The New York School of Derivatives Instruments
The New York School of Derivatives Instruments
Starting dates and places
Description
"Very good overview of different derivatives with details on
various strategies. Excellent trainer, very good knowkedge of
subject matter and excellent presentation, tone and style"
Compliance Advisor, PSP Investments "Great overview of all types of
derivatives. Very knowledgeable trainer" Chief Investment Officer,
Montpellier Reinsurance "Excellent course with appropriate details
and examples. Very informative" Financial Controller, Brookfield
Asset Management This 5 day course will cover: Introduction to
derivatives instruments and markets Pricing and valuation of
interest rate and currency swaps Derivatives applications: the uses
and benefits Interest rate and fx linked structured product…Frequently asked questions
There are no frequently asked questions yet. If you have any more questions or need help, contact our customer service.
"Very good overview of different derivatives with details on
various strategies. Excellent trainer, very good knowkedge of
subject matter and excellent presentation, tone and style"
Compliance Advisor, PSP Investments "Great overview of all types of
derivatives. Very knowledgeable trainer" Chief Investment Officer,
Montpellier Reinsurance "Excellent course with appropriate details
and examples. Very informative" Financial Controller, Brookfield
Asset Management This 5 day course will cover: Introduction to
derivatives instruments and markets Pricing and valuation of
interest rate and currency swaps Derivatives applications: the uses
and benefits Interest rate and fx linked structured products
Non-linear derivatives Who Should Attend? Hedgers Derivatives sales
and trading personnel Risk control, risk management and audit
personnel Corporate account officers Asset managers Corporate
treasury
Day 1 Introduction to Derivative Instruments and Markets Evolution and development of the derivatives markets Derivatives defined: characteristics of derivative instruments The range and diversity of the derivatives markets Linear and non-linear derivatives Outright (forwards, futures and swaps) and option derivatives Over-the-counter vs exchange traded derivatives OTC derivatives documentation and legal issues Applications of derivatives: risk transfer An overview of applications in trading, hedging and arbitrage Benefits and shortcomings of derivatives -Accounting for derivatives – Impact of IAS39/FAS133 -Hedge accounting ‘Delta 1.0’ Derivatives: Forward and Futures Markets Forward contracts -Definitions and nomenclature - market practices -Generic characteristics of forward contracts -Pricing principles of forward/futures contracts -Arbitrage-free pricing -Backwardations and the breakdown of arbitrage free valuation -Credit risk exposure and forward contracts Futures contracts The mechanics of futures contracts and futures markets The role of the clearing house Margining: definition and operation Credit risk and futures contracts Interest rate forward contracts and futures -Forward Rate Agreements (FRAs) -The FRA market – conventions: price, quotation and settlement -Pricing and valuation of FRAs -Applications of FRAs in trading and interest rate risk management -Contract features - short term interest-rate futures (STIRs) -Applications of futures in trading and hedging; managing basis risk CASE STUDY 1: Pricing and valuation of FRAs – Application to exposure management Swaps Markets Evolution and development of the swaps market Swaps market dynamics Swaps market participants and roles Business drivers – applications of swaps to trading, portfolio risk management and funding (ALM) Generic characteristics of swap contracts -Interest rate, currency & basis swaps -Equity swaps Swaps documentation and legal issues -Termination, assignment by novation -Netting agreements -Legal enforceability of netting arrangements Interest Rate and Currency Swaps Generic swap structures -Par interest rate swaps -Basis swaps Generic and non-generic swaps – a classification of types Cross-currency swaps -Cross currency basis swaps -Principal exchanges – implications for removal of initial and/or final amounts Swaps market conventions and practices -Nomenclature, terminology and market quotation conventions -Interest rate accrual and payment conventions -Stub interest calculation periods (long/short) -Off-market contract terms and margins Day 2 Pricing and Valuation of Interest Rate and Currency Swaps Basic foundations of swap valuation - nil value of par swaps Discounted cash flow (DCF) methodology Estimation of zero coupon discount factors from market based data -Yield curve construction using FRA rates and the futures strip -Yield curve construction using par swap rates and bond yields Pricing and Valuation techniques -Practical pricing and valuation applications -Mark to market - swap portfolio valuation -Swap terminations and assignments - fee estimation -Off-market swap structures - margin