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Advanced Swaps

Learn and develop your knowledge of Swaps and the Market Environment for Better Investment Decisions

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A one-day course

This advanced swaps course is broken down into the following nine sections:

Review of Swap Pricing

  • The relationship between swaps, Government yields, and the “Libor” concept
  • Issues in cross-currency swap pricing vs IRS pricing
  • Documentation issues

The Zero-Coupon Curve

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

Marking to Market

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

Traditional Swap Variations

  • Construction and pricing of swap variations
  • Forward start swaps
  • Amortising swaps and accreting swaps (and roller coasters)
  • Currency swaps without exchange of principal
  • Marking these products to market and swap

Short-Date Swaps

  • SONIAs (Sterling Overnight Index Averages), EONIAs (EURO Overnight Index Averages)
  • Pricing mathematics

Asset Swap Packages

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

Advanced Swap Constructions

  • Quanto swaps /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 swap money market; traditional and model-based.

Our swaps course trainer has worked in Investment Banks for nearly 20 years, including HSBC and the Bank of Montreal. During this time, he worked within Operations and as a trader; running books in FX, bonds and derivatives.

Redcliffe’s trainer has run courses all over the world, which include swaps training courses in Amsterdam, Dublin, London, New York, Hong Kong, Singapore, Jakarta, Johannesburg, Delhi, Accra, Johannesburg, and more.

Our trainer delivers courses which focus on providing a practical and in-depth understanding of the markets from a trading, operations and risk perspective. His courses are interactive and stimulating, offering delegates the opportunity to participate in an environment which encourages free discussion on 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. He held the position of Non-Executive Director of Cazenove’s Derivative Oversight Committee for many years. In this role, he acted as a member of the committee in a general consultative capacity to assess the firm’s derivative capabilities and risks.

This trainer has also presented at JPMorgan Forums in London, speaking on topics such as the Benefits and Risks of Derivatives. Along with representatives from the FSA, law firms, and hedge funds, he was asked to give his views on the risks of derivatives to 200 Directors and senior managers from the top investment firms in the UK.

  • By joining this swaps course, you will gain a level of comfort that will allow you to cope with these products on a day-to-day basis. You will fully understand the pricing of swaps and their usage.
  • Our swaps course will also teach you to understand market environment product limitations and swap liquidity issues.

  • This swaps training will teach you how swaps are priced. From IRS hedging to Quanto Equity Swaps; we explain how a trader prices and hedge fund swaps these products.
  • Appreciate the importance of the Zero-Coupon Curve and how it is essential in the pricing of the IRS swaps.
  • Understand how the market in many countries is moving from Libor to RFR (Risk-Free Rates) including SOFR (Secured Overnight Financing Rate).
  • Gain real-life examples of how swaps are marked to market and how this gives you a value for profit or loss.
  • Our swaps course covers some of the swap variations. You will learn all about Short Dated Swaps, Asset Swap Packages, Caps, Floors and Collars and Swaps Trading Strategies.

Advanced swaps training courses are a 'must-know' for:

  • Asset Managers
  • Junior Traders
  • Sales Traders
  • Middle office
  • Risk
  • Compliance
  • Anyone wanting to understand the Swaps Markets

We have created our swaps training courses to be specifically aimed at dealers, sales, middle office and support staff who already have a good basic knowledge of swaps. This swaps training will enhance and deepen the understanding of this successful group of swaps 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

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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