Swaps II

Building on the concepts taught in Swaps I, participants gain expertise in critical areas such as structure, pricing, and documentation.

16-Mar-2012 -- 16-Mar-2012Toronto, CanadaUSD$1575
New York Institute of Finance - Toronto9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Ronald T. Slivka; ] Fri Level: Intermediate

27-Jul-2012 -- 27-Jul-2012New YorkUSD$1575
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ McCabe Hurley; ] Fri Level: Intermediate

14-Sep-2012 -- 14-Sep-2012ChicagoUSD$1575
NY Institute of Finance - Chicago9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ NYIF Instructor; ] Fri Level: Intermediate

14-Dec-2012 -- 14-Dec-2012New YorkUSD$1575
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ McCabe Hurley; ] Fri Level: Intermediate

CPE CREDITS
7.0
Traders, sales professionals, back office professionals, financial analysts, cash/money managers, auditors, compliance professionals, financial and bank officers, accountants and regulators.
No advance preparation required.
Students will be able to:
  • Identify different types of yield curves and how they interrelate.
  • Explain how to price a Forward Rate Agreement and Eurodollar futures.
  • Demonstrate pricing and hedging an Interest Rate Swap
  • Track how Interest Swaps (and related products like options) are used by the various market participants, as well as what products are
Swaps1 & Futures (parts of 5 day derivatives suite) or equivalent knowledge; 2 - 3 years financial markets experience working for a bank or brokerage firm currently in the derivatives (swaps) business; A minimum of 1 year professional working experience for a bank or broker in their swaps department (trade or trade support); You will need a financial calculator with the following specific functions: 1) The e(x) (the Exponent e) function; 2) The LN (the Natural Logarithm functions)
"This course utilized many good examples and cases."
"Great instructor!"
"Instructor's knowledge and enthusiasm were great!"
"The instructor had the ability to apply the course material to individuals in the class."
"McCabe is an expert in her field. She is a fantastic teacher!"
Swaps 2 Yield Curves defined & ED Futures defined
Yield Curves Defined
  • Different types of yield curves
  • Par Swap Curve
  • The Spot Curve (Term Structure of Interest Rates)
  • Forward Rates

Calculating Spot and Forward Rates

  • Calculating Spot Rates from US Treasury Prices
  • Using Spot Rates to Calculate Swap Rates
  • Calculating Forward Rates

Forward Rate Agreements

  • Definition of Contract
  • Overview of Pricing

Eurodollar Futures

  • Definition of contract
  • The Forward Curve
  • The Eurodollar strip

Pricing & Hedging Interest Rate Swaps Using ED Futures

  • The Eurodollar strip
  • Using the Eurodollar futures to create a par swap curve

Pricing US Interest Rate Swaps: Ongoing

  • Repricing existing US interest rate swaps
  • DV01 of a US Interest Rate Swap

Interest Rate Options: Caps, Floors, Collars and Swaptions

  • Uses and Applications of Caps, Floors, Collars and Swaptions
  • Pricing of Caps, Floors, Collars and Swaptions

Other Types of Swaps

  • Total Return Swaps: Credit & Equity Linked

Swap Users in Today's Markets

  • Uses by corporations (asset-liability management, bond issuance)
  • Uses by asset managers (non-leveraged uses)
  • Uses by hedge funds (leveraged uses)
  • Credit Default Swaps: uses and applications today

Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

Lunch is included for all students taking day classes.