and fixed coupon calculation Interest Rate and Currency Swaps - Funding, Risk Management and Trading Applications Applications of interest rate derivatives to client risk management strategies -Hedging currency and interest rate exposures -Hedging fixed and floating interest rate assets and liabilities -Creating ‘synthetic’ assets and liabilities Applications of swaps and options in liability management -Credit risk arbitrage – identifying and realizing comparative advantages -Funding diversification Applications of swaps and options in asset management -Asset swaps Exposure management - identifying client risk profiles -Selection of appropriate risk management strategies using OTC solutions -Outright hedges (swaps, FRAs) vs option-based hedges Comparative analysis of risk management strategies -Advantages/shortcomings of risk management solutions; opportunity gains and losses -Tailoring interest rate options to client interest rate risk management strategies -The use of options in hedging contingent liabilities Trading Strategies using interest rate derivatives -Interest rate swaps as a substitute for fixed income bond trading -Credit trading: yield curve arbitrage strategies -Option trading strategies -Directional trading strategies -Premium generation (yield enhancement) strategies -Costs and benefits of using derivatives in trading and portfolio management strategies CASE STUDY 2: Pricing a new bond issue structured with a currency swap. Structuring an asset swap Swap Risks – Market Risk and Counterparty Credit Risk Measurement of swap risks PV01, Delta Hedging a swap transaction with bonds, futures Counterparty Credit Risk Exposure Credit risk mitigation -Collateral agreement -“Swapclear” Credit and regulatory capital requirements CASE STUDY 3: Risk analysis of swap portfolio – Risk measurement and construction of hedge relationship Day 3 Non-Linear Derivatives: Options Option characteristics, terminology and market conventions -Put and call options -European, American, Asian and Bermudan option styles -Intrinsic and time value -Put-call parity Global option markets -Exchange traded and OTC option markets -FX options; interest rate options; equity options; equity index options; warrants Pay-off profiles and their interpretation -Understanding Option Valuation - Option Pricing Models Intuitive approach to understanding option valuation and value drivers -Option valuation: intrinsic value, time value and ‘moneyness’ Option pricing models -Advantages and shortcomings of Black-Scholes -a critical analysis -Simulation methods of option valuation – Monte Carlo Methods Volatility in option valuation Time value: impact on option values Volatility Estimation Historic, implied and realized volatility measures Volatility smiles and skews Option Risks Dynamic risk characteristics of options The Greeks (Delta, Gamma, Theta, Vega, Rho and Phi risks) Interpretation of Delta - cash equivalent risk representation Delta hedging Market impact of Delta hedging Why Delta hedge – a brief overview of volatility risks (Gamma, Vega) Time decay Carry related risks (Rho, Phi) Interest Rate Options Caps, floors and swaptions Pricing techniques: Black Vs. term structure models Cap/floor market conventions, terminology, price quotation basis European and American style swap options Swap option market conventions, terminology, price quotation basis Applications in trading, investment and portfolio management CASE STUDY 4: Corporate exposure management applications of caps and floors Hedging and Trading Strategies Using Options Risk-reward profiles of naked option strategies Put-call parity: -Risk reversals, range forwards, participating forwards, synthetic forwards and options Hedging and arbitrage strategies using options Creating trading and hedging strategies using options -Spreads: vertical (call and put) and horizontal (calendar) spreads Volatility trading strategies -Straddles, strangles and butterflies Analysis of trading strategies -Payoff profiles -Instantaneous risks (delta, gamma etc.) CASE STUDY 5: Analysis of option trading and hedging strategies Day 4 Derivatives Applications Interest Rate and FX linked Structured Products Interest Rate Linked Structured Products Callable/Puttable bonds European/Bermudan (step-up) callable bonds Range Accrual notes CMS-linked notes Capped, floored FRNs Inverse FRNs Callable, non-callable TARNs Ladders’ (LIFTS) and ‘Snowblade’ structures CASE STUDY 6: Analyzing and reverse engineering an inverse floater with embedded options CASE STUDY 7: Pricing a cancellable swap; Bermudan stepup Callable Bond FX Derivatives Forward Foreign Exchange Outrights and FX swaps Pricing using interest rate differentials Quotation conventions Calculating outright forward FX rates Cross rate forwards Determination of synthetic interest rates using forwards Applications of forward FX in hedging transaction and translation exposure Non-deliverable forwards (NDFs) Uses and benefits of NDFs Currency Options Market