Interest Rate & Currency Swap Structures - Part 3 (2019)
This eCourse consists of two modules. Module 1 looks at how regulatory-driven changes to the swap market infrastructure – such as centralized clearing and standardization of swap products – have affected the pricing of swaps. The use of swap futures to build a swap zero curve is also examined in detail.
Module 2 looks at the key variants of generic interest rate swaps, covering swap structures which have a variable notional principal or embedded optionality, inflation and zero-coupons, as well as legacy products which are no longer traded.
On completion of this course, you will be able to:
- Identify the key changes to the market infrastructure for swaps that have impacted the pricing of swaps products
- Recognize how exchange-traded swap futures prices can be used to determine the fair rate on a swap
- Define the main types of exotic swap structure, including swaps with a variable principal, swaps with option-like features, inflation swaps, zero-coupon swaps, and legacy products
- Recognize some of the legacy exotic swap structures, such as diff swaps
Module 1: Swaps – Pricing
Topic 1: Pricing & Standardization of Swap Products
Topic 2: Finding a Fair Swap Rate
Module 2: Swaps – Exotic Structures
Topic 1: Swaps with a Variable Notional Principal
Topic 2: Zero-Coupon & Inflation Swaps
Topic 3: Swaps with Optionality
Topic 4: Other Exotic Structures