ACF Academy
Derivatives Training Training
 Derivatives Training
Targeted Audience:
 Anyone working in fixed income or derivatives.
 An understanding of time value of money and bond maths.
CPE Credits:
 14 hours
Course Level:
Date  DurationCostVenueRegister
23-24 Jan 2019  2 days$2750.00New York
13-14 Feb 2019  2 days$2750.00New York
11-12 Mar 2019  2 days$2750.00New York
11-12 Mar 2019  2 days£1925.00London
8-9 Apr 2019  2 days£1925.00London
16-17 Apr 2019  2 days$2750.00New York
9-10 May 2019  2 days£1925.00London
22-23 May 2019  2 days$2750.00New York

Interest Rate Derivatives

The principal objectives of this intensive two-day seminar are to:
  Give delegates a clear understanding of the practical use of interest rate derivatives.
  Explain how a zero-curve and set of discount factors can be constructed from market prices
  Provide a detailed explanation of the principles of zero-coupon pricing
  Demonstrate how to price, value, and hedge swaps, caps and floors, swaptions, and cancellable swaps
  Consolidate the learning experience by giving delegates hands-on practice with ACF’s sophisticated pricing, analytical and trading software
Hot Topic  Pricing and hedging interest rate derivatives in the current LIBOR market.
After attending this programme, delegates will:
  Gain a clear appreciation of the range of interest rate derivative products
  Understand how interest rate derivatives are priced
  Experience dynamic practical hedging and trading of the products
  Be more aware of interest rate risk issues and how to manage them
  Be able to deliver more relevant and innovative solutions

Course Outline
 Interest Rate, Currency, and Asset Swaps
Definitions and terminology
Market participants and drivers
Cash flows and timing
Quotation and dealing conventions
Interest rate swaps: standard vs. non-standard swaps
Currency swaps: fixed-fixed, fixed-float, float-float
Asset swaps
SEFs and central counterparties
Hedging interest-rate risk
Fixing financing costs
Fixing investment returns
Reducing financing costs
Swap applications
Swap risk compared for different types of swaps
 Yield Curves and Zero-Coupon Pricing
Yield curve mathematics
Zero-coupon rates
Swap and par rates
Forward rates
Zero-coupon pricing
Discount factors and the discount function
Links between swap, zero & forward rates
Calculating discount factors from market rates
Deriving the discount function from market rates
Pricing an FRA from the futures strip
 Pricing and Valuing Swaps
Swap valuation principles
Valuing the fixed leg
Valuing the floating leg
Valuing a swap
Pricing vanilla and non-standard swaps
Sensitivity to movements in swap rates
Cancelling or unwinding a swap
Valuing swaps
LIBOR-OIS discounting and the dual-curve approach
Credit exposure – measurement and management
Hedging swaps
Hedging swaps using strips of futures
 Interest Rate Options
Definitions and terminology
Market participants and drivers
How interest rate options differ from other options
Interest rate guarantees (IRGs)
Interest rate caps
The term structure of volatilities
Interest rate floors and collars
Quotation and dealing conventions
Principles of cap and floor pricing
Pricing standard and non-standard caps
Link between swap and forward rates
Cap/floor parity
Captions and floortions
Pricing swaptions
 Interest Rate Derivative Structures
Participating caps
Step-up, step-down and ratchet caps
Amortising, accreting, and rollercoasters
Self-funding caps
Cancellable and extendable swaps
Creating a cancellable swap
 Hedging with Interest Rate Derivatives
Option hedging structures
Establishing client objectives
Determining pain thresholds and views
Tailoring the hedge to match the need
Reducing the cost of client hedges
Designing innovative products and solutions
Structuring a client I/R hedge


NB All practical sessions are highlighted like this:
means a Workshop or Simulation
means a Case study




"It was immensely helpful that we went through all of the details on the new (brand new) CDS protocol. It speaks very highly of ACF that they were able to put together all of this information in a straightforward presentation so quickly."

– Heather F.