ACF Academy
Derivatives Training Training
Category:
 Derivatives Training
Targeted Audience:
 Anyone working in fixed income or derivatives.
Prerequisites:
 An understanding of time value of money and bond maths.
CPE Credits:
 14 hours
Course Level:
 Intermediate
 
Date  DurationCostVenueRegister
10-11 Dec 2018  2 days£1925.00London
13-14 Dec 2018  2 days$2750.00New York
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

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
Swaptions
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

 

 
Accreditation


 

"Excellent – very impressed with the program, well placed and good mix of practical and classroom work."

– Christine M.