conventions, terminology, price quotation basis Puts, Calls; European, American styles Hybrid structures: Collars, Range forwards, Participating Forwards, Knock-In Forwards Hedging transaction and economic exposure using FX forwards and options Applications to currency exposure management Exotics -Barrier options (Knock-in, knock-out, reverse, double knock-out structures) Digital options -Average rate options Currency Linked Structured Products -Currency linked deposits -Knock out structured notes -Dual currency notes -Reverse dual currency notes -Power reverse dual currency notes -Range accrual notes CASE STUDY 8: Evaluation of currency exposure hedging strategies; Pricing of FX linked range accrual note structure. Day 5 Derivatives Applications - The Uses and Benefits of Equity Derivatives Applications in portfolio management Corporate applications of equity derivatives Index vs. single stock derivatives Delta 1.0 derivatives: synthetic equity proxies; market access vehicles Asset allocation using equity derivatives Arbitrage opportunities: profiting from stock borrow, interest rate, net dividend differentials, market access Hedging strategies using options -Puts/Calls -Put spreads -Collars, put-spread collars Portfolio strategies using options Yield enhancement strategies -Over-writing and under-writing strategies Directional trading strategies -Risk reversals and Synthetics -Option Spreads Volatility and Correlation trading strategies -Straddles -Volatility and Variance swaps -Dispersion trading strategies Equity Linked Structured Products Simple synthetics -Trackers -Pricing Principal Protected Equity Linked Certificates Investment Rationale Capital Guaranteed equity linked structured notes Equity linked TARN certificates Basket ELN’s & ‘Best of ’ and ‘Worst of ’ structures Partial-Principal Protection: Notes offering limited downside protection Reverse and Mandatory Convertibles EXERCISE 9: Structuring and pricing capital guaranteed equity linked note structures The Credit Derivatives Market Market Overview Evolution and market development Recent developments and key issues Terminology and nomenclature Market participants Credit indices (iTRAXX) and related products Credit Derivatives: Default Swaps (CDS) Definitions and nomenclature Credit Events – Definitions and associated problems Documentation (ISDA credit default swap masteragreement) Single asset and basket structures Settlement mechanisms Credit indices (iTRAXX) ITRAXX CDS Pricing and valuation of CDS Arbitrage based methods Deriving default curves Estimation of default probabilities, hazard rates EXERCISE 10: Pricing and valuation of CDS 2nd Generation Credit Derivatives First to default FTD CDS Standardized FTD baskets: analytics and settlement mechanisms nth to default basket structures CDS options Derivatives Application - Uses and Benefits of Credit Derivatives Credit (portfolio) risk management Using credit derivatives to manage and securitize credit risk Regulatory capital management Credit risk diversification, risk reduction Investment applications (Synthetic asset generation) Leverage (unfunded exposures) Yield enhancement (exploiting of credit arbitrages) Market access (synthetic loan generation) Credit trading Structured Credit Products Collateralized debt obligations (CDOs) CDO structures -Cash flow CDOs -Synthetic CDOs -Funded and unfunded structures Single Tranche CDOs -DJ Traxx Index tranche CDOs
Day 1 Introduction to Derivative Instruments and Markets Evolution and development of the derivatives markets Derivatives defined: characteristics of derivative instruments The range and diversity of the derivatives markets Linear and non-linear derivatives Outright (forwards, futures and swaps) and option derivatives Over-the-counter vs exchange traded derivatives OTC derivatives documentation and legal issues Applications of derivatives: risk transfer An overview of applications in trading, hedging and arbitrage Benefits and shortcomings of derivatives -Accounting for derivatives – Impact of IAS39/FAS133 -Hedge accounting ‘Delta 1.0’ Derivatives: Forward and Futures Markets Forward contracts -Definitions and nomenclature - market practices -Generic characteristics of forward contracts -Pricing principles of forward/futures contracts -Arbitrage-free pricing -Backwardations and the breakdown of arbitrage free valuation -Credit risk exposure and forward contracts Futures contracts The mechanics of futures contracts and futures markets The role of the clearing house Margining: definition and operation Credit risk and futures contracts Interest rate forward contracts and futures -Forward Rate Agreements (FRAs) -The FRA market – conventions: price, quotation and settlement -Pricing and valuation of FRAs -Applications of FRAs in trading and interest rate risk management -Contract features - short term interest-rate futures (STIRs) -Applications of futures in trading and hedging; managing basis risk CASE STUDY 1: Pricing and valuation of FRAs – Application to exposure