Swaps I & II
Gain CPE:14 Credits

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$1,879.00
$1,879.00$1,691.10-10
$1,879.00$1,503.20-20
group
In Person
update
2 Days
language
English
school
Introductory

Please select date...

$1,879.00
$1,879.00$1,691.10-10
$1,879.00$1,503.20-20
group
In Person
update
2 Days
language
English
school
Introductory

Please select date...

$1,879.00
$1,879.00$1,691.10-10
$1,879.00$1,503.20-20
group
In Person
update
2 Days
language
English
school
Introductory

Price as configured: $1,879.00

Swaps I & II

Develop a comprehensive, practical understanding of swaps including market conventions, contract specifications, valuation, trading strategies and the regulation of swaps markets.

This course is a component of the Derivatives Professional Certificate.

Prerequisite knowledge:

  • Intermediate MS Excel skills (use solver, etc.)
  • Basic probability
  • Basic calculus
  • Some knowledge of equity markets
  • Knowledge of fixed income basics
Curriculum
What You'll Learn
Who Should Take This
eventDay 1

Module 1: Swap Fundamentals

  • Swaps as portfolios of forward contracts
  • Example: Commodity swaps
  • Physical vs. cash settlement
  • Market value of a swap
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Module 2: Interest Rate Swaps: The Basics

  • Essential fixed income arithmetic
  • Value of a floating rate note
  • Par coupon rates
  • Vanilla interest rate swaps
  • Swap curves (term structures) and spreads
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Module 3: Interest Rate Swaps: Advanced Topics

  • Eurodollar futures, FRA's and interest rate swap pricing
  • Forward starting swaps
  • Constant maturity swaps
  • Amortizing and accreting swaps
  • Overnight index swaps
  • ISDA documentation
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eventDay 2

Module 1: Taxonomy of Swap Contracts

  • Basis swaps
  • Currency swaps
  • Total return swaps
  • Equity swaps
  • Accrual swaps
  • The Bankers Trust - Proctor & Gamble leveraged swap
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Module 2: Credit Swaps

  • Credit risk arithmetic
  • Single-name credit default swaps (CDS)
  • ISDA credit definitions
  • CDS market conventions
  • The CDS - cash basis
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Module 3: Asset Swaps

  • Par asset swaps
  • Market asset swaps
  • Asset swap spreads vs. CDS spreads
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Module 4: Applications

  • Why swap rates?
  • Speculating with interest rate swaps
  • Managing portfolio risk with equity swaps
  • Hedging credit risk
  • Regulation and evolving market structure for swaps
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    Desk-Ready Skills

  • Understand the valuation of a variety of swap contracts
  • Learn how to extract credit risk measures from CDS spreads and asset swap spreads
  • Understand common trading strategies using swaps

Recommended for:

Asset managers

fund managers
risk managers
treasury analysts
regulators
auditors
controllers and financial journalists

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