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.
Recommend to a ColleagueThis course is also available in New York Time Zone and Singapore Time Zone
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
- 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
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.
Richard Fedrick teaches courses globally in all areas of finance with a particular emphasis on interest rates and FX, derivatives, exotic options, structured products and risk management.
He started his career in 1988 in the Derivatives Product Group at Morgan Stanley, which he joined after three years of post-graduate research in Theoretical Physics. He spent three years as a rates and FX structurer at Morgan Stanley before moving to Deutsche Bank in London, where he joined a newly-formed team designing and selling structured products across Europe.
In 1993 Richard joined General Re Financial Products, a AAA-rated derivatives boutique that rapidly became established as one of the world’s leading derivatives trading operations. At GRFP, Richard initially ran the structuring desk, before moving into trading (rates and FX exotics), and finished as a Managing Director and global co-head of structuring and sales.
He joined Dresdner Kleinwort Wasserstein in 2002 before moving into the executive education industry in 2004.
Richard has a 1st Class degree in Physics from St John’s College, University of Oxford.
Request a Brochure with full details for Interest Rate Derivatives and Swaps
The Money Markets
- Money-market (Libor and O/N) rates
- Background to LIBOR controversy
- IBOR Transition issues, the rise of SOFR and RFRs
- How the new rates will look – synthetic term rates for SOFR
Interest Rate Swaps
- The background to swaps, today’s market and applications
- Quoting swaps – absolute rates or spreads?
- Market conventions, daycounts, structures and terminology
- Intuitive swap pricing, PV01
- Close-outs, unwinds and assignments
- LIBOR swaps versus OIS
- The modern multi-curve framework, tenor basis and term premiums
Curve Construction and Formal Valuation
- Discount curves and projection curves
- What is the right discount curve for a bank to value its trading book?
- Computing the four representations of a yield curve: par rates, zeros, the discount curve, the forward (projection) curve
- Bootstrapping an o/n discount curve
- Constructing a projection curve from FRAs / futures / swaps
- Briefly on interpolation techniques
Hedging Short-end Risk - Futures and FRAs
- FRA mechanics and settlement
- Using FRAs to manage short term interest rate risk
- Computing the forward rate
- Eurodollar futures contract details, settlement and margining
- Using Futures to manage short term interest rate risk
- Understanding the Futures/FRA convexity adjustment
Interest Rate Swap Trading
- Swaps in funding, new issue swaps
- Asset swaps, par/par and market value structures
- ASW versus CDS spreads
- Trading swaps – curve trades and lies
Hedging Long-end Risk
- Quantifying interest rate risk – bulk DV01 and bucket DV01s
- Hedging with swaps
- Hedging with bonds and bond futures
- Quantifying and hedging basis risk
Bond Futures
- The 10yr Bund Future on Eurex – mechanics and settlement
- Conversion factors, implied repo, and the CTD
- Basis trading
- Bond futures DV01
Cross-Currency Swaps
- Cross-currency swap mechanics, comparison with FX swaps
- The CRX basis and its drivers
- Applications of CRX swaps
- CRX swaps and credit exposure
- Doing it properly: CRX-adjusted discount curves
Docs, Credit and Settlement
- Swap clearing and CCPs
- Bilateral (OTC) swaps – the role of the ISDA Master
- Credit mitigation – quantifying exposure (EAD, EPE, PFE)
- CSAs and collateral
XVA Adjustments
- The impact of asymmetric collateral positions
- FVA and the cost of funding
- Pricing credit risk, CDS fundamentals
- Computing the cost of credit exposure (CVA)
- Own-risk adjustment (DVA)
- The double-counting trap between FVA and DVA
The course provided invaluable insights into a wide range of interest rate derivatives and has enhanced my understanding of these complex financial instruments.
(Money Market and Repo Desk - National Bank of Greece)
I advise this course to anyone who wants to discover/rediscover a passion for maths and theoretics of Derivatives. The teacher was amazing, able to keep my attention over three days of an intense course. Strongly enthusiastic about it!
(Repo and IRS trader - BANCO BPM S.P.A.)
IRD was a very interesting course. It's an efficient combination of both theoretical and real cases which allow us to have a deeper understanding of the technical things in our daily jobs (PM, traders, etc.).
(Asset & Liability Management Officer - Swiss Life Products Luxembourg SA)
I am very satisfied with my course at LFS! The Interest Rate Derivatives I course covered a lot of different subjects, from understanding different benchmark curves and bootstrapping to the technicalities behind valuing derivatives itself. The trainer explained the material very clearly, and even though the training was digital, it was still interactive, and there was enough room for questions.
(Fixed Income Strategist - ABN AMRO)
I loved the practicality of the course.
(FX Sales - Rand Merchant Bank )
Excellent Instructor and the course is very appropriate for IR Derivatives traders and investors.
(Global Manager, Products and Operations - TP ICAP)
It was a pleasure to have someone with market experience, delivering the perfect combination between theory and practice (e.g. including Bloomberg screens)!
(Fixed Income Syndicate & Origination - NORD/LB)
An excellent course, taught by an excellent teacher. A must for anyone dealing with derivatives.
