Interest Rate Derivatives 2: Structured Products

London Financial Studies
Training overview
2 days
Next start date: Please contact LFS for more details - New York City
On-site / Company-specific

Course description

Interest Rate Derivatives 2: Structured Products

Interest Rate Derivatives 2: Structured Products Executive Education- 2 Day Course

A comprehensive and practical workshop on pricing, using, 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 either as legacy transactions or embedded in new structures.

This intensive program 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, Range Accruals, 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.

Who should attend?

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
  • Quantitative Analysts
  • Researchers and others who manage interest rate risk

Training Content

This 2-day Interest Rate Derivatives 2: Structured Products course covers a wide range of material and topics. The course content is structured as follows:

Day One

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

Workshop: Pricing and using Quantos

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

Using CMS: The Impact of Volatility

  • 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

Workshop: Using and structuring Steepener notes


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

Bermudan Swaptions

  • 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

Workshop: Structured Notes

Costs

The cost of the Interest Rate Derivatives 2: Structured Products distance training course is available upon request.

Certification / Credits

London Financial Studies is registered with CFA and GARP Institute as an Approved Provider of continuing education programs. GARP & CFA Institute members attending this course are eligible for 16 CE/CPD credits.

About London Financial Studies

London Financial Studies

Global markets move quickly, evolving continuously and deepening in complexity. Over the past decades London Financial Studies has provided specialist executive education programs and short courses focused exclusively on global capital markets. Preparing only the highest quality and most relevant...


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