Interest Rate Products Workshop

• The nature of interest, interest rate calculations and discounting methods
• The scope and structure of the bond market
• Bond pricing and risk management
• Interest rate derivative products - concepts and technical details
• Managing interest rate risk using interest rate swaps
• Interest rate options and popular client applications
• The interest rate volatility surface and pricing approaches for interest rate options
• Interest rate exotics and structured products, and how they are used by traders and investors

This 2-day course offers a detailed analysis of the interest rate market products and how they are used by traders, investors and companies.

On day one, we start with the basics of interest rates – how are they quoted, how are the levels set and what drives movements in rates? We then look at the marketplace for debt products focussing on the details of the money and bond markets. The course will help participants understand how companies, banks and investors use these markets as well as covering the technical details around pricing and risk management. We then moved our focus to interest rate derivative products. This section begins with a look at the linear derivative products: futures and swaps. We cover the intuitive understanding of these products and the client applications.

On day two we move on to the details of pricing and risk management of interest rate swaps and also introduce tenor basis and cross currency swaps. We then move onto option products, including a look at exotic derivatives. The main option use cases will be covered, and participations will be introduced to option pricing and option risk. The course finishes with a look at interest rate structured products, examining some of the investor favourites and asking what makes them so appealing.

Host or Publisher MONECO Financial Training