Structured Derivative Notes & Swaps - Part 4

Structured Derivative Notes & Swaps - Part 4

Overview

Options on constant maturity swaps (CMSs) are complex instruments - they are the CMS equivalent of a regular cap/floor and valuation requires a 'convexity adjustment' to volatility. The most popular type of CMS option, a spread option that references the difference between two different observed rates, adds yet another layer of difficulty.

This tutorial introduces the different types of CMS-related options and the complex valuation issues raised by these options. The tutorial describes the process that the market follows to price these CMS-related options. The tutorial also describes the market and performance of structured notes and the payoff relating to each option.

Objective

On completion of this tutorial, you will be able to:
- Identify the different types of CMS-related options and explain how they are used
- Describe how the pricing of the various CMS structures raises complex issues, and the nature of solutions required to value them
- Explain how the CMS notes/options perform as market values change

Content

Topic 1: CMS Option – Pricing Issues
Topic 2: CMS Option – Related Structures
Topic 3: Typos of CMS Options

Details

Code
TEPDS17003901
Venue
ePlatform
Language
English
Level
Advanced
Hours
SFC:1.5, PWMA:1.5
Fees
All Member: HK$450
Non-Member: HK$675
Staff of Corporate Member: HK$450