Training Courses

Advanced Swaps Workshop

Category: Derivatives

Course level: Advanced

In house

This 3-hour workshop course is designed to provide a detailed explanantion of the structure of swaps contracts, their pricing and how they are used in institutional client portfolios and retail funds.

It is assumed that all delegates have attended, or are familiar with, the concepts of the Introduction to Futures, Introduction to OTC Derivatives and Introduction to Options modules.

Case studies form an integral part of the course, to allow the delegates to consolidate the information and provide the basis for group discussions

Objectives

By the end of the workshop, delegates will have a better understanding of:

  • the concept of time value of money
  • discounting cash flows
  • how to construct the zero coupon curve
  • how to value swaps using the zero coupon curve
  • risks involved in using swaps

Length

3 hours

Course Content

Financial maths

Time value of money
Nominal and effective interest rates
Day count conventions
Worked example: Calulating the present value of a cashflow
Worked example: Converting a semi-annual rate to an annual rate

Interest Rate Swaps

IRS recap
Valuing LIBOR cashflows


Zero coupon pricing

Calculating the discount function
Constructing the zero coupon curve – bootstrapping
The futures/FRA strip
Valuing a swap using the zero coupon curve
Case study: Constructing the zero curve and valuing a swap

Swaps risk management

Factors affecting swap pricing / valuation
Interest rate risk
        Modified duration
        PV01
Curve risk
Swap spread risk
Effect of corporate actions on total return / equity swaps

This course would be suitable for:

  • Finance and accounting
  • Investment administration and operations
  • Investment professionals
  • IT and software developers
  • Legal & Compliance
  • Risk management

This course would be suitable for these exams:

  • CFA - Level 2
  • CFA - Level 3
  • IMC
  • SII Certificate - Derivatives
  • SII Certificate - Financial Derivatives Module
  • SII Certificate - Securities & Financial Derivatives
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