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Level

Intermediate

Beginners will be required to complete substantial pre-course work and an assessment.

Duration

3, 4, or 5 days

Overview

This is an intermediate level workshop providing a practical explanation of the intricacies of the bond and interest rate derivative markets, and the appropriate use of these instruments for hedging and investing.

Please note that attendees are assumed to be already familiar with some of the essential jargon, instruments, and mathematics of the fixed income cash markets, which are covered in the pre-course reading.

Learning Outcomes

  • Bootstrap yield curves
  • Price and apply FRAs and interest rate futures
  • Price and apply vanilla and non-vanilla single currency swaps
  • Price and apply cross-currency basis swaps
  • Price and apply vanilla interest rate options
  • Hedge portfolios of interest rate derivatives