A Masterclass in Derivatives (In-House)

IFF - International Faculty of Finance
Training overview
Corporate / Group Training
5 days
From 4,999 GBP

Start dates
4,999 GBP
Inquire for more information

Course description

A Masterclass in Derivatives (In-House)

  • Value and model of fixed income and equity-linked derivatives
  • Trade and structure options and manage the risks
  • Use integrated stochastic yield curve models
  • Use securitisation and hybrid corporate credit-risky securities
  • Use credit derivatives and credit risk models
Want to find out more?

COVID-19 Update

This provider offers an online version of their classroom courses

Training content

Yield Curve Derivatives: Hedging/Arbitraging Taxonomy, Markets Linkage & Overview

  • Risk measures, concept of volatility & modelspecific valuations
  • Decomposition into simpler (fixed, floating, contingent) cash flows

Forward Rate Agreements (FRAs)

  • FRAs, swaps & futures: convexity bias adjustment
  • Computer Workshop: FRAs cash flows

Fundamentals of Yield Curve Construction, Interest Rate Swaps & Micro-Structure

  • Computer Workshop: Swap fixed leg cash flows

Stochastic Floating Cash Flow Valuation (Some Key Results)

  • Valuing unknown LIBOR cash flows
  • Key strategic (static) replicating portfolio & exit strategies
  • Forward rate method & spot-forward parity
  • Principal (FRN, Synthetic Bond) Method

Swap Yield Curves & Zero-Coupon Valuation

  • Par money market (spot LIBOR) and swaps (forward LIBOR) rates
  • “Stripping” par-rates curve
  • “Bootstrapping” zero-coupon bond price curve
  • Audit checks: profit & loss: principal & forward rate methods
  • Effective yield-to-maturity, zero-coupon bond yield curve
  • Computer Workshop: Constructing annual swap
  • Stripping “special” one-year semi-annual equivalent par rate
  • Computer Workshop: Constructing semi-annual swap

Off-Market Swap Points

  • Linear, geometric (log-linear), exponential & spline interpolations
  • Computer Workshop: Exponential interpolation

Interest Rate Futures

  • Forward rate, futures price/rate, convexity adjustment
  • First futures stub rate, futures strip zero-coupon bond prices
  • Computer Workshop: Bootstrapping futures strip zeros
  • Integrating money, swap & futures curves
  • Computer Workshop: Incorporating futures strip prices

Principal Component Analysis (PCA) & Swap Pricing

  • Yield curves dynamics: Shifts, tilts & turns
  • Correlation, factor components & volatility (cone) surface

FX Currency Swaps

  • Equivalent bond positions
  • Equivalent forward exchange positions
  • Computer Workshop: Valuing FX currency swaps

Non-Standard & Off-Market Swaps

  • Amortising swaps, accreting swaps & rollercoaster swaps
  • Computer Workshop: Valuing existing off-market swaps
  • Pricing LIBOR-in-arrears (DRS) interest rate swaps
  • Limitations of forward rate method & volatility mode


  • Online course fee: £2999 + VAT if applicable
  • London course fee: £4999 plus VAT = £5998.80

About IFF

International Faculty of Finance - IFF Finance & IFE Energy - Specialist Training Courses

As one of the world's leading specialist financial training organisations, The International Faculty of Finance, provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage.  Established in 1991 we...

Read more and show all training delivered by this supplier

Contact this provider

Fill out your details to find out more about A Masterclass in Derivatives (In-House).

  Contact the provider

  Get more information

  Register your interest

Country *

Contact info

IFF - International Faculty of Finance

 Show phone number

Request Information

Have a question about this course? Fill out this form and the provider will get in touch with you shortly

View again
Supplier Directory
Join our Supplier Directory to:
- Gain Traffic
- Get Noticed
- Showcase Your Services
- Free Listing Available