Page 10 - MONECO Financial Training Catalogue

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INTEREST RATE PRODUCTS – MECHANICS, PRICING AND APPLICATIONS
DATES: December 3 – 4, 2019 • PRICE: € 1,400 • LOCATION: Prague, NH Hotel Prague
Attend this 2-day training course and learn about:
• The nature of interest, This 2-day course offers a detailed analysis of the interest rate market, the products that
interest rate calculations and trade within it, and how they are used by traders, investors and companies.
discounting methods On day one, we start with the basics of interest rates – how are they quoted, how are the levels
• The scope and structure of the set and what drives movements in rates? We then look at the marketplace for debt products
bond market focussing on the details of the money and bond markets. The course will help participants
• Bond pricing and risk understand how companies, banks and investors use these markets as well as covering the
management technical details around pricing and risk management.
• Interest rate derivative On day two we move our focus to interest rate derivative products. This section begins with
products – concepts and a look at the linear derivative products: FRAs, futures and swaps. We cover the intuitive
technical details understanding of these products and the client applications, through to detail on the pricing
• Creating synthetic assets using and risk management. Once we have laid the derivative foundations, we move onto option
interest rate swaps products, including a look at exotic derivatives. Main option applications will be covered, and
• The risk of interest rate participations will be introduced to option pricing and option risk. The course ﬁ nishes with a
look at interest rate structured products, examining some of the investor favourites and asking
derivatives – measuring and what makes them so appealing.
managing
• The interest rate volatility Who should attend?
Bank traders, salespeople, structurers
surface and pricing approaches Bank market risk managers, middle ofﬁ ce and operations professionals
for interest rate options Investors – institutional investors, fund managers, private traders
• Interest rate exotics and Company treasury managers and staff, accountants, risk managers
structured products, and how Course methodology
they are used by traders and
investors The course consists of classroom-based training which combines formal teaching of concepts
and technical content, with individual and group exercises to reinforce learning points.
TUESDAY, DECEMBER 3 – Issuing debt instruments – the role of Interest Rate Derivatives
00
09 –09 10 the Debt Capital Markets division in a • From cash markets to derivatives – what
Welcome and Introduction bank changes?
10
09 –12 30 – Who participates in the debt markets • The concept of a forward interest rate
Interest Rates and what is their motivation? – Why do we need forward rates? Who
• What is interest? • Borrowing short-term debt – the Money uses them?
– What is interest compensation for? Markets – How might we develop a pricing
– How to determine interest rates from – Understanding the conventions and approach for forward rates?
risk-free to high-risk pricing of money market instruments • Derivative products relating to forward
• Benchmark rates rates
30
30
– The use of central bank ‘risk-free’ 12 –13 – Description of FRAs and Futures
rates Lunch – Look at the details of both and contrast
30
– IBOR benchmarks and future 13 –17 00 differences
reference rates Debt Markets (cont.) – Understanding the convexity difference
– How do central banks control the • Borrowing long-term debt – Bonds between FRAs and Futures
interest rate environment? – How do bonds differ from money
• Interest rate maths market products? WEDNESDAY, DECEMBER 4
00
– Calculating interest cash ﬂ ows – Introduction to coupon, price and yield 09 –12 30
– What conventions does each currency – the way we measure bonds Interest Rate Derivatives (cont.)
use? – The relationship between price and • Interest Rate Swaps – switching ﬁ xed
– Dealing with simple and compound yield interest for ﬂ oating
interest – How to we measure the risk of a bond – Who uses interest rate swaps and why?
• Using interest rates to present value investment? – Creating synthetic assets using interest
future cash ﬂ ows • Financing using bonds – the Repo rate swaps
– Which rate do we choose and why market – Bank asset and liability hedging using
does it matter? – Using Repos to fund a bond tenor basis swaps
Exercises: investment • Measuring the risk of interest rate
Interest rate calculations – Borrowing bonds using Repos derivatives
Discounting and the choice of • Creating a yield curve – Managing a derivatives portfolio
discount rate – How do we deﬁ ne a yield curve? – Deﬁ ning and quantifying your risk
– What governs its shape and what – The delta ladder – the risk position for a
Debt Markets are the consequences of difference derivatives trader
• The role of debt shapes? Exercises:
– Why and how do companies and Exercises: FRA settlement calculations
governments borrow money? Bond pricing Interest rate swap applications
– Debt versus equity – the corporate Repo calculations and forward bond
ﬁ nancing choice pricing
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