Interest Rate Derivatives Masterclass

  Intermediate CPD: 14 hours   4 half-days   Virtual


Interest Rate Derivatives Masterclass

The Interest Rate Derivatives Masterclass provides a comprehensive insight into the instruments that comprise the biggest derivatives market in the world.

If you need to know how a zero-curve and set of discount factors can be constructed, or how to price, value, and hedge swaps, caps and floors, swaptions, and cancellable swaps, then this course is ideal, especially as participants gain hands-on practice using ACF’s sophisticated pricing, analytical and trading software.

Learning Outcomes

By attending this course, you 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 create and deliver more relevant and innovative solutions

Who Should Attend

Anyone working in fixed income or derivatives.


An understanding of time value of money and bond math.

Seminar Content

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
  • computer 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
  • computer Deriving the discount function from market rates
  • computer 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
  • computer 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
  • computer Pricing standard and non-standard caps
  • Link between swap and forward rates
  • Cap/floor parity
  • Captions and floortions
  • Swaptions
  • computer 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
  • computer 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
  • computer Structuring a client I/R hedge
Virtual Learning

Dates and Locations

Date(s): 12 Oct 2021 - 15 Oct 2021

a.m. sessions – 08:00 to 12:00 (for Asia / EMEA participants)
p.m. sessions – 13:00 to 17:00  (for EMEA / Americas participants)
All times are GMT (London time)



Other Dates and Locations
Check our course schedule for alternative dates and locations where this course is offered.

   If you live outside the UK, use coupon code VCNOVAT to remove the VAT charge.

Bookings are closed for this event.

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