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Calculate Discount factors from STIR futures and IRS rates
Estimating the floating-rate leg
Specific case: OIS swaps
Managing short-term ,liquidity with OIS : study of October 2008
LIBOR – OIS strike
Basis swaps, currency and interest-rate swaps (CIRS)
Pricing asset swaps and bond swaps
Sensitivities of standard and exotic swaps (global and by maturity)
Calculating equivalent swap amounts and equivalent futures contract
Examples of non-vanilla swaps: quanto, CMS, Libor in arrears
Non-generic swaps convexity
Practical workshop
Build a swaps pricer in EXCEL™
Price an amortisable forward swap
Calculate a mark-to-market
Price a fixed/fixed CIRS at an off-market rate
Price a fixed-rate/floating-rate asset swap, using EXCEL™
Build a sensitivities spreadsheet in EXCEL™
Essential Postmarket Issues
Managing a Swap Book
Managing interest rate risk: short end (managing libor reset) and long end (use of bond futures and bonds)
Market strategies: curve and spread
Structured Products Using Swaps and Exotic Interest-Rate Options
Mechanics of the principal exotic interest-rate options: swaptions and caps/floors (standard, digitals, barriers)
Strategies based on exotic options
Examples of structured products of 1st generation
Practical workshop
Decomposition of structured products into vanilla products
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
Master the construction of the forward interest rate curve using futures pricing and interest rate swaps
Price standard IRS and CIRS
Master the pricing of asset swaps and CMS
Calculate sensitivities
Manage a swap book
Understand liquidity management using Overnight Index Swaps
Use exotic interest rate barrier options to structure products
Understand the principles of structured products based on Exotic Interest-Rate Options
Price every type of standard and exotic swaps in EXCEL™
Acquire best practice methods of swap portfolio management
Acquire the best practice methods for managing swaps during liquidity crisis
Simulate swap book management using the First Trading Room™, our virtual trading software, to practice sensibility management
Fund managers/junior traders
Sales
Structurers, strategists
Fixed-income origination and primary market professionals
Financial department
Risk managers
Support functions: IT, middle office, senior back office
