Structured Derivative Notes & Swaps - Part 4

Structured Derivative Notes & Swaps - Part 4

Retired

概要

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.

宗旨

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

內容

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

詳情

活動編號
TEPDS17003901
地點
網上平台
語言
英文
級別
Advanced
課程時數
SFC:1.50, PWMA:1.50