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1-Day Swaps


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. 

Will learn

      how price vanilla and some non-standard swaps, and to make pricing adjustment for common variations

     how build market convention IR curves, as well as some insight to more advanced curve methods 

     techniques to price almost any type of swap structure

    techniques for market convention sensitivity based position and portfolio risk management

Audience: market professionals with at least 1-year experience (some understanding of markets/products helpful)

      Traders, sales, support,

      Risk Management

Table of Contents 

1) Introduction to Swaps and Swaps Pricing: discussion of IR markets, introduction to swaps structures, terminology and market conventions.

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.


187 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: 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" list HERE)

    Get a Syllabus in more detail

    Sign Up for a scheduled course

    Sign Up for an in-house course


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Last modified: July 25, 2011