Professional Course
5.0 (1 Reviews)

Interest Rate Derivatives and Swaps

London Financial Studies, In New York City (+1 locations)
3 days
4,200 USD
Next course start
8 July, 2024 (+3 start dates)
Virtual Classroom, Classroom
3 days
4,200 USD
Next course start
8 July, 2024 (+3 start dates)
Virtual Classroom, Classroom
This provider usually responds within 48 hours 👍

Course description

Interest Rate Derivatives are an essential part of the financial marketplace. This programme will equip you to use, price, manage and evaluate interest rate and cross-currency derivatives.

The course starts with the building blocks of money markets and futures, through yield curve building to interest-rate and cross-currency swaps, and applications. The approach is hands-on and learning is enhanced through many practical exercises covering hedging, valuation, and risk management. This course also includes sections on XVA, documentation and settlement.

The programme includes extensive practical exercises using Excel spreadsheets for valuation and risk-management, which participants can take away for immediate implementation.

Over the course duration, participants will become familiar with the following course objectives:

  • Gain familiarity with modern multi-curve interest-rate derivatives pricing
  • Learn how to build a yield curve from alternative instruments, and then bootstrap discount factors and forward curves
  • Explore the relationship between futures, forwards and FRAs
  • Understand the four equivalent expressions of a yield curve: par curve, zero curve, discount curve and projection curve
  • Construct hedges using futures, swaps and bonds
  • Price and revalue swaps
  • Learn how to value and hedge a swap portfolio
  • Structure asset and liability (new issue) swaps
  • Price and structure cross-currency swaps
  • Understand documentation, credit and settlement including XVA

Upcoming start dates

Choose between 3 start dates

8 July, 2024

  • Virtual Classroom
  • Online
  • English

21 October, 2024

  • Virtual Classroom
  • Online
  • English

Please contact LFS

  • Classroom
  • New York City

Who should attend?

This course is designed for anyone who wishes to be able to price, use, market, manage or evaluate interest rate derivatives.

  • Interest-rate sales, traders, structurers, quants and relevant IT personnel
  • Bank Treasury and other Asset Liability Management executives
  • Central Bank and Government Treasury Funding managers
  • Insurance Company investment managers
  • Fixed Income portfolio managers
  • Company finance executives and investment bankers
  • Risk managers, finance, IPV professionals, auditors and accountants

Training content

Day One

The Money Markets

  • Money-market (Libor and O/N) rates
  • Background to LIBOR controversy
  • IBOR Transition issues, the rise of SOFR and RFRs
  • How the new rates will look – synthetic term rates for SOFR

Interest Rate Swaps

  • The background to swaps, today’s market and applications
  • Quoting swaps – absolute rates or spreads?
  • Market conventions, daycounts, structures and terminology
  • Intuitive swap pricing, PV01
  • Close-outs, unwinds and assignments
  • LIBOR swaps versus OIS
  • The modern multi-curve framework, tenor basis and term premiums

Curve Construction and Formal Valuation

  • Discount curves and projection curves
  • What is the right discount curve for a bank to value its trading book?
  • Computing the four representations of a yield curve: par rates, zeros, the discount curve, the forward (projection) curve
  • Bootstrapping an o/n discount curve
  • Constructing a projection curve from FRAs / futures / swaps
  • Briefly on interpolation techniques

Day Two

Hedging Short-end Risk - Futures and FRAs

  • FRA mechanics and settlement
  • Using FRAs to manage short term interest rate risk
  • Computing the forward rate
  • Eurodollar futures contract details, settlement and margining
  • Using Futures to manage short term interest rate risk
  • Understanding the Futures/FRA convexity adjustment

Interest Rate Swap Trading

  • Swaps in funding, new issue swaps
  • Asset swaps, par/par and market value structures
  • ASW versus CDS spreads
  • Trading swaps – curve trades and lies

Hedging Long-end Risk

  • Quantifying interest rate risk – bulk DV01 and bucket DV01s
  • Hedging with swaps
  • Hedging with bonds and bond futures
  • Quantifying and hedging basis risk

Bond Futures

  • The 10yr Bund Future on Eurex – mechanics and settlement
  • Conversion factors, implied repo, and the CTD
  • Basis trading
  • Bond futures DV01

Day Three

Cross-Currency Swaps

  • Cross-currency swap mechanics, comparison with FX swaps
  • The CRX basis and its drivers
  • Applications of CRX swaps
  • CRX swaps and credit exposure
  • Doing it properly: CRX-adjusted discount curves

Docs, Credit and Settlement

  • Swap clearing and CCPs
  • Bilateral (OTC) swaps – the role of the ISDA Master
  • Credit mitigation – quantifying exposure (EAD, EPE, PFE)
  • CSAs and collateral

XVA Adjustments

  • The impact of asymmetric collateral positions
  • FVA and the cost of funding
  • Pricing credit risk, CDS fundamentals
  • Computing the cost of credit exposure (CVA)
  • Own-risk adjustment (DVA)
  • The double-counting trap between FVA and DVA


The cost of the Interest Rate Derivatives and Swaps course is available upon request.

Certification / Credits

London Financial Studies is registered with CFA and GARP Institute as an Approved Provider of continuing education programs. GARP & CFA Institute members attending this course are eligible for 32 CE/CPD credits.


Average rating 5

Based on 1 reviews.
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19 Mar 2024

Very useful and practical topic applicable on a day to day basis. Truly appreciate it!

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