Swaps II

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

17-Oct-2008 -- 17-Oct-2008New YorkUSD$1475register
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live		email course to a friend
Instructor(s): [ McCabe Hurley; ] Fri Level: Intermediateemail a sales rep
CPE Credits: 7print this course

12-Dec-2008 -- 12-Dec-2008ChicagoUSD$1475register
NY Institute of Finance - Chicago9:00am - 4:30pm Instructional Method:
Group-Live		email course to a friend
Instructor(s): [ Ronald T. Slivka; ] Fri Level: Intermediateemail a sales rep
CPE Credits: 7print this course

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."
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 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process, and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

Lunch included for all students taking day classes.