Advanced Interest Rate Derivatives

Euromoney Learning
Training overview
Professional Course
3 days

Course description

Advanced Interest Rate Derivatives

Interest Rate Derivatives are an essential part of the financial marketplace. This intensive three-day programmed, Advanced Interest Rate Derivatives, will teach you advanced techniques to use, price, manage and evaluate interest rate and cross-currency derivatives.

The first day of the course explores interest rate swaps, from terminology, settlement and clearing through to modern yield curve construction and cross-currency swaps. We will then proceed to examine interest rate options, exotics and structured products in detail.

This hands-on course contains a healthy mix of theory and client applications, which are illustrated and examined through real-life examples, practical exercises and group discussions.

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Training content

Why attend this course?

  • Gain familiarity with modern multi-curve interest-rate derivatives pricing
  • Learn how to build and analyze yield curves and then bootstrap the discount curve
  • Improve your understanding of interest rate derivatives documentation, clearing and settlement
  • Discuss potential customer applications of interest rate swaps
  • Review formal swaps pricing, from par rates to discount curves and forwards
  • Understand the mechanics of a cross-currency swap (CRX) and the drivers of the
  • CRX basis spread

Summary of course content:

Day 1

  • Interest rate derivatives
  • Swaps and cross-currency swaps
  • Modern yield curve construction

Day 2

  • Interest rate options and exotics
  • CMS and applications
  • Structured products

Day 3

  • Constant maturity swaps
  • Modelling interest-rate volatility
  • The impact of stochastic volatility
  • SABR

About Euromoney Learning

Euromoney Learning

At Euromoney Learning, we understand that learning doesn’t start and end when you leave the classroom. We know that the financial markets never stand still, and that technology has both simplified and added complexity at a break-neck pace. That’s why...


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Euromoney Learning


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