Interest Rate Derivatives And Currency Swaps

Despite the recent economic downturn, organizations were still concerned about their exposures, and by December 2011, the size of the OTC derivatives market was just over US$700 trillion (measured in terms of the 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
How 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
End-users themselves, to understand how banks are pricing and hedging swap structures

Experienced marketers, responsible for providing risk management, financial structuring, and treasury services to end-users

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