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FINANCIAL MARKET COURSES

Swaps - Differential Swaps

A differential swap – also known as diff swap, index differential swap, cross currency interest rate swap or quanto swap – is a variation of an interest rate swap, distinguished by the fact that at least one (and possibly both) of the payment rates refers to a currency different from that of the notional principal. By using a differential swap, a counterparty can exploit the interest rate differential between two currencies without directly incurring any exchange rate risk.

 

This course looks at differential swaps in detail, examining their features and characteristics and showing how to price these structures.

  • OBJECTIVES

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

    Describe the features and characteristics of differential swaps

    Outline the main considerations in the pricing of differential swaps

  • COURSE OUTLINE

    Topic 1: Basics of Differential Swaps

    Definition of Differential Swaps

    Characteristics of Diff Swaps

    Investor View

    Diff Swap Cash Flows

    Topic 2: Pricing Differential Swaps

    Basics of Diff Swap Pricing

    Hedging a Diff Swap

    Foreign Exchange Risk Management

    Hedging Strategies

    Static Hedging

    Dynamic Hedging

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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