Advanced Swaps

LEVEL: ADVANCED LEVEL

▪	Mastering the pricing of non-generic and exotic swaps in Excel™
▪	Mastering the pricing of convexity adjustments for non-generic swaps
▪	Mastering the pricing of inflation swaps
▪	Structuring and pricing standard and exotic asset swaps
▪	Applying the most advanced book management techniques
▪	Mastering VaR calculations for swaps’ portfolios

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▪	Very operational approach of the most advanced techniques of pricing and book management
▪	Best practice methods
▪	Pre-requisite: pricing and management of standard swaps

Review of the pricing of standard swaps
▪	Discount factors calculation
▪	Modelling the variable leg
Practical workshop
▪	Calculate the MtM of a swap on a pre-formatted Excel™ spreadsheet
Structuring and pricing asset swaps
▪	Asset swapping a high-coupon bond
▪	Asset swapping convertibles/reverse FRNs, bonds with embedded options
Practical workshop
▪	Pricing of the various asset swaps in Excel™
Advanced interest rate models
▪	Interpolation
▪	Risk-neutral probability
▪	Convexity adjustments
Practical workshop
▪	Build an Excel™ spreadsheet integrating convexity adjustments for futures
Pricing non-generic swaps
▪	In arrears
▪	CMS
▪	Quantos
Practical workshop
▪	Price In-arrears, CMS and quanto swaps in Excel™ and integrate convexity adjustments
Pricing inflation swaps
▪	Indes-linked bonds
▪	Inflation break-even curve
▪	Zero-coupon inflation swaps
▪	Inflation swaps
Practical workshop
▪	Pricing inflation swaps in Excel™
Pricing exotic swaps
▪	Exotic pay-offs
▪	Combining exotic pay-offs
▪	Contingent maturities
Practical workshop
▪	Price Bermudan swaps and range accruals in Excel™
Advanced book management
▪	Review of standard sensitivity computation
▪	Using VaR Curve scenarios VaR calculation Empirical issues
Practical workshop
▪	Calculate in Excel™ the VaR of a CMS portfolio