| Revision of market conventions |
| ▪ | Money Markets, Bond Basis, Act/Act
|
| ▪ | Converting periodical rates into annual rates
|
| ▪ | Calendar conventions
|
| ▪ | Practical workshop
. Construct the cash-flow schedule of a swap |
| Forward yield curve |
| ▪ | Calculation of forward rate
|
| ▪ | Mechanics and uses of FRAs
|
| ▪ | Mechanics and uses of STIR futures
|
| ▪ | Practical workshop
. Calculate forward rates and the pay-off of a FRA in Excel |
| Valuing swaps |
| ▪ | Pricing of Interest Rate Swaps (IRS)
|
| . | Calculating Discount Factors from STIR futures and IRS rates
|
|
| . | Estimating the variable leg
|
|
| ▪ | Practical workshop
. Build a swaps pricing spreadsheet in EXCEL™
. Price an amortising forward swap
. Calculate a swap's mark-to-market
|
| ▪ | Overnight Index Swaps
|
| ▪ | Managing liquidity with OIS: example of October 2008
|
| ▪ | Study of the OIS-Libor spread
|
| ▪ | Basis swaps and CIRS
|
| ▪ | Practical workshop
. Price an off-market fixed/fixed CIRS
|
| ▪ | Pricing asset swaps and issue swaps
|
| ▪ | Practical workshop
. Price an asset swap in EXCEL™
|
| ▪ | Sensitivities of standard and exotic swaps (global and by maturity)
|
| ▪ | Calculating equivalent swap amounts and equivalent futures contracts amount
|
| ▪ | Practical workshop
. Incorporate a sensitivity ladder in the swap's pricing spreadsheet
|
| ▪ | Examples of non-vanilla swaps: quanto, CMS, Libor in arrears
|
| ▪ | Convexity of non-generic swaps |
| Managing a Swap's book |
| ▪ | Managing interest rate risk
|
| . | Short end: managing libor reset
|
|
| . | Long end: use of bond futures and bonds
|
|
| ▪ | Market strategies: curve and spread |
| Trading Simulation |
| ▪ | Trade bonds, futures, swaps and options vs the computer and other participants in hectic market conditions.
Maximise your profits while maintaining sound risk management. |
| Structured products based on swaps and exotic interest rate options |
| ▪ | Mechanics of the main interest rate options: swaptions, caps&floors (vanilla, digitals, barriers)
|
| ▪ | Strategies based on exotic options
|
| ▪ | Examples of structured products of 1st generation
|
| ▪ | Practical workshop
. Decomposition of structured products into vanilla products |
