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| COURSE OUTLINE |
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| Mathematical revision |
 | Convex functions
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| Taylor formula |
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| Revision of Swap and Bond Pricing Essentials |
| Intuitive and quantitative approach
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| Yield at par
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| Forward rate - Estimating future Libors |
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| Hedging a Portfolio: the Duration/Convexity Method |
| Hedging via sensitivity and duration: futures
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| Hedging via zero-coupons: cash-flow matching
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| Practical workshop
. Numerical comparison of the actuarial and zero-coupon methods |
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| Valuation of Standard and Non-Vanilla Swaps |
| Zero-coupon valuation via short-term futures and swap rates
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| Double notional method: similarity between bond and swap portfolios
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| Valuing Interest Rate Swaps (IRS)
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| Valuing Currency Swaps (CIRS)
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| Valuing exotic swaps: quanto swaps, constant maturity swaps, Libor-in-arrears swaps
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| Sensitivity of standard an exotic swaps |
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| Problems Raised by Convexity |
| Limitations of duration hedging
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| Problems linked to hedging with futures (short and long-term)
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| Bond convexity: how to hedge duration and convexity
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| Practical workshop
. Value a bond with the cash flow method or by duration/convexity |
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| Exotic Swaps Convexity: CMS, Libor in arrears |
| Underline the issues with exotic swaps convexity
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| Elements impacting the calculation of adjustment factors
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| Practical workshop
. Demonstrate and calculate CMS convexity |
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