Commodities, Derivatives and Structured Products

Interest Rate & Currency Swap Fundamentals - Part 6 (2021)

Overview

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

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.

Objective

On completion of this tutorial, you will be able to:
- Recall how bootstrapping is used to generate zero-coupon curves
- Recognise the main use of zero-coupon curves
- Identify the key sources of zero-coupon information for existing and new interest rate benchmarks
- Recall how a convexity adjustment is made to rates implied by interest rate futures prices when building a swap zero curve
- Recognise the key features of single and multi-curve environments
- Compare backward-looking rates, such as SOFR, and forward-looking rates, such as LIBOR
- Recognise 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

Content Highlight

Module 1: Swaps – Bootstrapping Zero Curves
Topic 1: Overview of Bootstrapping
Topic 2: Zero-Coupon Curves
Topic 3: Convexity Adjustment
Topic 4: Overnight Index Swaps (OIS)
Topic 5: Curve Environments
Topic 6: Backward & Forward-Looking Rates

Module 2: Swaps – Sensitivities & Risk Management
Topic 1: Overview of Swap Sensitivities
Topic 2: Floating Side Sensitivities
Topic 3: Fixed Side Sensitivities
Topic 4: Swap DV01 Calculations
Topic 5: Index Discounting Curve Sensitivities

Administrative Details

Code
TEPDS21008801
Venue
ePlatform
Relevant Subject
Type 2 - Dealing in futures contracts
Type 5 - Advising on futures contracts
Language
English
Hours
SFC:1.50, PWMA:1.50
Fees
All Member: HKD485
Non-Member: HKD735
Staff of Corporate Member: HKD485