management Swaps Markets Evolution and development of the swaps market Swaps market dynamics Swaps market participants and roles Business drivers – applications of swaps to trading, portfolio risk management and funding (ALM) Generic characteristics of swap contracts -Interest rate, currency & basis swaps -Equity swaps Swaps documentation and legal issues -Termination, assignment by novation -Netting agreements -Legal enforceability of netting arrangements Interest Rate and Currency Swaps Generic swap structures -Par interest rate swaps -Basis swaps Generic and non-generic swaps – a classification of types Cross-currency swaps -Cross currency basis swaps -Principal exchanges – implications for removal of initial and/or final amounts Swaps market conventions and practices -Nomenclature, terminology and market quotation conventions -Interest rate accrual and payment conventions -Stub interest calculation periods (long/short) -Off-market contract terms and margins Day 2 Pricing and Valuation of Interest Rate and Currency Swaps Basic foundations of swap valuation - nil value of par swaps Discounted cash flow (DCF) methodology Estimation of zero coupon discount factors from market based data -Yield curve construction using FRA rates and the futures strip -Yield curve construction using par swap rates and bond yields Pricing and Valuation techniques -Practical pricing and valuation applications -Mark to market - swap portfolio valuation -Swap terminations and assignments - fee estimation -Off-market swap structures - margin and fixed coupon calculation Interest Rate and Currency Swaps - Funding, Risk Management and Trading Applications Applications of interest rate derivatives to client risk management strategies -Hedging currency and interest rate exposures -Hedging fixed and floating interest rate assets and liabilities -Creating ‘synthetic’ assets and liabilities Applications of swaps and options in liability management -Credit risk arbitrage – identifying and realizing comparative advantages -Funding diversification Applications of swaps and options in asset management -Asset swaps Exposure management - identifying client risk profiles -Selection of appropriate risk management strategies using OTC solutions -Outright hedges (swaps, FRAs) vs option-based hedges Comparative analysis of risk management strategies -Advantages/shortcomings of risk management solutions; opportunity gains and losses -Tailoring interest rate options to client interest rate risk management strategies -The use of options in hedging contingent liabilities Trading Strategies using interest rate derivatives -Interest rate swaps as a substitute for fixed income bond trading -Credit trading: yield curve arbitrage strategies -Option trading strategies -Directional trading strategies -Premium generation (yield enhancement) strategies -Costs and benefits of using derivatives in trading and portfolio management strategies CASE STUDY 2: Pricing a new bond issue structured with a currency swap. Structuring an asset swap Swap Risks – Market Risk and Counterparty Credit Risk Measurement of swap risks PV01, Delta Hedging a swap transaction with bonds, futures Counterparty Credit Risk Exposure Credit risk mitigation -Collateral agreement -“Swapclear” Credit and regulatory capital requirements CASE STUDY 3: Risk analysis of swap portfolio – Risk measurement and construction of hedge relationship Day 3 Non-Linear Derivatives: Options Option characteristics, terminology and market conventions -Put and call options -European, American, Asian and Bermudan option styles -Intrinsic and time value -Put-call parity Global option markets -Exchange traded and OTC option markets -FX options; interest rate options; equity options; equity index options; warrants Pay-off profiles and their interpretation -Understanding Option Valuation - Option Pricing Models Intuitive approach to understanding option valuation and value drivers -Option valuation: intrinsic value, time value and ‘moneyness’ Option pricing models -Advantages and shortcomings of Black-Scholes -a critical analysis -Simulation methods of option valuation – Monte Carlo Methods Volatility in option valuation Time value: impact on option values Volatility Estimation Historic, implied and realized volatility measures Volatility smiles and skews Option Risks Dynamic risk characteristics of options The Greeks (Delta, Gamma, Theta, Vega, Rho and Phi risks) Interpretation of Delta - cash equivalent risk representation Delta hedging Market impact of Delta hedging Why Delta hedge – a brief overview of volatility risks (Gamma, Vega) Time decay Carry related risks (Rho, Phi) Interest Rate Options Caps, floors and swaptions Pricing techniques: Black Vs. term structure models Cap/floor market conventions, terminology, price quotation basis European and American style swap options Swap option market conventions, terminology, price quotation basis Applications in trading, investment and portfolio management CASE STUDY 4: Corporate exposure