Day One

Session 1:

Introduction

• Financial Mathematics

• Discount factors, present and future value

• Construction of zero coupon model

• Yield curves and market conventions

• Swap spreads/government debt markets

Session 2:

• Generic Interest Rate Swaps

• Participants, asset and liability management

• Structuring and pricing

• Swap structures

• Liability swaps/Asset swaps

• Non-Generic Structures

• Forward starts

• Libor margins

Session 3:

Interest Rate Futures/FRAs/Swaps

• Futures pricing

• FRA pricing

• Futures: swap arbitrage

Day Two

Session 1:

Pricing Medium Term Foreign Exchange

• Combining discount

• factors Forward points

Session 2:

Currency Swap Structures

• Fixed/Fixed

• FX Swaps

• Basis swaps

• Fixed/Floating

Session 3:

Swap Risk Management

• Warehousing Risk

• Spread risk and hedging

• Timing mismatches

• Interest rate exposure

• Swap portfolio risk

Session 4:

Hedging with Bonds and Futures

• Use and misuse of duration

• Basis point and convexity

• Futures equivalency

• Floating rate risk management

• Spread risk

• Modified duration

Session 5:

What are Credit Derivatives?

• Market size

• Market development

• Main institutions

Session 6:

Credit Swaps

• Total return swaps

• Index products

• Market liquidity and pricing

• Default swaps

Session 7:

• Bond Market products

• Credit linked notes

• Practical difficulties

• Standardisation

• Bid/Offer spreads

• Documentation

• Risk diversification

• Capital arbitrage/Trading spreads

• Non cash credit portfolios

Course Close