Course Objectives
By the end of the course, participants will be able to:
- Describe the yield curve including the different types and sources
- Explain spot and forward curves and their application in valuation and pricing interest rate swaps
- Differentiate between SOFR and OIS discounting
- Discuss the role of SOFR futures in pricing and valuation of interest rate swaps
- Analyze managing the market risks associated with running an interest rate swaps book
- Explain the pricing and application of interest rate options
Suggested Prerequisites:
- Fundamentals of the Capital Markets / Securities Industry
- Swaps
- Futures and Forwards
- Bond Math or equivalent knowledge
Program Level: Intermediate
Advance Preparation: None
Computers and Financial Calculators: Calculators
Recommended CPE Credits: 7