This course builds on the Introduction to Swaps course with a more detailed look at the various applications of swaps. Running a swap book is explored and the pricing and valuation of swaps are covered in depth. How swaps are used in risk management with specific attention given to mapping cash flows, gaps, PVBP, and futures equivalents is all covered. The use of repos to price longer dated swaps is explored. Specially designed computer software will be used to price and value swaps, giving the participant a hands on tool to understand this market. The course will define and examine swaptions and computer software will be used to price this hybrid product. Finally, risks in swaps are identified and explored. Credit exposure methodologies and controlling credit risk are examined. Measuring counterparty risk is covered, outlining current and future exposures.

Objectives

By the end of the course, the participant will be able to:

• Explain how to run a swap book
• Price and value swaps
• Identify how swaps are used in risk management, specifically, mapping cash flows, gaps, PVBP, futures equivalents
• Explain how repos are used to price longer dated swaps
• Define and examine swaptions
• Price and value swaps and swaptions with specifically designed software
• Risks in swaps are explored, market/interest rate risk, credit risk, liquidity risk and basis risk
• Identify Bloomberg pages that market practitioners use

This course is designed for

• People needing to understand the technical aspects of swap pricing and valuation
• People supporting swap sales and trading needing a deeper understanding of managing and valuing swaps