A three-day, practical course on OIS-discounting, multi-curve pricing, trading, clearing, applications and risk management under the new OTC derivatives regulations
The purpose of this seminar is to give you a good understanding of the mechanics, pricing and applications of generic as well as more advanced swaps and of swap-related option structures.
We start with a general introduction to swaps and related options, and we discuss recent market and regulatory developments, including the introduction of the EMIR in Europe and the Dodd-Frank act in the U.S.
We then turn to look in more detail at interest rate swaps. We give a thorough explanation of how swap are traded and cleared, and how they can valued consistently according to "the new paradigms" of OIS discounting and multiple curves with and without collateral agreements. Further, we explain how to calculate and interpret risk analytics such as dollar duration and key rate duration, and we give practical, real-life examples of the uses of interest rate swaps in risk management.
On day two, we start with introduction to currency swaps. We explain how they are priced according "the new paradigm". We explain the importance of the so-called basis swap spread. We present and explain practical examples of applications of currency swaps in Treasury and Risk Management.
Further, we examine a number of more advanced swap structures and their related option instruments. We also look at structures with embedded option features such as "Cancellation Swaps".
On day three, we present and analyze a number of swap-related options, including Caps, Floors, and Swaptions. We also explain how the instruments are priced using OIS discounting in a multi-curve environment, and we demonstrate how they can be applied effectively in practical Treasury and Risk Management.
Finally, we explain how the risks of a swap book can be managed. We explain and demonstrate how interest rate risk and FX risk can be hedged using FRAS and futures. We also explain and illustrate how counterparty risk can be assessed and managed in compliance with EMIR and other regulations.