Interest Rate Derivatives

Description

This course forms Module 1 of the Advanced Derivatives course and is a detailed 2-day course on interest rate derivatives

Day 1 - Interest rate derivatives, swaps and cross-currency swaps, modern yield curve construction

Day 2 - Interest rate options and exotics, CMS and applications, structured products

The emphasis is on a healthy mix of theory and client applications, and is illustrated throughout with real-life examples and case-studies.

Agenda

  • Interest rate swaps
  • Settlement and clearing
  • Customer applications
  • Formal swaps pricing
  • Cross-currency swaps
  • Caps, floors and collars
  • Swaptions
  • Constant maturity swaps
  • Understanding the volatility surface
  • Introduction to interest rate modelling
  • Structured products
  • Interest rate exotics and structured products

Further information

Euromoney Learning
Provider:
Euromoney Learning
Duration:
2 Days
Locations:
Amsterdam, Barcelona, Dubai, Geneva, Hong Kong, Istanbul, London, Miami, Miami Beach, Florida, Milan, New York, Paris, Paris , Riyadh, Singapore

Contact Information

Euromoney Learning

4 Bouverie Street
London
EC4Y 8AX

Credentials

Locations