INTEREST RATES SWAPS AND SWAPTIONS

PROGRAM OUTLINE

Interest rates swaps are yet another derivative that gets a bad name. As the most actively traded thing in the world of finance, there has to be a justified reason doe using them. Their rational is a very simple and what they do – the clue is in the name.

PRE-REQUISTES

An awareness of options pricing, preferably via a course like Option Pricing 1, part of this series or classes.

CONTENT

Swaps
• Swap cash flows
• Asset swaps, liability, swaps
• Swap prising, risk and hedging
• Swap pricing in your head and swap PVO1

Swaptions
• Swaption pricing, risk and hedging
• Swaption pricing in your head and PVO1

COURSE DURATION

1 Day

WHO SHOULD TAKE THIS COURSE?

Corporate treasurers and staff working in the rates area

MODULES

These courses are included in this module

OPTION PRICING 2

Students will understand how to use a binomial risk-neutral option valuation model This will lead directly to the Cox-Ross-Rubenstein version. Students will then be able to use this model to initially call European options, but will quickly be able to move on to using this model to call American options and many exotic options. Students will understand the principles and assumptions underlying Black-Scholes, and will master the pricing formula.

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EXOTIC DERIVATIVES

To understand the reasons for using exotic over standard options and gain insight into why exotics are sometimes more expensive or cheaper.

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STRUCTURED PRODUCTS ADVANCED

Understand why investors may choose to buy various types of structured products. Understand how a bank provides products with structured payoffs.

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CREDIT DERIVATIVES

To understand the basic products and the drivers of value in the credit world.

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FX OPTIONS

To apply derivatives theory and knowledge to the FX markets.

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