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Interest Rate Derivatives 2: Structured Products

London Financial Studies
En London (Inglaterra) yNew York (Estados Unidos), Singapore (Singapur)

£ 2.490 - (2.958 )
+ IVA

Información importante

Descripción

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.

Información importante
¿Qué objetivos tiene esta formación?

¿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:

- Quantitative Analysts
- Risk 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
29 marzo 2017
London
34 Curlew Street, se12nd, London, Inglaterra
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New York
New York, Estados Unidos
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Singapore
The Finexis Building, Singapore, Singapur
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¿Qué aprendes en este curso?

Swaps
Derivatives
Hedging
CMS
Market
SABR
Bermudan Swaptions
Libor
LIA
Interest Rate Derivatives
Quantitative Analysts
Risk Managers
Financial Engineers

Temario

Day One

Variations on the normal swap: Libor in Arrears
  • Basic structure
  • Why do swaps with Libor set in arrears
  • LIA and the yield curve
  • Hedging LIA
  • Introduction to convexity adjustments and timing corrections
Workshops: 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
Workshops: 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
Workshops: Structured Notes