Intermediate Interest Rate Derivatives

Detailed Course Agenda

Click for a detailed PDF of the course content.pdf
Brief Course Overview

The interest rate derivatives market dominates the overall trade in the derivatives markets globally, yet very little is written about this market in comparison to that of equity derivatives. This course intends to change that.

The interest rate derivative market is dominated by professionals. The focus of this course is to provide details of how these interest-rate derivatives work and go as far as to going to the valuation of these products at the intermediate level. We discuss the details of interest-rate derivatives from:

  • Brief recap of the jargon of interest rate market.
  • An overview of curves.
  • Trading spreads and the jargon of spreads.
  • Interest rate Forwards.
  • The cost of carry and Repo’s;
  • STIR’s and bond futures;
  • Interest rate SWAPS and FRA’s.
  • OIS and some exotic SWAPS.
  • Interest rate options.
  • Options on futures.
  • Option pricing.
  • Option Strategies.
  • Collar’s, Cap’s and Floor’s.
  • The Greeks.
  • Interest Rate Synthetics.
  • ISDA.
  • Securitisation.
  • Credit Derivatives.

Please refer to the pdf agenda attached for more info. You are welcome to customise the agenda for on-site training.

Price: R7500* + vat per person

*Please contact us for a firm price as we offer discounts for regular clients, long term contracts and large delegations. All prices below refer to on-site / in-house training (i.e. at your premises) in the major cities in South Africa. The minimum number of delegates is 8. This price is valid up to 2020/11/23.

Please contact us for a firm quote.

We also offer training outside of South Africa, again please contact us for a firm quote.