Interest Rate Derivatives: Hedging And Managing Risk

Interest Rate Derivatives: Hedging And Managing Risk

INTEREST RATE DERIVATIVES: Hedging and Managing Risk
Course Outline :
A comprehensive seminar on pricing and managing interest rate derivatives.
This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough grounding in these instruments.

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 and currency swaps including: Directors, treasurers, dealers and trainees Corporate finance and investment managers Accountants, auditors and IT personnel Derivatives marketing executives, consultants, advisors and brokers  

Course Objectives:
Explore the relationship between futures, forwards and FRAs Build a zero coupon yield curve Construct hedges Price and revalue swaps Structure asset and debt swaps Design, price and use caps, floors, collars and swaptions Structure and market combinations of derivative products Use these instruments for taking positions or hedging exposures  

Course Programme*
Day One
The building blocks


The nature of interest rates
Basis periodicity and compounding
The time value of money
Forward rates and discount factors
Sensitivity and duration

The essentials of futures & FRAs


The instruments
Comparative advantages
Futures FRAs and convexity
Hedging short-term rate moves
Practical applications

Workshops: applying the basics, hedging interest rate risk
Day Two
Yield curves and how to build them


Why a yield curve
Building zero curves manually
Linear and spline interpolation

Interest rate swaps


Definitions and history
Today's market
Cash flows and pricing for zero NPV
Revaluation and buyout
Amortising and accreting structures
Hedging

Workshops: yield curve building, swap pricing and valuation
Day Three
Currency and asset swaps


Swaps and forward FX
Basis swaps
Conversion factors
Pricing and structuring currency swaps
Using and pricing par and proceeds asset swaps

Interest rate options: caps and floors


Definitions and structure
Determination of prices
Volatility and its effects
Black's model and assumptions
Hedging factors

Workshops: using currency swaps, valuing caps and floors
Day Four
Using and marketing combinations


Cap-floor-swap mix
Zero cost collars
Participating caps
Market developments

Interest rate options - swaptions


The mechanics
How values are determined
Pricing models and assumptions
Caps and swaptions
Hedging factors

Workshops: evaluating the alternatives, using swaptions

* Subject to change. Please contact the centre for more details.

This program is eligible for 32 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.