Swaps: Applications and Pricing

COURSE OUTLINE:

Swap Concepts

  • Origins of the Swaps Market
  • Definition and General Classes of Swaps
  • Development of the Swaps Market
  • Swap Terminology

Characteristics of Swap Contracts

  • Interest Rate Swaps
  • Currency Swaps
  • Commodity Swaps
  • Equity Swaps

Swap Pricing

  • Basic Financial Concepts
  • The Principle of (No) Arbitrage
  • Forward Rate Agreements
  • Pricing and Valuation of Interest Rate Swaps
  • Pricing and Valuation of Currency Swaps
  • Pricing and Valuation of Commodity Swaps
  • Pricing and Valuation of Equity Swaps
  • Common Variations

Some Misconceptions About Swap Pricing

  • Swap Risks
  • Market Risk
  • Credit Risk
  • Other Risks
  • How Dealers Manage Risks
  • Risk Management

Applications of Swaps

  • Converting Floating (Fixed) Rate Debt to Fixed (Floating) Rate Debt
  • Managing Foreign Exchange Risk
  • Creating or Hedging Structured Notes
  • Implementing Asset Class Changes
  • Total Return Swaps for Managing Credit Risk

Swaptions: Options on Swaps

  • Basic Structure and Payoffs of Swaptions
  • Uses of Swaptions
  • Forward Swaps

Financial Engineering and Risk Management of Swaps

  • Binomial Modeling of the Term Structure
  • Binomial Pricing of Swaps and Related Hedging Instruments
  • Delta-Gamma Hedging

Locations of the tutorials and hotel information will be supplied with the confirmation of your registration. The registration fee for all tutorials includes a program notebook. Lunch is on your own. The tutorials are fully copyrighted by their respective speakers. No audio recording or videotaping is permitted.

Call (215) 598-8930 with questions, or email info2@frankfabozzi.com.

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