Interest Rate Derivatives 2: Structured Products

London Financial Studies
En London (Inglaterra)
  • London Financial Studies

3001-4000 €

Información importante

Tipología Short course
Lugar London (Inglaterra)
Duración 2 Days
Inicio 18/04/2018
  • Short course
  • London (Inglaterra)
  • Duración:
    2 Days
  • Inicio:

A comprehensive workshop on pricing and managing structured interest rate derivatives.

What used to be called exotic interest rate derivatives are now commonplace and an essential part of the financial marketplace.

This intensive programme is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps and Quantos. Groups are kept small and more than half of the course is devoted to practical workshops. The exercise answers include fully worked scenario spreadsheets containing relevant Excel functions and macros for participants to take away.

This course is also available remotely via LFS Live.

Información importante
¿Qué objetivos tiene esta formación?

- Learn how to build up second generation IRDs from vanilla products and thereby hedge and manage the risk in these structures
- Explore how to use second generation and structured products in the design of risk management strategies
- Gain an intuitive understanding of convexity and timing adjustments needed in the valuation of second generation derivatives
- Understand the role of correlation and volatility in the pricing and structuring of second generation IRDs

¿Esta formación es para mí?

This course is designed for anyone who wishes to be able to price, use and manage second-generation interest rate derivatives:

- Risk Managers
- Asset Managers
- Financial Engineers
- Traders and Structurers
- Researchers and others who manage interest rate risk

Requisitos: A good understanding of vanilla interest rate derivatives is an essential prerequisite for this course.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
18 abr 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Inicio 18 abr 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa

¿Qué aprendes en este curso?

Bermudan Swaptions
Interest Rate Derivatives
Quantitative Analysts
Risk Managers
Financial Engineers


Day One

Variations on the normal swap: Libor in Arrears
  • Basic structure
  • Why use swaps with Libor set in arrears
  • LIA and the yield curve
  • Hedging LIA
  • Introduction to convexity adjustments and timing corrections
Workshop: The impact of volatility on LIA value

Introduction to correlation: Quantos
  • Description of quanto structures
  • Why use quanto swaps
  • Relative yield curve trades and carry
  • Determinants of value
  • Hedging
  • The importance of correlation and its limitations
  • Measuring correlation
Workshop: Pricing and using Quantos

Day Two

Review of Swaption Volatility
  • Interpreting swaption volatility (basis point/lognormal)
  • Smile and Skew with Normal and Lognormal assumptions
  • How “Vol of Vol” explains smile and skew
  • The SABR model and it’s benefits
Using CMS: The Impact of Volatility
  • Constant Maturity Swaps and their uses
  • CMS for asset/liability management
  • CMS structures in a flat yield curve environment
  • Steepeners and CMS spread options
  • CMS caps
  • Hedging CMS with a portfolio of swaptions
  • The interaction between CMS and swaption volatility
Workshops: Using and structuring Steepener notes

Range Accruals
  • Examples of typical range accrual products and how they are used
  • The link with Libor caps and floors
  • Hedging digital options
  • The impact of yield curve shape
  • The importance of volatility
  • Libor and CMS range accruals
  • Call features
Bermudan Swaptions
  • What Bermudans are for and how they work
  • Users and uses of Bermudan swaptions
  • The relationship between Bermudan and European swaptions
  • Issues in pricing and hedging Bermudans
Workshop: Structured Notes
Este curso está en español. Traducir al inglés