Derivative Products I & II Program

New York Institute of Finance


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Derivative Products I & II Program

Understand the fundamentals of derivative products: product markets, participants, pricing strategies, and the relationships that connect them.

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Module 1: Futures and Forwards

  • Evolution and History
  • Standardized Contracts
  • Margin and Daily Settlement
  • Clearing Firms and Their Function
  • Benefits Of Exchange-Traded Futures
  • Applications Of Futures And Forwards
  • Differences Between Futures & Forwards
  • Time Value of Money

Module 2: Eurodollar Contract

  • Define an FRA
  • How they are priced
  • Applications of FRA

Module 3: Eurodollar Futures

  • Contract Specifications
  • The Eurodollar Strip
  • Value of a Basis Point - Futures versus Deposits

Module 4: Interest Rate Swaps

  • History and Evolution
  • Characteristics and Terms of Swaps
  • Fundamentals Of Pricing Swaps
  • Applications of Interest Rate Swaps

Module 5: Options, Caps, Floors and Swap options

  • History and Evolution Of Options Market
  • Option Terminology
  • Risk/Reward - Payoff Profiles & Breakeven
  • Basic Characteristics Of Option Contracts
  • Basic Characteristics Of Caps & Floors
  • Basic Characteristics Of Swaptions
  • Factors Of Options Pricing

Module 1: Yield Curves

  • Different Types Of Yield Curves
  • What is the par swap curve
  • Par Swap Curve
  • The Spot Curve (Term Structure Of Interest Rates)

Module 2: Calculating Spot Rates & Forward Rates

  • Calculating Spot Rates (Bootstrapping Method)
  • Calculating Forward Rates

Module 3: Calculating Swap Rates

  • The Eurodollar Contract Specifications (Review)
  • Discount Factors (Time Value of Money)
  • Calculating Adjustments for Different Day Count Conventions
  • Calculating Swap Rates Using The Eurodollar Futures
  • Calculating The Net Present Value Of Swap

Module 4: Options

  • Basics Of Option Contracts (Review)
  • Inputs Into Option Pricing Model
  • Volatility: Types Of Volatility & Probability
  • Normal & Lognormal Distribution
  • Option Pricing Models: Black-Scholes & Binomial Pricing Models
  • Option Pricing Models & The Real World
  • Managing Options Risk - The 'Greeks'

Module 5: Interest Rate Options

  • Define Caps, Floors, Collars & Swaptions (Review)
  • Pricing Caps, Floors, Collars & Swaptions
  • Applications of Caps, Floors, Collars & Swaptions

Module 6: Swap Users In Today's Markets

  • Uses By Corporations (Asset-Liability Management, Bond Issuance)
  • Uses By Asset Managers (Leveraged And Non-Leveraged Uses)
  • How a Corporation Might Use Swaps
  • How an Unleveraged Asset Manager Might Use Swaps
  • How a Hedge Fund Might Use Swaps

Module 7: Equity Linked Notes

  • Define the structure of an equity linked note
  • Examine a specific structure
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Derivative Products I & II Program

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