.png)
Interest Rate Futures & Swaps - Pricing, Hedging & xVA Adjustments
Overview
This comprehensive 3-day program is designed to equip participants with the skills to use, price, manage, and evaluate interest rate and cross-currency derivatives. Starting with the fundamentals of money markets and futures, the course progresses through yield curve construction, interest rate and cross-currency swaps, and their real-world applications.
The training emphasizes a hands-on approach, with numerous practical exercises focused on hedging, valuation, and risk management. Additionally, the course covers key topics such as xVA, documentation, and settlement processes.
Participants will gain valuable experience through extensive use of Excel-based tools for valuation and risk management, which they can immediately apply in their professional role.
Learning Objectives
Build and decode multi-curve yield structures
Bootstrap discount factors & forward curves with precision
Unravel the dynamics of futures, forwards & FRAs
Command par, zero, discount & projection curves
Engineer hedges using futures, swaps & bonds
Price, revalue & hedge swap portfolios
Structure asset–liability & cross-currency swaps
Tackle documentation, credit risk, settlement & XVA
Who the course is for
This course is designed for anyone who wishes to be able to price, use, market, manage or evaluate interest rate derivatives.
Interest-rate sales / traders / structurers / quants
IT
Bank Treasury
ALM
Central Bank and Government Treasury
Funding managers
Insurance Investment managers
Fixed Income portfolio managers
IPV professionals
