Swaps – Intermediate

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