Professional Course

Interest Rate Derivatives Masterclass

ACF Academy, In London (+3 locations)
2 days
2,300 USD, 1,575 - 1,825 GBP
Next course start
14 December, 2023 (+4 start dates)
Classroom, Virtual Classroom
2 days
2,300 USD, 1,575 - 1,825 GBP
Next course start
14 December, 2023 (+4 start dates)
Classroom, Virtual Classroom
This provider usually responds within 48 hours 👍

Course description

Interest Rate Derivatives Masterclass

The Interest Rate Derivatives Masterclass provides a comprehensive insight into the instruments that comprise the biggest derivatives market in the world.

If you need to know how a zero-curve and set of discount factors can be constructed, or how to price, value, and hedge swaps, caps and floors, swaptions, and cancellable swaps, then this course is ideal, especially as participants gain hands-on practice using ACF’s sophisticated pricing, analytical and trading software.

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Upcoming start dates

Choose between 4 start dates

14 December, 2023

  • Classroom
  • London

16 January, 2024

  • Classroom
  • Miami
  • English

22 January, 2024

  • Classroom
  • New York City

20 February, 2024

  • Virtual Classroom
  • Online

Who should attend?

Who Should Attend

Anyone working in fixed income or derivatives.


An understanding of time value of money and bond math.

Training content

Interest Rate, Currency, and Asset Swaps

  • Definitions and terminology
  • Market participants and drivers
  • Cash flows and timing
  • LIBOR vs. SOFR swaps
  • Quotation and dealing conventions
  • Interest rate swaps: standard vs. non-standard swaps
  • Currency swaps: fixed-fixed, fixed-float, float-float
  • Asset swaps
  • SEFs and central counterparties
  • Hedging interest-rate risk
  • Fixing financing costs
  • Fixing investment returns
  • Reducing financing costs
  • Swap applications

Yield Curves and Zero-Coupon Pricing

  • Yield curve math
  • Zero-coupon rates
  • Swap and par rates
  • Forward rates
  • Zero-coupon pricing
  • Discount factors and the discount function
  • Links between swap, zero & forward rates
  • Calculating discount factors from market rates
  • Deriving the discount function from market rates
  • Pricing an FRA from the futures strip

Pricing and Valuing Swaps

  • Swap valuation principles
  • Valuing the fixed leg
  • Valuing the floating leg
  • Valuing a swap
  • Pricing and valuing vanilla and non-standard swaps
  • Sensitivity to movements in swap rates
  • Cancelling or unwinding a swap
  • Pricing SOFR swaps
  • Credit exposure – measurement and management
  • Hedging swaps
  • Hedging swaps using strips of futures
  • Swap risk compared for different types of swaps

Interest Rate Options

  • Definitions and terminology
  • Market participants and drivers
  • How interest rate options differ from other options
  • Interest rate guarantees (IRGs)
  • Interest rate caps
  • The term structure of volatilities
  • Interest rate floors and collars
  • Quotation and dealing conventions
  • Principles of cap and floor pricing
  • Pricing standard and non-standard caps
  • Link between swap and forward rates
  • Cap/floor parity
  • Captions and floortions
  • Swaptions
  • Pricing swaptions

Interest Rate Derivative Structures

  • Participating caps
  • Step-up, step-down and ratchet caps
  • Amortising, accreting, and rollercoasters
  • Self-funding caps
  • Cancellable and extendable swaps
  • Creating a cancellable swap

Hedging with Interest Rate Derivatives

  • Option hedging structures
  • Establishing client objectives
  • Determining pain thresholds and views
  • Tailoring the hedge to match the need
  • Reducing the cost of client hedges
  • Designing innovative products and solutions
  • Structuring a client I/R hedge


  • New York: $2,300
  • London: £1,825 (plus VAT)
  • Virtual: £1,575 (plus VAT)

Certification / Credits

CPD: 14 hours

Learning Outcomes

By attending this course, you will:

  • Gain a clear appreciation of the range of interest rate derivative products
  • Understand how interest rate derivatives are priced
  • Experience dynamic practical hedging and trading of the products
  • Be more aware of interest rate risk issues and how to manage them
  • Be able to create and deliver more relevant and innovative solutions

Why choose ACF Academy?

Over 100,000 professionals trained globally

Award-winning practical financial simulations

Consistently high ratings

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ACF Academy
28 King Street
EC2V 8EH London

ACF Academy

ACF Consultants are a global leader in providing practical and effective training for financial professionals. Leading banks, companies and financial institutions from all over the world partner with us to develop their people to achieve their goals. They trust our...

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