Description
This course forms Module 1 of the Advanced Derivatives course and is a detailed 2-day course on interest rate derivatives
Day 1 - Interest rate derivatives, swaps and cross-currency swaps, modern yield curve construction
Day 2 - Interest rate options and exotics, CMS and applications, structured products
The emphasis is on a healthy mix of theory and client applications, and is illustrated throughout with real-life examples and case-studies.
Agenda
- Interest rate swaps
- Settlement and clearing
- Customer applications
- Formal swaps pricing
- Cross-currency swaps
- Caps, floors and collars
- Swaptions
- Constant maturity swaps
- Understanding the volatility surface
- Introduction to interest rate modelling
- Structured products
- Interest rate exotics and structured products
+ 44 (0)20 7779 8543
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