Non Generic and Exotic Swaps: Pricing and Management

Fundamentals of classic swap pricing

• Calculation of Discount Factors
• Floating leg modelling

• Practical workshop

• Mark-to-Market calculation in EXCEL™

Structuring and pricing of asset swaps

• Asset swaps of out the money fixed coupon bonds
• Asset swaps of convertibles / reverse FRNs, bonds with embedded options

• Practical workshop

• Pricing of various asset swaps in EXCEL™

Advanced interest rate models

• Interpolation
• Neutral risk probability
• Convexity adjustments

• Practical workshop

• Construction of a futures stripper with convexity adjustments

Pricing of non generic swaps

• In-Arrears
• Constant maturity swaps (CMS)
• Swaps Quanto

• Practical workshop

• Pricing in EXCEL™ of In-Arrears, CMS and quanto swaps

Pricing of inflation swaps

• Inflation-linked bonds
• Inflation break-even
• Inflation swaps

• Practical workshop

• Pricing of inflation swaps in EXCEL™

Pricing of exotic swaps

• Exotic Pay-offs
• Combination of exotic pay-offs
• Contingency

• Practical workshop

• Pricing in EXCEL™ of callable swaps (Bermudan) and of Range accruals

Advanced portfolio management

• Revision on standard sensitivities
• Uses of VaR
• Curve scenarios
• VaR calculations
• Empirical difficulties

• Practical workshop

• Calculation in EXCEL™ of the VaR of a CMS portfolio