Global Financial Markets Institute»Swaps – Intermediate

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 LIBOR and OIS discounting
  • Discuss the role of Eurodollar 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