Advanced Interest Rate Derivatives

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Course Background

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.

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Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:

Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.


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Why us

We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
  • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
  • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product