A one day swaps pricing primer for market professional who are already
well experienced in the in sales and trading of traditional IR products. The focus
is on "necessary" swap maths and particularly on swaps pricing so as
to provide candidates with tools to price swaps after just one day.
how price vanilla and some non-standard swaps, and to make pricing
adjustment for common variations
build market convention IR curves, as well as some insight to more advanced
to price almost any type of swap structure
for market convention sensitivity based position and portfolio risk management
market professionals with at least 1-year experience (some understanding of markets/products helpful)
Traders, sales, support,
1) Introduction to Swaps and Swaps Pricing:
discussion of IR markets, introduction to swaps structures, terminology and
2) PV Theory for
Swaps Pricing: Review of usual discounting measures for single (zero coupon)
and multiple cash flow(s), the IRR and its meaning, Swap par rates and IRR, compounding and cash flow frequency
3) Swap Pricing for the Real World (1): pricing an FRA (i.e. a one period swap),
Interest Rate Swaps pricing: Fixed/Floating, accrual and stub pricing
4) Swap Pricing for the Real World (2):
introduction to non-vanilla swap pricing including, forward start swap (example),
spread to LIBOR (example), coupon effects (example of step-up coupons), notional effects (example of an amortizing swap),
Relationship to bonds, and Credit spreads
5) Variations on the basic swaps theme: Qualitative
examination of roller coaster, differential, basis swaps, callable/putable, asset swaps, index amortizing,
as well as FX and Equity related swaps
6) Curve Generation:
Market convention methods for building curves with "admissible"
instruments, blending, Bootstrapping, LIBOR curves vs. Gov curves, forwards vs.
spot, compounding product problems, and look at curve generation for some more
sophisticate matters such as straight-line vs. exponential, splines, liquidity
and tax effects, credit.
7) Risk Assessment: review of types of risk, look
at "traditional" risk measures, look at "modern" risk
methods both "instantaneous" and "empirical", and "bucketing"
methods for both linear and non-linear risks.
comprehensive and extensively illustrated Handout Notes (see samples
Plus copies of relevant TG2 Books/e-Books
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"