CIFT In-house Training Agendas

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In-house Training Agendas

Swaps


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Swaps | View All In-house Training Agendas

Pre-Course Online Study
	Introduction to Swaps and the Swaps Market
	Understanding the Tools for Swaps Pricing
	Principles of Pricing and Evaluating Swaps

Post-Course Online Study
	Interest Rate Swaps
	Asset Swaps
	Currency Swaps
	Understanding and Managing Swap Risk

This introductory course covers all the many types of swaps, including pricing and valuation. Case studies and illustration are used to demonstrate these products.

Interest Rate Swaps
- Cash flows and valuation
- Mark to market
- Margining
- Termination / valuation
  
  Case Study: Pricing and valuation
Non-standard Interest Rate Swaps
- Roller coaster, amortising and accreting swaps
- Forward start swaps
- Zero coupon swaps
- Set-in-arrears swaps
  
  Exercise: Pricing examples will be reviewed
Overnight Index Swaps
- Indices
- Applications
- Trading and execution
  
  Exercise: Example calculations will be performed by
  trainer and delegates
Swaps with Optionality
- Ratchet swaps
- Barrier swaps
- Index amortising swaps
- Swaps with caps / floors
  
  Exercise: Pricing illustration will be demonstrated

Swaptions
- Product mechanism and features
- Swaptions applications
- Swaptions valuation and pricing
Cross Currency Swaps
- Mechanism and quotation
- Cross-currency basis swap ‘points’
- Pricing and valuation
Asset and Liability Swaps
- Bond and swap combinations
- Asset swap cash flows and valuation
- Premium and discount priced bonds, pricing impacts
- Counterparty risks
- Residual (contingent) interest rate risk
- Cross-currency asset and liability arbitrage
  
  Case Study: Example case studies will be examined to illustrate asset and liability swaps
Swap and Asset Swaps Strategies
- Arbitrages
- Asset swap versus credit default swap arbitrages
- Yield curve trading with swaps
- Trading swap spreads