Swaps Course

What Can Be Learned From a Swaps Course?

At GFMI, our Introduction to swaps course is designed to introduce participants to the swaps market and expose them to interest rate swaps, equity swaps, and currency swaps. Our swaps course begins by outlining the key features and characteristics of a generic swap contract, including an overview of the risks that are inherently associated with these kinds of transactions, such as counterparty credit risk and market risk. This is followed up by analyzing how interest rate swaps are used in asset liability management, specifically gap management, as well as the transformation of a fixed rate liability or asset into a floating rate liability or asset.

In this course, the structural differences between currency and foreign exchange swaps are covered, as well as the management of currency risk. Equity index swaps are outlined and an examination is done on how portfolio managers apply them. Key elements of the International Swaps and Derivatives Association (ISDA®) documentation will also be discussed.

This course will examine the features and characteristics, applications, pricing and risks associated with the following swaps:

• Interest rate swaps
• Forward starting swaps
• Currency Swaps
• Equity Swaps

Course Requirements:
• Prerequisites: None
• Program Level: Foundation
• Advance Preparation: None
• Recommended CPE Credits: 7

Swaps Course Sessions

This course is broken down into seven separate sessions:

• By the end of Session 1: Interest Rate Swaps, the course participant will be able to define an interest rate swap, identify cash flows of plain vanilla interest rate swaps, and explain pricing that includes day count conventions and different payment periods. They will also be able to apply swaps from a speculative and hedging perspective, calculate payment for each leg of the swap or netting, and discuss the credit risk that is associated with an interest rate swap.
• Session 2: Eurodollar Features will teach participants how to define and calculate a strip, as well as analyze the Bloomberg screen, EDSF, and how short term forward rates are derived. The importance of strips and their use in pricing, as well as other derivative instruments will also be covered.
• After Session 3: Swap Valuation and Pricing will teach participants to identify different types of yield curves, including yield to maturity, spot, and forward curves. Course participants will learn how these yield curves are applied in valuing a swap, how discount factors and bootstrapping are used in valuations, how to analyze OIS, and valuation techniques to terminate and cancel a swap.
• In Session 4: Risks Associated with Swaps, participants will learn how to identify the different risks that are associated with swaps, including interest rate/market risk, credit risk, basis risk, and many others.
• By the end of Session 5: Currency Swaps, course participants will be able to define currency swaps and explain different structures. They will also learn how to define currency conversion factors, as well as how to recognize the difference between credit risk associated with currency swaps and interest rate swaps.
• Session 6: Equity Swaps will cover the definition of equity swaps, their different structures, how to apply these swaps from an end user’s perspective, and explain fundamental pricing.
• The final session of this course, Session 7: Other Types of Swaps, participants will learn how to define and discuss swaps such as amortizing swaps, accreting swaps, roller coaster swaps, and many others.

For more information on this course, please contact GFMI at +1 516.935.0923 or consult@gfmi.com.