Interest Rate & FX Options - Part 3

Interest Rate & FX Options - Part 3

Overview

This eCourse consists of two modules. Module 1 focuses on two structures - chooser caps and double-strike caps. The module explores the features and uses of these cap structures and lists their pricing procedures. It will also differentiate chooser and double-strike structures from plain vanilla cap structures and outline the benefits of using these products.

Module 2 looks at how caps and floors are priced in the market. The module also looks at the sensitivity of caps and floors to changes in key pricing variables.

Objective

On completion of this course, you will be able to:
- Identify the features of chooser caps and list the steps for pricing chooser caps
- Analyze the performance of a chooser cap structure in relation to changes in market rates or volatilities
- Identify how a double-strike cap operates and compare the cost savings and the risks associated with the structure
- Analyze the performance of a double-strike structure in relation to changes in market rates or volatilities
- Recognize the determinants of cap and floor prices
- Price caps and floors
- Identify the price sensitivities associated with caps and floors

Content

Module 1: Caps & Floors - Chooser & Double-Strike Structures
Topic 1: Basic of Chooser Structures
Topic 2: Chooser Cap Sensitivities
Topic 3: Basics of Double-Strike Structures
Topic 4: Double Strike Caps Sensitivities

Module 2: Caps & Floors - Pricing
Topic 1: Determinants of Cap & Floor Prices
Topic 2: Pricing of Caps & Floors
Topic 3: Price Sensitivities of Caps & Floors

Details

Code
TEPDS17002701
Venue
ePlatform
Language
English
Level
Advanced
Hours
SFC:2.5, PWMA:2.5
Fees
All Member: HK$750
Non-Member: HK$1125
Staff of Corporate Member: HK$750