Swaps and Interest Rate Options
- Mechanics, Pricing and Applications
Day One
09.00 - 09.15 Welcome and Introduction
09.15 - 12.00 Introduction to Swaps
- Swaps and Swap Market
- Swap Types
- Swap Mechanics
- Conventions, cash flows, documentation
Pricing Generic Interest Rate Swaps
- Pricing Swap as Libor-Financed Bond
- What Drives the Swap Spread?
- Zero Coupon Approach
- Yield curve construction using deposits, futures and par
swaps
- Recursive “bootstrapping” of par curves
- Blending and smoothing techniques
- Pricing Examples
- Determining fair value and fair swap rates
- Moving spreads from fixed to floating side
- Exercises
12.00 - 13.00 Lunch
13.00 - 16.30 Pricing Currency Swaps
- Overview of Currency Swap Structures
- Decomposing Currency Swap Structures into Building Blocks
- Pricing Libor Basis Swaps
- Pricing Currency Swaps as Series of Long-dated Forward
Contracts
- Zero Coupon Approach to Pricing Currency Swaps
- Exercises
Analysis of Non-Generic Swaps
- Amortizing
- Accreting Swaps
- Rollercoaster Swaps
- Forward Starting Swaps
- Arrears Reset Swaps
- Small Exercise
Day Two
09.00 - 09.15 Recap
09.15 - 12.00 Analysis of Non-Generic Swaps
(continued)
- Constant Maturity Swaps
- Differential Swaps
- Overnight Index Swaps
- Deferred Coupon Swaps
- Total return Swap
- Small Exercise
Interest Rate Options
- Interest Rate Guarantees, Caps, Floors and Collars
- Mechanics
- Pricing (overview)
- Swaptions
- Mechanics
- Pricing (overview)
- Small Exercise
12.00 - 13.00 Lunch
13.00 - 16.00 Applications of Swaps and
Interest rate Options
- Creating Synthetic Cash Flows
- Asset swaps
- Liability swaps
- Arbitrage with Swaps
- Portfolio Management with Swaps
- Using swaps in duration management
- Swap overlay strategies
- Using Caps, Floors and Swaptions
- Hedging loan with swap, cap or collar
- Call monetisation with swaptions
- Financial Engineering with Swaps and Interest rate Options
- Exercises
Evaluation and Termination of the Seminar
