Fundamentals of Swaps

A London (Inghilterra)

£ 1.999 - (2.234 )
IVA Esente

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  • Corso
  • London (Inghilterra)
  • Quando:

This training programme will take you step-by-step through the fundamentals of pricing and trading generic and simple non-generic interest rate and currency swaps. It will explore and apply the different strategies, techniques and methods commonly employed by the industry. Equal attention will be given to the theoretical concepts and the practical applications.

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Dove e quando

Inizio Luogo
10 novembre 2016
6th Floor, 29 Bressenden Place, SW1E 5DR, London, Inghilterra
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Cosa impari in questo corso?

Currency Swaps


This course allows you to apply your knowledge to real-life situations straight away via the use of practical software programmes that you will utilise to complete a number of tasks and exercises. The dissection and financial engineering of some structures will be undertaken which will help you unlock the ìblack boxî behind the products. Agenda Summary ï Broad Introduction to the Swaps Market ï Short-Term Money Market Swaps ï Futures ï The Yield Curve Applied to Pricing Swaps Building the Yield Curve ï Pricing Cross-Currency Swaps ï Swap Trading ï Liability Swaps ï Single Market Exposure: Interest Rates ï Asset Swaps ï Discounting in a Collateralised World ï Interest Rate Options - The Greeks ï Applications of Interest Rate Options in Structured Bonds ï Advanced Swaps and Options ï Credit Default Swaps ï How to Measure Counterparty Credit Risk ï Credit Valuation Adjustment (CVA) Case Studies ï Hedging a FRA with a pair of Deposit Futures contracts ï Understanding portfolio VAR and hedging ï Analysing the comparative advantage of swaps ï Comparing Caps, Collars and Swaps ï Understanding the sensitivities of caps, floors and collars ï Understanding inflation swaps ï An analysis of structured products understanding the components Computer-Based Exercises ï Valuing the cancellation of a swap using the created yield curve ï Calculating forward rates ï Valuing forward positions ï Quoting extensions to a customer ï Valuing an asset swap on a yield/yield basis, par/par basis and adjusting for funding costs ï Bootstrapping an EONIA curve, deriving the projected Euribor. Swap pricing from that curve ï Understanding delta hedging ï Pricing a CDS

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Practical course