Interest Rate Derivatives and Currency Swaps

Despite the recent economic downturn, organisations were still concerned about their exposures, and by December 2011, the size of OTC derivatives market was just over US$700 trillion (measured in terms of notional amount outstanding). This represents an expansion of some 18% in the previous 6 months. To meet the precise requirements of end-users, the derivative markets are still evolving to provide a wide range of innovative structures.

This advanced derivatives course is designed to provide the latest practical and theoretical developments in the structuring, pricing and hedging of OTC derivatives such as swaps and options plus a variety of embedded combinations.

Top Learning Objectives

  • Convexity adjustments for swaps and CMSs
  • Correctly valuing foreign assets using cross-currency basis swaps
  • Learn to build your funding cost into your pricing
  • Computer demonstration: how to price a Bermudan callable swap
  • Computer demonstration:  how to price a path dependent structure

Who Should Attend?

  • Members of swap desks and other structuring teams
  • Risk managers
  • Experienced marketers responsible for providing risk management, financial structuring, and treasury services to end-users
  • End-users themselves to understand how banks are pricing and hedging swap structures

Event Details

18th – 20th February
Jakarta, Indonesia