Interest Rate Derivatives Hedging and Managing Risk

Training Provided by London Financial Studies Course Outline A comprehensive seminar on pricing and managing interest rate derivatives. This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough grounding in these instruments. Who The Course is For This course is designed for anyone who wishes to be able to price, use, market, manage or evaluate interest rate derivatives and currency swaps including: * Directors, treasurers, dealers and trainees * Corporate finance and investment managers * Accountants, auditors and IT personnel * Derivatives marketing executives, consultants, advisors and brokers Course Objectives * Explore the relationship between futures, forwards and FRAs * Build a zero coupon yield curve * Construct hedges * Price and revalue swaps * Structure asset and debt swaps * Design, price and use caps, floors, collars and swaptions * Structure and market combinations of derivative products * Use these instruments for taking positions or hedging exposures

Interest Rate Derivatives Hedging and Managing Risk Day One
The building blocks

* The nature of interest rates
* Basis periodicity and compounding
* The time value of money
* Forward rates and discount factors
* Sensitivity and duration

The essentials of futures & FRAs

* The instruments
* Comparative advantages
* Futures FRAs and convexity
* Hedging short-term rate moves
* Practical applications

Workshops: applying the basics, hedging interest rate risk
Day Two
Yield curves and how to build them

* Why a yield curve
* Building zero curves manually
* Linear and spline interpolation

Interest rate swaps

* Definitions and history
* Today's market
* Cash flows and pricing for zero NPV
* Revaluation and buyout
* Amortising and accreting structures
* Hedging

Workshops: yield curve building, swap pricing and valuation
Day Three
Currency and asset swaps

* Swaps and forward FX
* Basis swaps
* Conversion factors
* Pricing and structuring currency swaps
* Using and pricing par and proceeds asset swaps

Interest rate options: caps and floors

* Definitions and structure
* Determination of prices
* Volatility and its effects
* Black's model and assumptions
* Hedging factors

Workshops: using currency swaps, valuing caps and floors
Day Four
Using and marketing combinations

* Cap-floor-swap mix
* Zero cost collars
* Participating caps
* Market developments

Interest rate options - swaptions

* The mechanics
* How values are determined
* Pricing models and assumptions
* Caps and swaptions
* Hedging factors

Workshops: evaluating the alternatives, using swaptions

About The Training Provider: London Financial Studies

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