Interest rate derivatives

ABOUT THE COURSE

In addition to a thorough review of Forward Rate Agreements (FRAs), Swaps, Caps, Floors and Collars, the course covers the key uses of each instrument and the risks associated with them. Practical exercises in fair market valuation of interest rate derivatives give delegates an opportunity to develop practical skills in pricing and risk sensitivity analysis.

WHO SHOULD ATTEND?

• Financial analysts
• Risk managers
• Quantitative analysts
• Corporate treasurers
• Pension fund managers
• Bond fund managers
• Bond dealers and traders
• Investors
• New financial markets employees
• Other roles working in and around the global bond markets.

Duration
One day

Learning Objectives

At the end of the course delegates should have a broad understanding of the following subject areas:

• Recap of fundamental concepts surrounding interest rate markets
  • Spot and forward rates
  • Present and future values of cash flows
  • Yield curves for different interest rate markets
• Main types of interest rate derivatives
  • Forward Rate Agreements (FRAs)
  • Swaps: plain vanilla, currency swaps
  • Caps, Collars and Floors
  • Interest Rate Futures
  • Swaptions
• Purpose and practical use of interest rate derivatives
  • Analysing underlying cash flow risk
  • Creating an appropriate hedging strategy
• Valuation techniques: marking interest rate derivatives to market
• Risk analysis: sensitivity to underlying factors and counterparty risk exposure

Prerequisites

The course assumes a working knowledge of bond and money markets and financial mathematics.