Training offers a powerful tool for disseminating and deploying your strategy. Contact our sales team to see how we can assist you in conveying your vision.
Market conventions and regulations, role of key players
Documentation
Trading platforms
Collateralisation
Mechanics and pricing fundamentals of non-conditional derivatives
FRAs
Futures
Interest Rate Swaps, FX swaps, CIRS
Non-vanilla swaps: Quanto swaps, CMS, Libor-in-arrears
Asset swaps
Mechanics and risk parameters of conditional derivatives
Revision: option characteristics
Behaviour of sensitivities (Greeks)
The case of swaptions and caps & floors
Comparative study of volatilities for various interest rate markets
Volatility surface
Fundamentals of the structuring of first generation products
Mechanics and uses
Optimisation via arbitrage
Adequation: anticipations and commercial strategies
Analysis of term sheets
Comparison of the returns of various structured products
Main Uses of the Various Instruments (buy and sell side)
Back office key points
Commercial presentation of different products
Term Sheets
Practical workshop
Money Market/Bond Basis conversion
Calculate a forward rate
Calculate a FRA differential
Build a swap cashflow schedule
Build a swaps pricing spreadsheet in EXCEL™
Calculate the maximal loss, the effective guaranteed rate and the break-even points of various option strategies
Interest Rate Management
Practical workshop
Hedge a floating rate position with vanilla and exotic derivatives
Choose the appropriate and optimal hedging strategy (maturity, market anticipations)
Reduce the cost of medium-term debt with digital caps and floors or barrier options
Break down structured products into basic instruments (swaps, exotic interest rate options
MARKET TRADING (FIRST TRADING ROOM®)
Manage a book of interest rate derivatives (FRAs, futures, swaps, caps & floors, swaptions) under various historical scenarios. Learn to manage your book in various types of market conditions and within trading limits
Understand the characteristics of short term, long term, classic and exotic interest rate products
Build a forward yield curve
Understand how floating legs are modelised
Understand the principle of zero-coupon valuation
Know the basic principles of option valuation
Know how to analyse risk from a client’s standpoint
Construct strategies in line with market conditions and anticipations
Break down a structure of interest rate derivatives into basic instruments
Analyse all interest rate products in terms of cash-flows
Step by step study of current market examples from borrower and lender positions
Use the First Trading Room™, our virtual trading stoftware, to understand risk factors of different derivative products
Fund managers
Junior structurers, salespeople
Financial intermediairies
Support staff: middle office, back office, internal control, audit, IT
