Structured Derivative Notes & Swaps - Part 2

Structured Derivative Notes & Swaps - Part 2

Overview

This eCourse consists of two modules. Module 1 describes how capped and collared FRNs work and illustrates the payoffs on these instruments from the viewpoint of both the issuer and the investor.

Module 2 describes the basic trigger structure, how it is priced using the binomial tree and the most common uses of these structures.

Objective

On completion of this course, you will be able to:
- Recognize the main characteristics of capped and collared FRNs
- Identify the main considerations in the pricing of capped and collared FRNs
- Recognize the characteristics of a trigger swap structure and determine its uses
- Price a trigger swap using a simplified Black-Derman -Toy (BTD) methodology
- Outline the pricing sensitivities of trigger structures and the shortcomings of the BDT methodology used to price them

Content

Module 1: Capped & Collared FRNs
Topic 1: Basics of Capped and Collared
Topic 2: Pricing Capped & Collared FRNs

Module 2: Trigger Structures
Topic 1: Overview of Trigger Structures
Topic 2: Pricing Trigger Structures
Topic 3: Pricing Issues

Details

Code
TEPDS17003701
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