Swaps I & II
Develop a comprehensive, practical understanding of swaps including market conventions, contract specifications, valuation, trading strategies and the regulation of swaps markets.
CPE Credits: 14
This course is a component of the Derivatives Professional Certificate.
Prerequisite knowledge:
- Intermediate MS Excel skills (use solver, etc.)
- Basic probability
- Basic calculus
- Some knowledge of equity markets
- Knowledge of fixed income basics
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
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
- Eurodollar 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