FIRST FINANCE - Financial training courses - London - New York - Singapore - Hong Kong - Masterclass

VALUING INTEREST RATE PRODUCTS
(CASH AND DERIVATIVES)

Programme combining online and in-class training

Programme in 6 phases. The first 5 phases alternate:

1st stage of individual work preceding the seminar in the form of self-assessment quizzes, online consultations of technical sheets and e-learning modules

One-day course: revisions, lectures and case studies

2nd stage of individual work postseminar:
quizzes, case studies and exercises in EXCEL™ (accessible online after the seminar)

Phase 6 consists in bestowing a FIRST FINANCE certificate to delegates who have successfully completed the programme.

Trainees may take the evaluation tests more than once. What is important is that the knowledge be truly acquired.

This programme is linear. Delegates will have to follow the phases in their sequential order.

	Master the valuation of bonds
	Master the valuation of FRAs, short and long term futures and standard and exotic swaps
	Master swap sensitivity calculation
	Master the valuation and calculation of interest rate option sensitivities
	Gain an understanding of risk measurement (VaR)
	Practical financial modelling in EXCEL™

Anchor knowledge and skills using:

an appropriate rhythm of preparation, training and practice

an alternated use of educational methods: e-learning, small group sizes, exercises in EXCEL™, case studies, simulations, MCQ

Gain state-of-the-art practical skills

Validation via tests and an official FIRST FINANCE certificate

	Fund managers
	Senior middle and back office personnel
	Salespeople, financial intermediaries
	Financial departments
	Risk divisions
	IT staff
	Company treasurers
	Institutional investors

TYPE OF TRAINING	TOPICS	DURATION
PHASE 1: Valuing Bonds
Quiz	Self-assessment	20 min
E-learning + quiz	Bond markets	60 min
Pre-reading	Index bonds	30 min
Seminar Day 1	Bond valuation methods and sensitivity analysis in EXCEL™	1 day
Summary Quiz		30 min
Exercise 1	Accrued interest calculation, price/yield ratio. Calculation of sensivity, duration and convexity of bonds	45 min
Exercise 2	Hedging a bond portfolio with long-term futures	45 min
PHASE 2: Valuing FRAs, Short-Term Futures and modelling interest rate swaps
Quiz	Self-assessment	15 min
E-learning + quiz	FRAs and short-term futures	60 min
E-learning + quiz	Interest rate derivatives	50 min
Pre-reading	FRAs, interest rate swaps and currency swaps	45 min
Seminar Day 2	Valuing non-option derivatives and construction of a pricing spreadsheet in EXCEL™	1 day
Summary Quiz		20 min
Exercise 1	Euribor futures strip	30 min
Exercise 2	Calculate a mark-to-market in EXCEL™	30 min
PHASE 3: Valuing CIRSs and plain vanilla and exotic option sensitivities
Quiz	Self-assessment	15 min
Pre-reading	Quanto swaps, CMS, Libor-in-arrears swaps	30 min
Seminar Day 3	Valuing CIRSs and swap sensitivities	1 day
Summary Quiz		20 min
Exercise 1	Price a currency swap in EXCEL™	30 min
Case study	Case study of convexity: hedging a CMS	45 min
PHASE 4: Valuing interest rate options and calculating their sensitivities
Quiz	Self-assessment	15 min
Pre-reading	Non-vanilla caps/floors	30 min
Seminar Day 4	Valuing options and option sensitivities and construction of a pricing spreadsheet in EXCEL™	1 day
Summary Quiz		20 min
Exercise 1	Valuing futures options and their sensitivity	30 min
Exercise 2	Valuing swaptions and their sensitivity	30 min
PHASE 5: VaR calculation methods
Quiz	Self-assessment	15 min
Pre-reading	Value-at-Risk	40 min
Seminar Day 5	VaR calculation methods	1 day
Summary Quiz		20 min
Exercise 1	Calculate the VaR of a bond portfolio	30 min
Exercise 2	Calculate the VaR of standard options	30 min
PHASE 6: Certification by FIRST FINANCE
Bestowal of FIRST FINANCE certificate to successful delegates
TOTAL: 50 h 00

(No prior mathematical knowledge required)

DAY 1
VALUING BONDS

Revision of mechanics and uses of bonds

Price, yield, duration, sensitivity and convexity

Practical Workshop

Construct a bond pricer in EXCEL™

Calculating a mark-to-market value

Credit spreads

Mechanics and uses of long-term futures

Practical Workshop

Use futures to hedge the sensitivity and duration of a bond portfolio

Day 2
VALUING FRAs, SHORT-TERM FUTURES AND MODELLING INTEREST RATE SWAPS

Forward rate curve applied to 3-month Euribor futures

Valuing FRAs

Zero-coupon curve and discount factor calculation

Modelling the floating leg of a swap

Valuing interest rate swaps (IRSs)

Practical Workshop

Construct a swap pricer in EXCEL™

Day 3
VALUING CIRSs AND STANDARD AND EXOTIC SWAP SENSITIVITIES

Basis swaps and other CIRSs

Practical Workshop

Price a fixed-fixed CIRS at an off-market rate in EXCEL™

Calculating global sensitivities by maturity

Equivalent futures contracts

Definition and pricing of an asset swap

Risk factors of exotic swaps: quanto swaps, constant maturity swaps, Libor-in-arrears swaps

Introduction to convexity in exotic swaps

Day 4
VALUING INTEREST RATE OPTIONS AND CALCULATING THEIR SENSITIVITIES

Mechanics of interest rate options: futures options, swaptions, caps/floors (vanilla and exotic)

Practical Workshop

Price standard options in EXCEL™

Futures options

Implied volatility

Volatility smile

Analysing sensitivities (Greeks) in relation to the underlying and maturity (delta, gamma, theta) and volatility (vega)

Analysing an option position's mark-to-market value and market risk management techniques

Option strategies (straddle, bull spread, etc.)

Day 5
VaR CALCULATION METHODS

Risk factors - Risk measurement

Mark-to-market results

Revision of probability (normal distribution, kurtosis, variance, correlation)

Value-at-Risk (VaR)

Parametric VaR

Practical Workshop

Apply VaR calculations to forex and interest rate markets