## Course curriculum

• 1

### Introduction

• Introduction

• What is a Swap

• Types of Swaps

• 2

### Interest Rate Swaps

• Interest Rate Swaps - Structure

• Interest Rate Swaps - Key Features

• Long Swap vs. Short Swap

• The Underlying Motive of Interest Rate Swaps

• Why Use Interest Rate Swaps

• Interest Rate Swaps - Risks

• Example - Swap in Action

• Quotation: Swap Rate and Swap Spread

• Swap Curve

• Calculating Swap Payments With The Same Frequency

• Calculating Swap Payments With Two Different Frequencies

• Pricing vs. Valuation of Swaps

• Example - Calculating Swap Rate

• Valuing a Swap - Method 1

• Valuing a Swap - Method 2

• Valuing a Swap at T+1 - Method 2 Example

• Discounting Methods LIBOR vs. OIS

• Interest Rate Swaps Summary

• 3

### Currency Swaps

• Currency Swaps - Structure (3-Stage Process)

• Currency Swaps - Key Features

• Why Use Currency Swaps

• Example - Currency Swap in Action (Fixed-Fixed)

• Example - Calculating Currency Swap Rate and Payments

• Part 1: Calculate Fixed Rate in USD and EURO

• Part 2: Calculate Cash Flows on Fixed-Fixed Currency Swap

• Part 3: Calculate Cash Flows on Fixed-Floating Currency Swap

• Part 4: Calculate Value for Fixed-Fixed Currency Swap

• Currency Swaps Summary

• 4

### Equity Swaps

• Total Return Swaps

• Equity Swaps - Structure

• Long Equity Swap vs. Short Equity Swap

• Equity Swaps - Key Features

• Who and Why Use Equity Swaps

• Equity Swaps - Risks

• Delta One Desks

• Equity Swap Example - Pay Floating, Receive Return on Equity

• Pricing of Equity Swaps

• Valuation of Equity Swaps

• Valuing Pay Fixed for Return on Equity Swap - Example

• Valuing Return on One Equity, Pay on Another Equity Swap - Example

• Equity Swaps Summary

• 5

### Commodity Swaps

• Commodity Swaps - Key Features

• Commodity Swaps - Structure

• Why Use Commodity Swaps

• Commodity Swaps - Risks

• Considerations in Pricing Commodity Swaps

• Valuation of Commodity Swaps

• Example - Valuing a Commodity Swap (Fixed-Floating)

• Commodity Swaps Summary

• 6

### Basis Swaps

• What Are Basis Swaps

• Basis Swaps - Key Features

• Why Use Basis Swaps

• USD Tenor Basis Swap - 1-month vs. 3-month

• Cross Currency Basis Swaps (CCBS)

• Cross Currency Basis Swaps (CCBS) Interpretations

• Mark-to-Market and Non-Mark-to-Market

• Cross Currency Basis Swap (Floating-Floating) - Structure

• Cross Currency Basis Swap Example - Non-Mark-to-Market

• Cross Currency Basis Swap Example - Mark-to-Market

• Pricing of Cross Currency Basis Swaps

• Basis Swaps Summary

• 7

### Swaptions

• Swaptions

• Swaptions - Key Features

• Types of Swaptions

• Why Use Swaptions and Example

• 8

### Variance Swaps

• Variance Swaps - Where Do They Come From

• What Is Volatility

• Generic Properties of Equity Market Volatility

• Historical Volatility vs. Implied Volatility

• Building Blocks of Variance Products

• Realized Volatility and Implied Volatility - Uses of Variance Swaps

• Variance Swaps - Structure

• Why Use Variance Swaps

• Variance Swaps - Key Features

• Notionals - Variance or Vega Notional

• Variance Swaps Example - Calculating Profit and Loss

• Variance Swaps Example - Maximum Losses

• Variance Swaps - Bloomberg Example

• 9

### Credit Default Swaps

• Credit Default Swaps - Basic Terminology

• Credit Default Swaps - Standard Maturity Dates

• Credit Default Swaps - Structure

• Credit Default Swaps - Key Features

• Why Use Credit Default Swaps

• Credit Default Swaps - Risks

• CDS Settlement on Default - Physical vs. Cash

• Recovery Rate and Payout Ratio

• Pricing Concepts - CDS Spread and Upfront Premium

• Example 1 - Understand a CDS Quote

• Example 2 - CDS via Bloomberg - Positive and Negative Upfront Premium

• Factors That Determine CDS Pricing

• Example - Calculate Probability of Default and Expected Loss

• Credit Curve

• Profit and Loss From Change in Credit Spread

• Credit Default Swaps Summary

• 10

### Qualified Assessment

• Qualified Assessment

• Share Your Feedback

• Course Completion