USING DERIVATIVES TRAINING COURSE - DURATION
2 DAYS
Course Objectives:
The purpose of the course is to improve understanding in order to facilitate
derivative hedging solutions for customers. Case studies will be used
to explain how foreign exchange and interest rate risk can be identified,
quantified
and hedged. The course will cover the following:
- Yield curve construction & zero coupon discount factors
- The acceptability of risk and appropriateness of hedging
- How discount factors are used to price transactions
- Using swaps to hedge both assets & liabilities
- Valuation techniques & cancellations
- Market risk measures, what they are, how they work, their strengths
& weaknesses
- Currency swaps and their use
- Interest rate options, pricing and the “Greeks”
- Collateral management, why it is increasingly important for over-the-counter
derivatives
Course Content:
Day One
Basic financial mathematics
- Discount factors, present / future value
- Construction of the zero coupon model
- Case study
Hedging
- Identifying risk
- Quantifying risk
- Appropriateness of hedging
Generic interest rate swaps
- Spot starts
- Interest payments Annual/SA/Q/M
- Forward starts
- Amortising/accreting/ rollercoaster structures
- Case study
Liability swaps
- Hedging floating rate debt
- New issues, (overview)
- Case study
Asset swaps
- Selecting bonds
- Calculating margins
- Premium / discount structures
- Case study
Swap valuation
- Mark-to-market
- Assignment & novation
- Basis point value
- Case study
Market risk measures
- Duration
- Basis point value, (DV01)
- Hedge ratios & trades
Day Two
Market risk measures cont.
- Convexity
- Value at risk
- Case study
Futures & FRAs
- Use in hedging
- Case study
Currency swap structures
- Fixed / fixed
- Fixed / floating
- Basis swaps
- Using currency swaps
- Credit usage
- Case study: private placement/balance sheet hedging
Interest rate options
- The models used for pricing
- What effects price
- The Greeks, delta, gamma, theta, vega
- Delta hedging and the problems
Structured interest rate hedging
- Step-up swaps
- Step-up collars
- Swaptions/Bermudans
- Callable swaps
- Extendable swaps
- Knock in structures
- Case study: Selected examples
Collateral & swaps
- How & why credit risk occurs with swaps
- Risk mitigation techniques
- The advantages of collateral support agreements
End of workshop & review
State of the art facilities
Delegates can study in our comfortable hi-tech learning environment in
London, near Liverpool Street Station |
Using Derivatives
Course Venue:London EC2
information@premiercs.co.uk
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