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Interest Rate Derivatives and Swaps

Interest Rate Derivatives are an essential part of the financial marketplace. This programme will equip you to use, price, manage and evaluate interest rate and cross-currency derivatives.

The course starts with the building blocks of money markets and futures, through yield curve building to interest-rate and cross-currency swaps, and applications. The approach is hands-on and learning is enhanced through many practical exercises covering hedging, valuation, and risk management. This course also includes sections on XVA, documentation and settlement.

The programme includes extensive practical exercises using Excel spreadsheets for valuation and risk-management, which participants can take away for immediate implementation.

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  • Date:
  • Venue:
  • This course is only available via LFS LiveLFS Live
  • Fee:
  • US$789 per day
    US$3945 total

This course is also available in London Time Zone and Singapore Time Zone

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.

  • Interest-rate sales, traders, structurers, quants and relevant IT personnel
  • Bank Treasury and other Asset Liability Management executives
  • Central Bank and Government Treasury Funding managers
  • Insurance Company investment managers
  • Fixed Income portfolio managers
  • Company finance executives and investment bankers
  • Risk managers, finance, IPV professionals, auditors and accountants
Learning Objectives
  • Gain familiarity with modern multi-curve interest-rate derivatives pricing
  • Learn how to build a yield curve from alternative instruments, and then bootstrap discount factors and forward curves
  • Explore the relationship between futures, forwards and FRAs
  • Understand the four equivalent expressions of a yield curve: par curve, zero curve, discount curve and projection curve
  • Construct hedges using futures, swaps and bonds
  • Price and revalue swaps
  • Learn how to value and hedge a swap portfolio
  • Structure asset and liability (new issue) swaps
  • Price and structure cross-currency swaps
  • Understand documentation, credit and settlement including XVA
Prior Knowledge

Basic knowledge of Microsoft Excel and a general understanding of fixed-income markets is assumed. Some of the important basic topics in bond maths are covered briefly at the beginning of the course. Comprehensive teaching on fixed income markets and bond maths takes place in the Fixed Income Markets & Analytics course.


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