This 4-day intensive programme provides delegates with a comprehensive exposure to a range of advanced swap topics, including pricing and valuation in the presence of funding and liquidity risk, 2nd generation swaps and interest rate option derivatives. Delegates will also be exposed to state of the art techniques employed in measuring and managing risk within swap and option portfolios, including both ‘traditional’ and value-at-risk methodologies.
The programme provides a comprehensive examination of the ways that swaps are employed in a wide range of trading strategies, and why swaps are increasingly used within the fixed income arena. Finally, the programme provides delegates with an introduction to financial engineering and the use of embedded interest rate derivatives in the creation of structured debt instruments. Delegates will gain exposure to the processes employed in structured product design and creation, as well as in product decomposition, pricing and risk analysis – reverse engineering.
Overall the programme seeks to impart a detailed and practical understanding of a range of complex interest rate derivative instruments, of growing importance and significance within the marketplace, in such a manner that such knowledge can be immediately applied within the contexts of trading, structuring and pricing, and risk management.
Focus of the Course
This is an advanced level programme that assumes that delegates will be familiar with basic concepts of derivatives and more specifically swaps markets. Whilst the programme agenda is not based upon detailed theoretical or mathematical approach, it does require basic mathematical fluency. This is your chance to learn about:
- Pricing and valuation of advanced swap structures
- Understanding theory and practice in swap pricing
- Interest rate term structure modelling
- Swap portfolio management
- 2nd generation swaps and options
- Interest rate linked structured products
- Trading and risk management applications of swaps
The training will comprise a combination of classroom-based teaching combined with computer based (Excel™ based) simulations and exercises, to gain practical exposure to key principles and concepts. Delegates will each receive copies of all spreadsheet software for their own use after the programme.