Training Course: Advanced Swaps

Training Course Summary:

OFFERED AS A IN HOUSE COURSE ONLY.

This course, aimed as it is at those dealers, sales, middle office and support staff who already have a good basic knowledge of swaps, will enhance and deepen the understanding of this successful group of products.

Participants will leave having a level of comfort that they can cope with these products on a day-to-day basis and that they understand their pricing and usage.

In addition, delegates will understand the market environment and product limitations and liquidity issues.

Training Course Overview/Content:

Review of Swap Pricing
Swaps, Government yields, and the "Libor" concept
Issues in cross-currency swaps vs IRSs

Marking to Market
Prudent marking to market and liquidity issues
Uses of the zero-coupon curve

Traditional Swap Variations
Construction and pricing of swap variations
Forward start swaps
Amortising and accreting swaps (and roller coasters)
Currency swaps without exchange of principal
Marking these products to market and liquidity

Short-Date Swaps
Pricing mathematics
FIONAs

Asset Swap Packages
Using swaps to create enhanced-return investment vehicles
Tax efficiency aspects

Advanced Swap Constructions
Constant maturity swaps
Quanto (differential) swaps
Total return swaps
Other exotic swaps
Special swap constructions - matching client need
Creating FRAS from "Swaplettes"
Exchange traded swap futures contracts

Caps, Floors & Collars
Basic option pricing concepts
Application to the long-term yield curve and thus to swaps
Relationship of caps, floors and collars to swaps

The Zero-Coupon Curve
Creation of the zero-coupon curve
Isolation of forward yield curves
Use in pricing forward start swaps and swaptions

Credit (Counterparty) Risk in Swaps
Spread risk and contamination
Modelling techniques for identifying credit risk
Methods of offsetting risk; netting, collateralising etc
Documentation issues

Basis Risk Between Position and Hedge Products

Duration, Convexity and Hedging Techniques for Swap Trading
Positions

Further Topics
Swaptions - Construction and Application
"Omega" Analysis
Trading Strategies in Swaps