USING DERIVATIVES TRAINING COURSE  DURATION
2 DAYS
Course Objectives:
The purpose of the course is to improve understanding in order to facilitate
derivative hedging solutions for customers. Case studies will be used
to explain how foreign exchange and interest rate risk can be identified,
quantified
and hedged. The course will cover the following:
 Yield curve construction & zero coupon discount factors
 The acceptability of risk and appropriateness of hedging
 How discount factors are used to price transactions
 Using swaps to hedge both assets & liabilities
 Valuation techniques & cancellations
 Market risk measures, what they are, how they work, their strengths
& weaknesses
 Currency swaps and their use
 Interest rate options, pricing and the “Greeks”
 Collateral management, why it is increasingly important for overthecounter
derivatives
Course Content:
Day One
Basic financial mathematics
 Discount factors, present / future value
 Construction of the zero coupon model
 Case study
Hedging
 Identifying risk
 Quantifying risk
 Appropriateness of hedging
Generic interest rate swaps
 Spot starts
 Interest payments Annual/SA/Q/M
 Forward starts
 Amortising/accreting/ rollercoaster structures
 Case study
Liability swaps
 Hedging floating rate debt
 New issues, (overview)
 Case study
Asset swaps
 Selecting bonds
 Calculating margins
 Premium / discount structures
 Case study
Swap valuation
 Marktomarket
 Assignment & novation
 Basis point value
 Case study
Market risk measures
 Duration
 Basis point value, (DV01)
 Hedge ratios & trades
Day Two
Market risk measures cont.
 Convexity
 Value at risk
 Case study
Futures & FRAs
 Use in hedging
 Case study
Currency swap structures
 Fixed / fixed
 Fixed / floating
 Basis swaps
 Using currency swaps
 Credit usage
 Case study: private placement/balance sheet hedging
Interest rate options
 The models used for pricing
 What effects price
 The Greeks, delta, gamma, theta, vega
 Delta hedging and the problems
Structured interest rate hedging
 Stepup swaps
 Stepup collars
 Swaptions/Bermudans
 Callable swaps
 Extendable swaps
 Knock in structures
 Case study: Selected examples
Collateral & swaps
 How & why credit risk occurs with swaps
 Risk mitigation techniques
 The advantages of collateral support agreements
End of workshop & review
State of the art facilities
Delegates can study in our comfortable hitech learning environment in
London, near Liverpool Street Station 
Using Derivatives
Course Venue:London EC2
information@premiercs.co.uk
