Overview
Interest Rate Options are an essential part of the derivatives marketplace. This 3-Day programme will equip you to use, price, manage and evaluate interest rate options and related instruments.
The course starts with a detailed review of option theory, from a practitioner’s viewpoint. Then we cover the key products in the rates world (caps/floors, swaptions, Bermudans) and their applications, plus the related products (such as CMS) that contain significant ’hidden’ optionality. We finish with a detailed look at the volatility surface in rates, and how we model vol dynamics (including a detailed examination of SABR).
The programme includes extensive practical exercises using Excel spreadsheets for valuation and risk-management, which participants can take away for immediate implementation
Who the course is for
This course is designed for anyone who wishes to be able to price, use, market, manage or evaluate interest rate derivatives.
Interest-rate sales / traders / structurers / quants
IT
Bank Treasury
ALM
Central Bank and Government Treasury
Funding managers
Insurance Investment managers
Fixed Income portfolio managers
Course Content
To learn more about the day by day course content please request a brochure
To learn more about schedule, pricing & delivery options, book a meeting with a course specialist now