Course curriculum

  • 1

    Introduction

    • Introduction

    • Download Course Presentation

    • 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