available as an
in-house course
Course Outline
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.
Course 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
 PDF of course outline - Please note that tailoring is possible
IF YOU HAVE ANY QUESTIONS ABOUT THIS SEMINAR PLEASE WRITE TO US AT post@redcliffetraining.co.uk
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