WHAT'S NEW?

FINANCIAL MARKET COURSES

Futures - Building a Yield Curve (Even Periods)

A swap is a series of forward contracts. This course will illustrate how, based on this concept, it is possible to generate swap rates using futures prices. The course assumes that we are dealing with even periods (an exact number of months). For example, we assume exactly three months between a spot date and a nearby futures contract date.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Identify the differences between forward and futures contracts and the limitations that are associated with using futures contracts to generate swap rates

    Generate interest rate swap rates for even periods using a strip of short-term futures prices

  • COURSE OUTLINE

    Topic 1: Forwards, Futures and Swaps

    Positive and Negative Correlation

    Swap Rates

    Topic 2: Even Periods

    Price Discovery

    Calculate Discount Factors

    Calculate Present Value of Floating Payments

    Calculate Swap Rate

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    65 Minutes

Next Course

VIEW COURSE

INTERMEDIATE

Support

Accreditations

General: info@intuition.com

Accounts: ar@intuition.com

http://support.intuition.com

Intuition engages with over 30 accreditation bodies to ensure Know-How can be used for CPE credits. If your organization needs CPE from a body not listed below, contact us and we will endeavour to have them included.

© Copyright 2016 by Intuition. All Rights Reserved.