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Advanced Interest Rate Derivatives

Euromoney Learning
Course summary
Professional Training
3 days
3,565 GBP excl. VAT
London, Online courses
Course Dates
Online courses
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Course description

Advanced Interest Rate Derivatives

Interest Rate Derivatives are an essential part of the financial marketplace. This intensive three-day programme, Advanced Interest Rate Derivatives, will teach you advanced techniques to use, price, manage and evaluate interest rate and cross-currency derivatives.

This hands-on course contains a healthy mix of theory and client applications, which are illustrated and examined through real-life examples, practical exercises and group discussions.

Outcome / Qualification etc.

Learning Outcomes:

  • Gain familiarity with modern multi-curve interest-rate derivatives pricing
  • Learn how to build and analyse yield curves and then bootstrap the discount curve
  • Improve your understanding of interest rate derivatives documentation, clearing and settlement
  • Discuss potential customer applications of interest rate swaps
  • Review formal swaps pricing, from par rates to discount curves and forwards
  • Understand the mechanics of a cross-currency swap (CRX) and the drivers of the CRX basis spread

Training Course Content

  • Day 1: Interest rate derivatives, swaps and cross-currency swaps, modern yield curve construction
  • Day 2: Interest rate options and exotics, CMS and applications, structured products
  • Day 3: Constant maturity swaps, modelling interest-rate volatility, the impact of stochastic volatility, SABR

Why choose Euromoney Learning

4.75/5 rating on course check for service

25,000 professionals trained across public courses

99 countries where training is delivered

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About provider

Euromoney Learning

We develop bespoke learning experiences with the perfect blend of technologies and techniques to help you succeed. An organisation’s ability to continuously learn and evolve rapidly is the ultimate competitive advantage. To achieve your strategic goals, it is essential to...

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Contact info

Euromoney Learning

8 Bouverie Street,
EC4Y 8AX, London

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