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Advanced Swaps

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

Advanced Swaps Course

A one-day course

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

  • Learn how swaps are priced. From IRS hedging to Quanto Equity Swaps we explain how traders’ price 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 counties is moving from Libor to RFR (Risk Free Rates)g. SOFR (Secured Overnight Financing Rate)
  • See real life examples of how Swaps are Marked to Market and how this gives us a value for profit or loss
  • Learn about some of the swap variations, such as; Short Dated Swaps, Asset Swap Packages, Caps, Floors and Collars and Swaps Trading Strategies

  • Have a level of comfort that they can cope with these products on a day-to-day basis and that they understand pricing of swaps and usage.
  • Understand the market environment and product limitations and swap liquidity issues.

Review of Swap Pricing

  • 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 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.

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 Advanced SWAPS training course is aimed at dealers, sales, middle office and support staff who already have a good basic knowledge of swaps. This SWAPS course 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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