call features
    Bermudan Swaptions
     

  • What Bermudans are for and how they work

  • Users and uses of Bermudan swaptions

  • The relationship between Bermudan and European swaptions

  • Issues in pricing and hedging Bermudans
    Workshops: Structured Notes
    • see the full course programme

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    Teachers/ trainers

    profesorado David Cox


    Dr. David Cox has wide practical experience of the financial markets and an international reputation as a teacher of high-level short courses to the financial sector. His career includes ten years in banking, primarily with Bank of America Capital Markets. After leaving The City he joined the staff
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    Venues and dates



    Where London, 34 Curlew Street, Butlers Wharf see map
    When Start: 16/02/2009 Finish: 17/02/2009 See calendar
     
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    On London Financial Studies

    Provider description
    <strong>London Financial Studies</strong> is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
    Advantages of studying with London Financial Studies
    At <strong>London Financial Studies</strong> we concentrate exclusively on capital markets. We offer individuals, teams and companies a unique and expert teaching resource that combines theoretical understanding with practical experience and equips them to operate at the highest levels of efficiency and profitability.

    Our business is driven by a distinct philosophy and clear values:
    Practical Application Intellectual Clarity Personal Approach Economic Value
    Course provider history
    In the past decade London Financial Studies has become widely acclaimed as one of the best teaching resources for capital markets practitioners. Over that time we have delivered a diverse range of programmes to individuals, major financial institutions and government bodies worldwide.

    The <strong>London Financial Studies</strong> ethos of combining excellent and effective teaching grounded in sound theory as well as relevant and practical real-world experience is a direct result of the experience of the founder, David Cox.

    During his career in banking, he became aware of the acute need for high quality teaching relating to capital markets. After leaving the City he joined the London Business School and set out to develop techniques and materials to meet this need. The result was a series of short courses for practitioners: The Financial Markets Seminar Programme. London Financial Studies has refined the approach and uses the same methodology throughout its programme.
    Specialises in
    Credit Econometrics Equity Fixed Income and Inflation General Capital Markets Mathematics Other Asset Classes Quantitative Techniques

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