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Rates Structuring & Pricing
Overview
A comprehensive and practical 3 days workshop on pricing, using and managing structured interest rate derivatives. What used to be called exotic interest rate derivatives are now commonplace and an essential part of the financial marketplace either as legacy transactions or embedded in new structures.
This intensive course is for anyone who wishes to be able to use, price, manage, market or evaluate standard interest rate derivatives such as Constant Maturity Swaps, Range Accruals and Quantos.
We also look in detail at such important products as CMS spread-linked structures and volatility/variance swaps, always from a pragmatic practitioner’s perspective.
Learning Objectives
Learn how to structure and price 1st and 2nd generation structured products and exotics, both on the asset side (structured notes) and on the liability management side.
Gain familiarity with advanced option products traded in the rates world
Learn how to build up second generation IRDs from vanilla products and thereby hedge and manage the risk in these structures
Explore how to use second generation and structured products in the design of risk management strategies
Gain an intuitive understanding of convexity and timing adjustments needed in the valuation of second generation derivatives
Understand the role of correlation and volatility in the pricing and structuring of second generation IRDs
Understand the replicating strategy behind variance swaps
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
