Derivative Products I & II Program
Understand the fundamentals of derivative products: product markets, participants, pricing strategies, and the relationships that connect them.
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Module 1: Futures and Forwards
- Evolution and History
- Standardized Contracts
- Margin and Daily Settlement
- Clearing Firms and Their Function
- Benefits Of Exchange-Traded Futures
- Applications Of Futures And Forwards
- Differences Between Futures & Forwards
- Time Value of Money
Module 2: Eurodollar Contract
- Define an FRA
- How they are priced
- Applications of FRA
Module 3: Eurodollar Futures
- Contract Specifications
- The Eurodollar Strip
- Value of a Basis Point - Futures versus Deposits
Module 4: Interest Rate Swaps
- History and Evolution
- Characteristics and Terms of Swaps
- Fundamentals Of Pricing Swaps
- Applications of Interest Rate Swaps
Module 5: Options, Caps, Floors and Swap options
- History and Evolution Of Options Market
- Option Terminology
- Risk/Reward - Payoff Profiles & Breakeven
- Basic Characteristics Of Option Contracts
- Basic Characteristics Of Caps & Floors
- Basic Characteristics Of Swaptions
- Factors Of Options Pricing
Module 1: Yield Curves
- Different Types Of Yield Curves
- What is the par swap curve
- Par Swap Curve
- The Spot Curve (Term Structure Of Interest Rates)
Module 2: Calculating Spot Rates & Forward Rates
- Calculating Spot Rates (Bootstrapping Method)
- Calculating Forward Rates
Module 3: Calculating Swap Rates
- The Eurodollar Contract Specifications (Review)
- Discount Factors (Time Value of Money)
- Calculating Adjustments for Different Day Count Conventions
- Calculating Swap Rates Using The Eurodollar Futures
- Calculating The Net Present Value Of Swap
Module 4: Options
- Basics Of Option Contracts (Review)
- Inputs Into Option Pricing Model
- Volatility: Types Of Volatility & Probability
- Normal & Lognormal Distribution
- Option Pricing Models: Black-Scholes & Binomial Pricing Models
- Option Pricing Models & The Real World
- Managing Options Risk - The 'Greeks'
Module 5: Interest Rate Options
- Define Caps, Floors, Collars & Swaptions (Review)
- Pricing Caps, Floors, Collars & Swaptions
- Applications of Caps, Floors, Collars & Swaptions
Module 6: Swap Users In Today's Markets
- Uses By Corporations (Asset-Liability Management, Bond Issuance)
- Uses By Asset Managers (Leveraged And Non-Leveraged Uses)
- How a Corporation Might Use Swaps
- How an Unleveraged Asset Manager Might Use Swaps
- How a Hedge Fund Might Use Swaps
Module 7: Equity Linked Notes
- Define the structure of an equity linked note
- Examine a specific structure