Trading and Valuing FX Forwards & Swaps (14-16 October 2020)

Level

Intermediate

Location and Duration 

Johannesburg; 3 days

Overview

This three-day workshop provides a unique opportunity to investigate the fundamental techniques required to profitably trade and manage a portfolio of foreign exchange forward instruments, including FX swaps and a variety of vanilla and non-vanilla forward contracts.

Learning Outcomes

• Price and trade matched and mismatched principal FX swaps
• Price and trade forward-forward FX swaps
• Price and trade FX outrights, partially/fully optional forwards, NDFs and synthetic forwards
• Value portfolios by constructing market-based curves
• Reverse engineer FX forwards and swaps into their component risks
• Comprehend and apply appropriate risk measures
• Anticipate potential market scenarios with correct portfolio positioning
• Price longer-dated FX using the cross-currency basis

Fee

ZAR 13 950 + VAT