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FINANCIAL MARKET COURSES

Swaps - Forward, Amortizing, & Zero-Coupon Swaps

Forward, amortizing and zero-coupon swaps are variations of the traditional interest rate swap structure that are often used in combination with one another. Forward swaps are used to take a view on forward interest rates, amortizing swaps are used to match the underlying principal to an amortizing loan, while zero-coupon swaps are useful if the floating rate receiver has a short-term cash flow deficit. In this course, you will learn how each of these swap types is used, structured and priced.

  • OBJECTIVES

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

    Identify opportunities to use the three swaps profitably with clients

    Target market conditions that make the swaps ideal client products

    Identify pricing requirements

    Price the swaps based on market conditions

    Identify all sources of mark-to-market sensitivities

  • COURSE OUTLINE

    Topic 1: Forward Swaps

    Price Sensitivities

    o Price Sensitivity to Parallel Curve Shifts

    o Price Sensitivity to Non-parallel Curve Shifts

    Pricing

    o Present Value of the Floating Leg

    o Solving for the Fixed Coupon

    Topic 2: Amortizing Swaps

    Price Sensitivities

    o Price Sensitivity to Parallel Curve Shifts

    o Price Sensitivity to Non-parallel Curve Shifts

    Pricing

    o Present Value of the Floating Leg

    o Solving for the Fixed Coupon

    Topic 3: Zero-Coupon Swaps

    Price Sensitivities

    o Price Sensitivity to Parallel Curve Shifts

    o Price Sensitivity to Non-parallel Curve Shifts

    Pricing

    o Present Value of the Floating Leg

    o Solving for the Fixed Coupon

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    180 Minutes

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