Course description
Interest Rate Derivatives Masterclass
The Interest Rate Derivatives Masterclass provides a comprehensive insight into the instruments that comprise the biggest derivatives market in the world.
If you need to know how a zero-curve and set of discount factors can be constructed, or how to price, value, and hedge swaps, caps and floors, swaptions, and cancellable swaps, then this course is ideal, especially as participants gain hands-on practice using ACF’s sophisticated pricing, analytical and trading software.
Who should attend?
Who Should Attend
Anyone working in fixed income or derivatives.
Prerequisites
An understanding of time value of money and bond math.
Training content
Interest Rate, Currency, and Asset Swaps
- Definitions and terminology
- Market participants and drivers
- Cash flows and timing
- LIBOR vs. SOFR swaps
- Quotation and dealing conventions
- Interest rate swaps: standard vs. non-standard swaps
- Currency swaps: fixed-fixed, fixed-float, float-float
- Asset swaps
- SEFs and central counterparties
- Hedging interest-rate risk
- Fixing financing costs
- Fixing investment returns
- Reducing financing costs
- Swap applications
Yield Curves and Zero-Coupon Pricing
- Yield curve math
- Zero-coupon rates
- Swap and par rates
- Forward rates
- Zero-coupon pricing
- Discount factors and the discount function
- Links between swap, zero & forward rates
- Calculating discount factors from market rates
- Deriving the discount function from market rates
- Pricing an FRA from the futures strip
Pricing and Valuing Swaps
- Swap valuation principles
- Valuing the fixed leg
- Valuing the floating leg
- Valuing a swap
- Pricing and valuing vanilla and non-standard swaps
- Sensitivity to movements in swap rates
- Cancelling or unwinding a swap
- Pricing SOFR swaps
- Credit exposure – measurement and management
- Hedging swaps
- Hedging swaps using strips of futures
- Swap risk compared for different types of swaps
Interest Rate Options
- Definitions and terminology
- Market participants and drivers
- How interest rate options differ from other options
- Interest rate guarantees (IRGs)
- Interest rate caps
- The term structure of volatilities
- Interest rate floors and collars
- Quotation and dealing conventions
- Principles of cap and floor pricing
- Pricing standard and non-standard caps
- Link between swap and forward rates
- Cap/floor parity
- Captions and floortions
- Swaptions
- Pricing swaptions
Interest Rate Derivative Structures
- Participating caps
- Step-up, step-down and ratchet caps
- Amortising, accreting, and rollercoasters
- Self-funding caps
- Cancellable and extendable swaps
- Creating a cancellable swap
Hedging with Interest Rate Derivatives
- Option hedging structures
- Establishing client objectives
- Determining pain thresholds and views
- Tailoring the hedge to match the need
- Reducing the cost of client hedges
- Designing innovative products and solutions
- Structuring a client I/R hedge
Costs
- New York: $2,300
- London: £1,825 (plus VAT)
- Virtual: £1,575 (plus VAT)
Certification / Credits
CPD: 14 hours
Learning Outcomes
By attending this course, you will:
- Gain a clear appreciation of the range of interest rate derivative products
- Understand how interest rate derivatives are priced
- Experience dynamic practical hedging and trading of the products
- Be more aware of interest rate risk issues and how to manage them
- Be able to create and deliver more relevant and innovative solutions
Why choose ACF Academy?
Over 100,000 professionals trained globally
Award-winning practical financial simulations
Consistently high ratings
About ACF Academy
ACF Academy
ACF Consultants are a global leader in providing practical and effective training for financial professionals. Leading banks, companies and financial institutions from all over the world partner with us to develop their people to achieve their goals. They trust our...
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ACF Academy
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