| Interest Rate Conventions |
| ▪ | Basis
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| ▪ | Date conventions
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| ▪ | Quarterly, semi-annual and annual rates |
| Market conventions and key players |
| ▪ | Documentation
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| ▪ | Trading platforms
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| ▪ | Collateralisation |
| Mechanics and pricing fundamentals of non-conditional derivatives |
| ▪ | Forward rates and FRAs
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| ▪ | Futures
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| ▪ | Interest Rate Swaps, OIS
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| ▪ | Basis swaps and cross-currency swaps
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| ▪ | Non-vanilla swaps: Quanto swaps, CMS, Libor-in-arrears
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| ▪ | Asset swaps |
| Mechanics and risk parameters of conditional derivatives |
| ▪ | Revision: option characteristics
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| ▪ | Behaviour of sensitivities (Greeks)
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| ▪ | The case of swaptions and caps & floors
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| ▪ | Comparative study of interest rate markets volatilities
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| ▪ | Volatility matrix |
| Structured products: fundamentals |
| ▪ | Mechanics and uses
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| ▪ | Decompostition into exotic options
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| ▪ | Constructing debt management structures
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| ▪ | Linking market anticipations and commercial strategy
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| ▪ | Comparing the returns of various strategies |
| Main Uses of the Various Instruments (buy and sell side) |
| Study of term sheets |
| Comparative analysis of vanilla and exotic option strategies |
| Case studies and exercises |
| . | Money Market/Bond Basis conversion |
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| . | Calculate a forward rate |
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| . | Calculate the pay-off of a FRA |
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| . | Build a swap cashflow schedule |
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| . | Build a swaps pricing spreadsheet in EXCEL™ |
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| . | Calculate the maximal loss, the effective guaranteed rate and the break-even points of various option strategies
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| ▪ | Interest Rate Management Case Study (Current market data)
. Hedge a floating rate position with vanilla and exotic derivatives
. Choose the appropriate and optimal hedging strategy (maturity, market anticipations)
. Reduce the cost of medium-term debt with digital caps and floors or barrier options
. Break down structured products into basic instruments (swaps, exotic interest rate options) |
| 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. |