management applications of caps and floors Hedging and Trading Strategies Using Options Risk-reward profiles of naked option strategies Put-call parity: -Risk reversals, range forwards, participating forwards, synthetic forwards and options Hedging and arbitrage strategies using options Creating trading and hedging strategies using options -Spreads: vertical (call and put) and horizontal (calendar) spreads Volatility trading strategies -Straddles, strangles and butterflies Analysis of trading strategies -Payoff profiles -Instantaneous risks (delta, gamma etc.) CASE STUDY 5: Analysis of option trading and hedging strategies Day 4 Derivatives Applications Interest Rate and FX linked Structured Products Interest Rate Linked Structured Products Callable/Puttable bonds European/Bermudan (step-up) callable bonds Range Accrual notes CMS-linked notes Capped, floored FRNs Inverse FRNs Callable, non-callable TARNs Ladders’ (LIFTS) and ‘Snowblade’ structures CASE STUDY 6: Analyzing and reverse engineering an inverse floater with embedded options CASE STUDY 7: Pricing a cancellable swap; Bermudan stepup Callable Bond FX Derivatives Forward Foreign Exchange Outrights and FX swaps Pricing using interest rate differentials Quotation conventions Calculating outright forward FX rates Cross rate forwards Determination of synthetic interest rates using forwards Applications of forward FX in hedging transaction and translation exposure Non-deliverable forwards (NDFs) Uses and benefits of NDFs Currency Options Market conventions, terminology, price quotation basis Puts, Calls; European, American styles Hybrid structures: Collars, Range forwards, Participating Forwards, Knock-In Forwards Hedging transaction and economic exposure using FX forwards and options Applications to currency exposure management Exotics -Barrier options (Knock-in, knock-out, reverse, double knock-out structures) Digital options -Average rate options Currency Linked Structured Products -Currency linked deposits -Knock out structured notes -Dual currency notes -Reverse dual currency notes -Power reverse dual currency notes -Range accrual notes CASE STUDY 8: Evaluation of currency exposure hedging strategies; Pricing of FX linked range accrual note structure. Day 5 Derivatives Applications - The Uses and Benefits of Equity Derivatives Applications in portfolio management Corporate applications of equity derivatives Index vs. single stock derivatives Delta 1.0 derivatives: synthetic equity proxies; market access vehicles Asset allocation using equity derivatives Arbitrage opportunities: profiting from stock borrow, interest rate, net dividend differentials, market access Hedging strategies using options -Puts/Calls -Put spreads -Collars, put-spread collars Portfolio strategies using options Yield enhancement strategies -Over-writing and under-writing strategies Directional trading strategies -Risk reversals and Synthetics -Option Spreads Volatility and Correlation trading strategies -Straddles -Volatility and Variance swaps -Dispersion trading strategies Equity Linked Structured Products Simple synthetics -Trackers -Pricing Principal Protected Equity Linked Certificates Investment Rationale Capital Guaranteed equity linked structured notes Equity linked TARN certificates Basket ELN’s & ‘Best of ’ and ‘Worst of ’ structures Partial-Principal Protection: Notes offering limited downside protection Reverse and Mandatory Convertibles EXERCISE 9: Structuring and pricing capital guaranteed equity linked note structures The Credit Derivatives Market Market Overview Evolution and market development Recent developments and key issues Terminology and nomenclature Market participants Credit indices (iTRAXX) and related products Credit Derivatives: Default Swaps (CDS) Definitions and nomenclature Credit Events – Definitions and associated problems Documentation (ISDA credit default swap masteragreement) Single asset and basket structures Settlement mechanisms Credit indices (iTRAXX) ITRAXX CDS Pricing and valuation of CDS Arbitrage based methods Deriving default curves Estimation of default probabilities, hazard rates EXERCISE 10: Pricing and valuation of CDS 2nd Generation Credit Derivatives First to default FTD CDS Standardized FTD baskets: analytics and settlement mechanisms nth to default basket structures CDS options Derivatives Application - Uses and Benefits of Credit Derivatives Credit (portfolio) risk management Using credit derivatives to manage and securitize credit risk Regulatory capital management Credit risk diversification, risk reduction Investment applications (Synthetic asset generation) Leverage (unfunded exposures) Yield enhancement (exploiting of credit arbitrages) Market access (synthetic loan generation) Credit trading Structured Credit Products Collateralized debt obligations (CDOs) CDO structures -Cash flow CDOs -Synthetic CDOs -Funded and unfunded structures Single Tranche CDOs -DJ Traxx Index tranche CDOs
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