Structured Derivative Notes & Swaps - Part 2
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.
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
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