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Advanced Swaps

Enhance and Deepen Your Understanding of SWAPS & the Market Environment

Advanced SWAPS Course

A one-day course

  • Have 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.
  • Understand the market environment and product limitations and liquidity issues.

Review of Swap Pricing

  • Relationship between swaps, Government yields, and the “Libor” concept.
  • Issues in cross-currency swaps vs IRSs.
  • Documentation issues.

The Zero-Coupon Curve

  • Creation of the zero-coupon curve and its uses in pricing swaps
  • Isolation of forward yield curves
  • Use in pricing forward start swaps and swaptions

Marking to Market

  • Prudent marking to market.
  • Liquidity issues.
  • Uses of the zero-coupon curve.
  • Unwinding swaps, “tear-ups, and assignments

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

  • SONIAs, EONIAs
  • Pricing mathematics

Asset Swap Packages

  • Using swaps to create enhanced-return investment vehicles
  • Tax efficiency aspects

Advanced Swap Constructions

  • Quanto (differential) swaps
  • Total return swaps
  • Other exotic swaps

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

Trading Strategies in Swaps

  • The risk/reward profile
  • The concept of the efficient frontier.
  • Arbitraging the market; traditional and model based.

The trainer worked in Investment Banks including HSBC and Bank of Montreal for nearly 20 years. During this time, he worked in Operations and then as a trader, running books in FX, bonds and derivatives.

The trainer has run courses all over the world including Amsterdam, Dublin, London, New York, Hong Kong, Singapore, Jakarta, Johannesburg, Delhi, Accra, Johannesburg etc.

The trainer delivers courses which focus on providing a practical and in-depth understanding of the markets from a Trading, Operations and Risk viewpoint. His courses are interactive and stimulating, offering delegates the opportunity to participate in an environment which encourages free discussion of the real issues faced in the workplace.

In addition to his training activities, he has undertaken various consultancy projects, such as an in-depth collateral risk assessment at a major European Investment bank.

The trainer held the position of Non-Executive Director of Cazenove’s Derivative Oversight Committee for many years. Acting as a member of the committee in a general consultative capacity to assess the firm’s derivative capabilities and risks.

The trainer has also presented at JPMorgan Forums in London, speaking on topics such as the Benefits and Risks of Derivatives. He along with representatives from the FSA, law firms, hedge funds etc. were asked to give their views on the risks of derivatives to 150 / 200 Directors and senior managers from the top investment firms in the UK.

This course is aimed at dealers, sales, middle office and support staff who already have a good basic knowledge of swaps. This course will enhance and deepen the understanding of this successful group of products.

Have this course presented In-House

  • On a date, time and in a location of your choice
  • Topics expanded or deleted to your bespoke requirements
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Have this course pre-recorded

  • Full course recording edited exclusively for your company
  • Files converted to enable housing on your LMS
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