Interest Rate Products – Mechanics, Pricing and Applications

This 2-day course offers a detailed analysis of the interest rate market and the products that trade within it.

About this Event

Attend this 2-day training course and learn about:

  • The nature of interest, interest rate calculations and discounting methods
  • The scope and structure of the bond market
  • Bond pricing and risk management
  • Interest rate derivative products – concepts and technical details
  • Creating synthetic assets using interest rate swaps
  • The risk of interest rate derivatives – measuring and managing
  • The interest rate volatility surface and pricing approaches for interest rate options
  • Interest rate exotics and structured products, and how they are used by traders and investors

On day one, we start with the basics of interest rates – how are they quoted, how are the levels set and what drives movements in rates? We then look at the marketplace for debt products focussing on the details of the money and bond markets. The course will help participants understand how companies, banks and investors use these markets as well as covering the technical details around pricing and risk management.

On day two we move our focus to interest rate derivative products. This section begins with a look at the linear derivative products: FRAs, futures and swaps. We cover the intuitive understanding of these products and the client applications, through to detail on the pricing and risk management. Once we have laid the derivative foundations, we move onto option products, including a look at exotic derivatives. Main option applications will be covered, and participations will be introduced to option pricing and option risk. The course finishes with a look at interest rate structured products, examining some of the investor favourites and asking what makes them so appealing.

Who should attend?

  • Bank traders, salespeople, structurers
  • Bank market risk managers, middle office and operations professionals
  • Investors – institutional investors, fund managers, private traders
  • Company treasury managers and staff, accountants, risk managers

Course methodology

The course consists of classroom-based training which combines formal teaching of concepts and technical content, with individual and group exercises to reinforce learning points.

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