Interest Rate Derivatives 2: Structured Products
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The trainer, Davidad, is very well organized. He shows you the material with intuition. This is an excellent course for practitioners.
← | →
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The course pretty enjoyable because it was well-presented. was useful to discuss about exotic products in detail, and get a better handle on their uses and features. The exercises in-class were particularly useful.
← | →
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The topics are very advanced and presented in a simple way. David's knowledge of markets and structures is amazing. The exercises are very valuable to understand the complex derivatives.
← | →
Short course
In London
Use and manage structured interest rate derivatives!
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Type
Short course
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Location
London
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Duration
2 Days
A comprehensive workshop on pricing and managing structured 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 programme 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. 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.
This course is also available remotely via LFS Live.
Facilities
Location
Start date
Start date
About this course
- Learn how to build up second generation IRDs from vanilla products and thereby hedge and manage the risk in these structures
- Explore how to use second generation and structured products in the design of risk management strategies
- Gain an intuitive understanding of convexity and timing adjustments needed in the valuation of second generation derivatives
- Understand the role of correlation and volatility in the pricing and structuring of second generation IRDs
This course is designed for anyone who wishes to be able to price, use and manage second-generation interest rate derivatives:
- Risk Managers
- Asset Managers
- Financial Engineers
- Traders and Structurers
- Researchers and others who manage interest rate risk
A good understanding of vanilla interest rate derivatives is an essential prerequisite for this course.
Reviews
-
The trainer, Davidad, is very well organized. He shows you the material with intuition. This is an excellent course for practitioners.
← | →
-
The course pretty enjoyable because it was well-presented. was useful to discuss about exotic products in detail, and get a better handle on their uses and features. The exercises in-class were particularly useful.
← | →
-
The topics are very advanced and presented in a simple way. David's knowledge of markets and structures is amazing. The exercises are very valuable to understand the complex derivatives.
← | →
Course rating
Recommended
Centre rating
Former Student
Former Student
Former Student
Former Student
Former Student
Neil Huatan
Former Student
Former Student
This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 16 years
Subjects
- Derivatives
- Swaps
- Bermudan Swaptions
- CMS
- Libor
- SABR
- Hedging
- LIA
- Interest Rate derivatives
- Market
- Quantitative Analysts
- Risk Managers
- Financial Engineers
Teachers and trainers (1)
David Cox
Teacher
Dr David Cox has wide practical experience of the financial markets and an international reputation as a teacher of high-level courses. His career includes ten years in banking, primarily with Bank of America Capital Markets. After leaving the City, he joined the staff of London Business School, where he set up the financial markets seminar programme, did research and maintained an active external teaching and consultancy practice. Dr Cox is the founding director of London Financial Studies.
Course programme
Variations on the normal swap: Libor in Arrears
- Basic structure
- Why use swaps with Libor set in arrears
- LIA and the yield curve
- Hedging LIA
- Introduction to convexity adjustments and timing corrections
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
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
- 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
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
- 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
Interest Rate Derivatives 2: Structured Products