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A Trader’s Guide to Interest Rate Markets


Objectives: 3-day course provides a good "conceptual" understanding of the products, tools, and methods required for Front Office IR instrument and derivatives operations. Additionally, the course will consolidate existing knowledge and provide a "level playing" field of knowledge within the various groups. The course has been design to permit future courses to bring the participants up to a strong "working" knowledge.

Audience: market professionals just starting in IR products (past market experience useful)

·      Traders, sales, support,

·      Management, treasurers,

·      Risk Management

Table of Contents 

1) Introduction to IR markets: provides the foundation for IR products in terms of supply/demand and uses and the economic need for securities and derivatives (loans, hedging, market making, risk taking), as well as examination of arbitrage valuation concepts.

2) Basic IR and Present Value Theory: thorough examination of PV concepts and tools providing all of the essential machinery for valuation.

3) IR Securities and (non-contingent) Derivatives: extensive treatment of the terminology, valuation and pricing methods of IR securities and non-contingent derivatives with a large number of worked examples including Deposits, FRAs, Futures, Bonds and Bond Futures, vanilla and near-vanilla Swaps using both traditional IRR method as well as the zero-coupon method.  Additionally included qualitative treatment of complex derivatives such as diff-swaps, and discussions on the merits and uses/abuses of such products.

3) IR Curves: complete top-to-bottom treatment of market convention method for producing zero-coupon curves, with detailed step calculations, discussions of shortcomings, and qualitative treatment of advanced concepts.

4) Hedging and Position Risk: Risk Assessment and Control with consideration beginning with Types of Risk (focusing on Market risk) using Sensitivities and Sensitivity matching for Position Risk with both Traditional (Duration, Convexity, etc) as well as empirical ("bucket" methods for additional assessment of rotations and so forth).  Additionally considering Market Risk and Homogeneity Covariance and Liquidity and using Sample “Bucket reports”.

5) IR Optionsdown to earth presentation on the concepts and methods for pricing IR products/options starting with an analyses of uncertain market process and by way of "dissection" creating an options model that everyone can understand.  An analyses of the "risk neutral" (Black-Scholes) approach and its limitations is also provided.  Explanation of volatility concepts and term-structure dynamics is given in an intuitive fashion.  The section concludes with analyses of option's position risk.

7) Portfolio Simulation and Trading Efficiency: an introduction to the methods required for real world hedging and portfolio risk management by constructing strategy  simulations of directional, structured, and hedged exotic options portfolios, as well as techniques for choosing "optimal"  strategies.


855 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

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Last modified: July 25, 2011