Swaptions
In this unique one day course delegates will learn the essentials of swaptions including: characteristics and terminology, pricing and risk characteristics, hedging applications, and trading (directional, volatility and curve). It is assumed that delegates will have prior knowledge of swaps, forward rates, options characteristics and terminology.
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Available for in-house delivery. Call +44 (0)1483 573150. |
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Duration: One day (9.00am to 5.00pm) |
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Location: In-house |
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Trainer: Stephen Aikin |
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Course fee: £895 + VAT – Register online |
Course Outline
Swaptions
+ Background to swaptions
+ Types of swaption
+ Swaption terminology and payoffs
+ Swaption settlements
+ Pricing of swaptions using modified Black 76
+ Swaption volatility
+ Volatility influences
+ Effects of issuance of structured products and callable securities: PRDC and TRUPS
Swaption Risk Management
+ Swaption Pricing Characteristics
+ Swaption Greeks
+ Delta
+ Gamma
+ Theta
+ Vega
+ Higher Order Greeks
+ Swaption Pricing Workshop
Swaption Hedging Applications
+ Difference between hedging with caps/floors and swaptions
+ Basic hedging ideas
+ Contingency hedging
+ Selling swaption premium: Italian swaps scandal
+ Gap hedging
+ Swaption hedging case study
Trading Swaptions
+ Directional trading
+ Volatility and spread trading: Straddles and spreads; Relative value volatility trading using straddles
+ Butterfly’s: Relative value volatility trading using Butterfly’s
+ Curve trading
+ Conditional bull/bear steepeners/flatteners
+ Carry and roll-down
