Corporate / Group Training

A Masterclass in Derivatives (In-House)

5 days
4,999 GBP
Next course start
Inquire for more information See details
5 days
4,999 GBP
Next course start
Inquire for more information See details
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Course description


A Masterclass in Derivatives (In-House)

  • Value and model of fixed income and equity-linked derivatives
  • Trade and structure options and manage the risks
  • Use integrated stochastic yield curve models
  • Use securitisation and hybrid corporate credit-risky securities
  • Use credit derivatives and credit risk models

Upcoming start dates

1 start date available

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  • On-site
  • Worldwide
  • English

Training content

Yield Curve Derivatives: Hedging/Arbitraging Taxonomy, Markets Linkage & Overview

  • Risk measures, concept of volatility & modelspecific valuations
  • Decomposition into simpler (fixed, floating, contingent) cash flows

Forward Rate Agreements (FRAs)

  • FRAs, swaps & futures: convexity bias adjustment
  • Computer Workshop: FRAs cash flows

Fundamentals of Yield Curve Construction, Interest Rate Swaps & Micro-Structure

  • Computer Workshop: Swap fixed leg cash flows

Stochastic Floating Cash Flow Valuation (Some Key Results)

  • Valuing unknown LIBOR cash flows
  • Key strategic (static) replicating portfolio & exit strategies
  • Forward rate method & spot-forward parity
  • Principal (FRN, Synthetic Bond) Method

Swap Yield Curves & Zero-Coupon Valuation

  • Par money market (spot LIBOR) and swaps (forward LIBOR) rates
  • “Stripping” par-rates curve
  • “Bootstrapping” zero-coupon bond price curve
  • Audit checks: profit & loss: principal & forward rate methods
  • Effective yield-to-maturity, zero-coupon bond yield curve
  • Computer Workshop: Constructing annual swap
  • Stripping “special” one-year semi-annual equivalent par rate
  • Computer Workshop: Constructing semi-annual swap

Off-Market Swap Points

  • Linear, geometric (log-linear), exponential & spline interpolations
  • Computer Workshop: Exponential interpolation

Interest Rate Futures

  • Forward rate, futures price/rate, convexity adjustment
  • First futures stub rate, futures strip zero-coupon bond prices
  • Computer Workshop: Bootstrapping futures strip zeros
  • Integrating money, swap & futures curves
  • Computer Workshop: Incorporating futures strip prices

Principal Component Analysis (PCA) & Swap Pricing

  • Yield curves dynamics: Shifts, tilts & turns
  • Correlation, factor components & volatility (cone) surface

FX Currency Swaps

  • Equivalent bond positions
  • Equivalent forward exchange positions
  • Computer Workshop: Valuing FX currency swaps

Non-Standard & Off-Market Swaps

  • Amortising swaps, accreting swaps & rollercoaster swaps
  • Computer Workshop: Valuing existing off-market swaps
  • Pricing LIBOR-in-arrears (DRS) interest rate swaps
  • Limitations of forward rate method & volatility mode


  • Online course fee: £2999 + VAT if applicable
  • London course fee: £4999 plus VAT = £5998.80

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IFF - International Faculty of Finance

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As one of the world's leading specialist financial training organisations, The International Faculty of Finance, provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage.  Established in 1991 we...

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