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  • Interest Rate and Currency Swap Workshop

Interest Rate and Currency Swap Workshop

  • Banking and Financial Markets, Bonds & Fixed Income Markets, Corporate Finance, Corporate Treasury, Derivatives, Documentation, Foreign Exchange, Risk and Credit
  • Information

    This Two-Day workshop explains how discount factors are calculated and used to price generic swaps and how these swaps are used to manage risk. The objective is to provide understanding and confidence in this important area of financial markets.


    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

    Register interest

    As every course we run is tailored to meet the specific needs of each client, we can only provide an estimate after fully understanding your specific requirements. Please complete the form below of call +44 (0) 208 894 4977 to discuss how Taylor Associates can help you.

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