(Assistant Treasury Dealer - Aldermore Bank PLC)
The course was very useful for someone who wants to get more insights in the world of interest rate derivatives.
(Treasury Advisor - Rabobank)
The course is tremendously practical in building the curve and all the adjustments with excel. This is the first time in my professional life that a training is actually helpful. Thanks LFS!
(Risk Analyst - TD Securities)
Excellent course that is highly applicable to my job. The teacher was fantastic and has a wealth of experience worth hearing.
(Senior SSA Strategist - Rabobank London)
I was looking for a course that went a bit deeper than usual into the technical aspects of pricing. The IRD1 course does just that.
(Risk Manager - NWB Bank)
Very good tutor; explains everything clearly and in a structured manner. He also takes plenty of time to answer questions.
(Risk Manager - NWB Bank)
The course was delivered in a very efficient manner, the content was excellent and hands on exercises were very useful. The quality of the slides was very good and it allowed us to go back and read again what has been covered, linking it easily to our own daily work.
(Treasury Officer - European Investment Bank)
[...] the teacher worked extensively through practical examples in real time, and connected theory and practice clearly and efficiently. Excellent overall experience.
(Market Risk Manager - RBS)
"[...] Clear, patient and digestible explanation of complicated topics. Confident of being able to apply some of this knowledge in day-to-day work."
(Hedge Fund Rates Sales - HSBC)
Tutor was very helpful and able to explain topic clearly. Course was very good and helped me to understand more about interest rate derivatives.
(Senior Treasury Accountant - Sivantos Pte Ltd)
It is a well structured course, giving a good introduction to the world of interest rate derivatives.
(Manager - OCBC)
The course is relevant to what I am doing and the materials are very useful. The course instructor is very knowledgeable.
(Team Head Data Services - Schroder Investment Management)
Excellent course - very practical exercises that answered all my questions. Good use of the whiteboard to illustrate concepts rather than just reading off the powerpoint. The course provided me with good intuition and new perspectives.
(Trading Strategist - Lincoln Financial Group)
The best financial training I had [...]
(Market Risk Analyst - Standard Chartered Bank)
"I was very happy with the course; it was paced well and had useful case studies throughout."
(Fixed Income Rates Pricing & Risk - Citibank)
An excellent course, taught at the right level for all delegates to extract value from and apply in the workplace.
(Fixed Income Rates Pricing & Risk - Citibank)
"Coursework was well-structured and covered a whole range of products relevant in the current financial context. The course delivery was excellent with the tutor open to questions. I would really recommend this course to anyone interested in having a refresher of interest rate products."
(Fixed Income Associate - ICICI Securities Primary Dealership)
"Really insightful course covering a lot of aspects in the interest rate derivatives segment. Real life examples added by the tutor also helped a great deal in understanding how IRDs work with market events."
(Fixed Income Associate - ICICI Securities Primary Dealership)
Clear overview of interest rates derivatives and ways to hedge different products. Teacher was very clear and balanced both - the academic and application aspects of the subject
(Assistant Vice President - OCBC)
"This course provides a good grounding in interest rate derivative products."
(Associate - Lloyds TSB)
"A well delivered course consisting of sufficiently detailed theory and good hands-on practical case studies."
(Manager - Royal Bank of Canada)
"I found the training very useful. The instructor had great insight into the business world and how financial products are used in trading activity in the practical world, which was a standout factor for me. Academic knowledge can be learned from books!"
(Business Analyst - Markit Group Ltd)
"Practical applications were perfectly tailor made to understand each concept."
(Fixed Income - BNP Paribas)
A very important course for whoever is looking to revise the fundamentals of Corporate Finance, value derivatives, build yield curves. The tutor was amazing [...] made us all involved. Any queries could be discussed.
(Finance & Accounting - Universal Resin Company)
"I think the course was really amazing. The teacher was a professional and was able to communicate the subject matter clearly and efficiently. I would highly recommend LFS to others interested in either learning the material for the first time or as a good refresher."
(Project Manager - ATI Consulting Services)
"Very educational and practical especially for Treasury Practitioners. It was indeed in-depth learning."
(Head of Swaps & Rates Trading - Metrobank)
"It was a great course and it progressed from the basics to the application of the instrument of hedging/trading. Easy to understand."
(Head of Sales & Distribution - Maybank)
"This is one of the most practical courses I have ever attended. The excel spreadsheets really help reinforce my understanding of the subject matter and the lecturer was very helpful in answering whatever questions that I had."
(Dealer, Sales & Distribution - Singaporean bank)
Excellent course for those seeking to develop their understanding of how to construct yield curves and value derivatives.
(Risk Management - building society)
"A very comprehensive course exploring the fundamentals of interest rate derivatives with practical use of worked examples using live market data."
(Corporate Risk Advisory - Commerzbank)
"Excellent training for those who require working knowledge about curve building and interpolation techniques, as well as to understand how to use Eurodollars for hedging exposures in a swaps book from a practical standpoint."
(Director of Structuring - Bancolombia)
Course is great. Lecturer is patient to help and get the understanding of the basic principles.
(Vice President - OCBC Bank)
Course Details
This course is also available in New York Time Zone and Singapore Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
EMEA +44 (0) 20 7378 1050
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