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