Derivatives Professional Certificate
Develop a comprehensive, practical understanding of derivative instruments including market conventions, contract specifications, valuation, trading strategies and the regulation of derivatives markets.
CPE Credits: 35
Prerequisite knowledge:
- Intermediate MS Excel skills (use solver, etc.)
- Basic probability
- Basic calculus
- Some knowledge of equity markets
- Knowledge of fixed income basics
This Professional Certificate comprises the following courses:
- Forwards and Futures (Day 1)
- Swaps I & II (Days 2 and 3)
- Options Markets I & II (Days 4 and 5)
Click here to download course curriculum
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Module 1: Forwards & Futures
- Standardized versus customized contracts
- Margin & daily settlement
- Clearing firms
- End users & producers
- Speculators & arbitrageurs
- How market participants use futures
Module 2: Short-term Financial Futures
- Forward rate agreements (FRA's)
- Value of a basis point in FRA's
- SOFR futures
- Value of a basis point in SOFR Futures
- FRA’s vs. SOFR Futures
Module 3: Long-term Financial Futures
- Treasury bond futures
- Basket deliverable futures
- Conversion factors
- Cheapest-to-Deliver
Module 4: Hedge Accounting for Forwards and Futures
- Fair value and cash flow hedges
- Basis and hedge ineffectiveness
Module 1: Swap Fundamentals
- Swaps as portfolios of forward contracts
- Example: Commodity swaps
- Physical vs. cash settlement
- Market value of a swap
Module 2: Interest Rate Swaps: The Basics
- Essential fixed income arithmetic
- Value of a floating rate note
- Par coupon rates
- Vanilla interest rate swaps
- Swap curves (term structures) and spreads
Module 3: Interest Rate Swaps: Advanced Topics
- SOFR futures, FRA's and interest rate swap pricing
- Forward starting swaps
- Constant maturity swaps
- Amortizing and accreting swaps
- Overnight index swaps
- ISDA documentation
Module 1: Taxonomy of Swap Contracts
- Basis swaps
- Currency swaps
- Total return swaps
- Equity swaps
- Accrual swaps
- The Bankers Trust - Proctor & Gamble leveraged swap
Module 2: Credit Swaps
- Credit risk arithmetic
- Single-name credit default swaps (CDS)
- ISDA credit definitions
- CDS market conventions
- The CDS - cash basis
Module 3: Asset Swaps
- Par asset swaps
- Market asset swaps
- Asset swap spreads vs. CDS spreads
Module 4: Applications
- Why swap rates?
- Speculating with interest rate swaps
- Managing portfolio risk with equity swaps
- Hedging credit risk
- Regulation and evolving market structure for swaps
Module 5: Foreign Exchange Markets
- Overview
- Managing FX Risk Foreign Exchange Forwards and Futures
- Deliverable and Non-Deliverable Forwards FX Swaps and Cross Currency Swaps
Module 1: Contract Terms and Conditions
- Option Terminology
- Contract Terms, Payoff Profiles & Break-evens
Module 2: Inputs into Option Pricing Models
- Asset price
- Strike price
- Time to expiration
- Interest rates
- Dividends
- Volatility
Module 3: Market Participants and Strategies
- Unlevered portfolio managers: Buy write, put write
- Speculators: Vertical spreads and earnings speculation
- Earnings announcements speculation
Module 1: Option Pricing
- Probability: essential concepts
- Normal and log-normal random variables
- Pricing models: Binomial and Black-Scholes-Merton
Module 2: Risk Management
- The Greeks: Delta, Gamma, Theta, Vega, Rho and Psi
Module 3: Risk Arbitrage Trading Strategies
- Calendar spreads
- Yield curve spreads
- Volatility trading
Module 4: Hedge Accounting for Swaps and Options
- Time decay
- Hedge ineffectiveness
- Cash flow hedges using interest rate swaps
- Fair value hedges using options
Module 5: Desk Ready Skills Knowledge Check