Fundamentals Of Swaps

A solid understanding of the mechanics of swaps is a requisite for every derivatives professional. This highly practical course will help you to get to grips with all aspects of pricing, hedging and trading swaps.

Course Highlights

Very clear and logical explanations throughout. This course is a success due to the quality of teachning

K.L., WestLB

Attend this intensive two-day course and gain a practical understading of:

The development of the swaps market, its current size and key players
Main swap instruments including interest rate swaps, currency swaps and simple non-generic swaps
Uses and applications of swap products
Swap portfolio risk management
Capital requirements, documentation and regulatory issues

For details of the course trainer, please download the course brochure

Booking Information

Dates	Prices	Book This Course	Discount
13 - 14 Sep 2010	£ 1999		-
07 - 08 Mar 2011	£ 1999		-

You can also book Fundamentals Of Swaps & Advanced Swaps together at discounted price £3699.00. For more details about Advanced Swaps click here.

Course Programme

Very clear and logical explanations throughout. This course is a success due to the quality of teachning

K.L., WestLB

This course is a good presentation to the Advanced Swaps course

K.B., ABN Amro

What I liked most about this course was its practical focus and the legal aspects

A.R., Autoliv AB

Overview of the swaps markets

Introduction to the OTC market
Development of the swap market
Identifying key players, their roles and motivations
Understanding the basic definitions and jargon

Identifying and analysing main swap instruments

Definitions of a generic swap
Examining the structure of generic and simple non-generic swaps
interest rate swap
currency swap
coupon swap
basis swap
equity swap
commodity swap
asset and liability swap
money market and term swap

Uses and applications of swaps

Trading
Risk management: taking risk or hedging risk
Arbitrage
Speculation
Cash flow and treasury management
Asset and liability management

Workshop: Simple swap strategies

Issuing / buying fixed and converting to floating
Issuing / buying floating and converting to fixed
Issuing / buying in one currency and converting to another

Understanding basic swap mathematics

Interest rate quotations
Interest rate calculation
Present and future values
Introduction to discounted cash flow
Discount factors
Using maturity rates
Calculating yields
Calculating par, zero and forward rates
Zero coupon discount factors

Workshop: Bootstrapping
This session will bring together the concepts underlying the mathematics of swaps

Practical introduction to swaps pricing

Swap quotations
Market making
Warehousing a swap
Marking to market

Interest rate swaps pricing and valuation

Discounted cash flow methodology
Zero coupon yield approach
Cash arbitrage techniques
Floating leg valuation
Unwinding swap method of valuation

Cross currency swaps pricing and valuation

Cross-currency basis swaps
Pricing short-term forward exchange swaps
Pricing long-term currency swaps

Examining the structures and uses of non-generic swaps

Rollercoasters
Forward starts
Yield curve swaps

Workshop: Swap structuring and pricing
This session will give delegates the opportunity to structure and price a variety of swaps

Commodity-linked swaps

Types of swap
Examples of the uses of commodity-linked swaps
Pricing commodity-linked swaps

Equity swaps

Types of swap
Examples of the uses of equity-linked swaps
Pricing equity-linked swaps

Credit-linked swaps

Types of swap
Examples of the uses of credit-linked swaps
Pricing credit-linked swaps

Introduction to swaps risk management

Identifying risks associated with swaps
interest rate risk
mismatch risk
basis risk
counterparty credit risk
cost of capital considerations
Introducing swaps portfolios risk management approaches
bucketing
hedging on a price sensitivity basis
the Delta vector method
Value-at-Risk
integrating market risks
choosing hedging instruments to suit portfolio needs

Workshop: Identifying and managing swap risks

Documentation and regulatory issues

Deal confirmation
Cancellation
Assignment
Netting and insolvency
Calculating risk capital requirements
Calculating credit and interest rate risk for Basle