Global Markets Training

This invaluable one day course provides an in-depth introduction to the swaps market. It includes swap mechanics, conventions and pricing along with instruction on how to calculate swap profit & loss and unwinds. The course also covers Asset, Overnight Index, Currency and Basis swaps and provides essential guidance on specific swaps trading strategies.
 

	Date: March 27, 2012
	Duration: One day (9.00am to 5.00pm)
	Location: Apex City of London Hotel – London, UK
	Trainer: Stephen Aikin
	Course fee: £895 + VAT – Register online

Course Outline

Interest Rate Swaps
+ Swap market background and history
+ Swap mechanics and conventions
+ Swap applications: Using swaps to transform asset and liability exposure
+ Calculating swap P&L and unwinds
+ Workshop: Swap applications

Swap Valuation
+ Introduction to swap valuation considerations
+ Present value considerations
+ Deriving discount factors from deposits and par swap rates
+ Pricing a EUR 5Y Fixed Annual 30/360, Floating act/360 swap
+ Swap risk: DV01
+ Calculating swap profit and losses
+ Approximating swap NPV and DV01

Asset, Currency and Other Swaps
+ Asset swaps
+ Currency swaps
+ XCCY asset swaps
+ Overnight index swaps
+ OIS/LIBOR swaps
+ Basis swaps and constant maturity swaps
+ Case study: Currency swaps

Spread and Curve Trading Using Swaps
+ Swap spreads, drivers and mechanics
+ Curve trades: Steepeners and flatteners; Bull and bear steepeners and flatteners; Constructing a DV01 neutral bear flattener; Carry and roll-down
+ Butterfly trades: Belly richening and belly cheapening butterflys
+ Case study: Power Reserve Dual Currency Note hedging using long dated swaps