Day One

Session 1:

Interest Rate Swaps

• Structure

• Pricing Screens

Session 2:

Basic Financial Maths

• Discount factors, present value/future value

• Construction of the zero coupon model

• Yield Curves and Market conventions

• Swaps spreads/ government debt markets

Session 3:

Generic Interest Rate Swaps

• Who uses swaps

• Comparison with other instruments

• Spot starts

• Forward starts

• Amortisation/rollercoaster structures

Session 4: Liability Swaps;

• New Issues

• Hedging debt

• Leasing

• Asset Swaps;

• Selecting bonds

• Calculating margins

• Premium/discount structure

Day Two

Session 1:

Swap valuation

• Mark-to-market

• Basis point value

Session 2:

Futures & FRAs

• Futures pricing

• FRA pricing

• Futures / swap arbitrage

Session 3:

Pricing medium term foreign exchange

• Combining discount factors

• Forward points

Session 4:

Currency swap structures

• Fixed / fixed

• Fixed / floating

• FX swaps

• Basis swaps

Session 5:

Using currency swaps

• With new issues

• With assets

Session 6:

Collateral & swaps

• Risk mitigation techniques

• Cash, securities & break clauses

Course Close