This eCourse consists of two modules. Module 1 looks at the curve bootstrapping process in the swaps market since the global financial crisis. A multi-curve approach is required for swap pricing.

Module 2 looks at key sensitivity measures such as dollar duration and DV01 and also looks at the sensitivities of index and discounting curves to rate movements.

On completion of this tutorial, you will be able to:
- Recognize the importance of multi-curve bootstrapping given the changes that have occurred in the swaps market since the global financial crisis
- Identify the process involved in pricing a zero coupon curve given a nonpar swap
- Recognize how the fixed and floating side of a swap have separate interest rate sensitivities
- Measure interest rate sensitivity through dollar duration, DV01, and convexity
- Identify interest rate sensitivities for index and discounting curves

Module 1: Swaps – Bootstrapping Zero Curves
Topic 1: The Swaps Market Post-Crisis
Topic 2: Bootstrapping Zero-Coupon Swap Curves

Module 2: Swaps – Sensitivities & Risk Management
Topic 1: Interest Rate Sensitivities of Swap Components
Topic 2: Sensitivities to Curve Movements