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Advanced Swaps - IRS and Inflation Course

Aims

This half-day workshop is designed to provide an in-depth explanation of the structure of swaps contracts, their pricing and how they are used in LDI.

It is assumed that all delegates have either attended or are familiar with the concepts in the Introduction to Futures, Introduction to OTC Derivatives and Introduction to Options modules.

Case studies form an integral part of the course, to allow the delegates to consolidate the information and provide the basis for group discussions.


Objectives

At the end of the workshop, delegates will have a better understanding of:

  • Discounting cash flows calculations
  • How to construct the zero coupon curve, and the resulting implied forwards
  • How to value swaps using the zero coupon curve – using a model
  • The key types of inflation swaps, the settlements and their applications
  • Risk management tools for swaps

Who should attend?

  • Investment administration and operations
  • Investment professionals
  • IT and software developers
  • Risk management
  • Legal and compliance
  • Finance and accounting

Content

  • Interest rate swaps
  • Zero coupon pricing
  • Swaps risk management
  • Inflation swaps