Session 1
Show the basic applications of interest rate swaps.

- Show a liability swap; specifically swapping down the yield curve to create a floating rate liability
- Show an asset swap; How to create a floating rate asset from a longer dated note

Session 2: Swap Valuation and Pricing
Different types of yield curves are introduced and their derivations are examined. A closer look at the valuation of swaps and their mark to market for P & L or closing out of a swap is reviewed.

- *Each participant will use software to help achieve the learning objectives in this section
- Introduce and explain different types of yield curves including yield to maturity, spot and forward curves
- Explain discount factors and bootstrapping and their use in swap valuations
- Show how swaps are valued using different curves
- Explore terminating and canceling swaps
- *Use of software to reinforce the main concepts

Session 3: Eurodollar Futures
Calculation of the strip and the correlation between strips and interest rate swaps are discussed.

- Review pricing
- Show applications
- Explain importance of strips and their use in pricing other derivative instruments such as swaps and interest rate options
- Explore different Bloomberg screens that show the strip

Session 4: Option Valuation
A closer examination of pricing of options is undertaken. The binomial model is reviewed. More emphasis is placed on an intuitive approach rather than heavy mathematics.

- *Each participant will use software to help achieve the learning objectives in this section
- Introduce the binomial model
- Investigate volatility and how market participants use the different volatility curves, smiles and skews to analyze the market
- Show actual calculation of volatility using price relatives


Session 5: Interest rate options-Caps, Floors and Collars
Pricing is examined and how these instruments are applied are discussed.

- *Each participant will use software to help achieve the learning objectives in this section
- Show pricing and applications

Session 6: Callable and Puttable Bonds
Callable and Puttable bonds are discussed with emphasis on callable bonds. Particular focus will be on OAS and how the value of the embedded option can be impacted by different variables.

- *Each participant will use software to help achieve the learning objectives in this section
- Define callable and puttable bonds
- Investigate their pricing using the binomial model
- Introduce and explore option adjusted spreads
- Examine Bloomberg screens and OAS

Session 7: Swaptions
Swaptions are introduced and how they interact with callable bonds is examined.

- *Each participant will use software to help achieve the learning objectives in this section
- Define swaptions
- Show applications with callable bonds
- Investigate pricing

Session 8: Risk
The program concludes with a discussion on risk.

- Discuss risk management and organizational structures, sound practices
- Review risk measurements and controlling risk

Session 9: How to Measure Counterparty Credit Risk in Derivatives
Examine the differences between cash and derivatives in terms of credit exposure. Look at an example of how to measure credit exposure in interest rate swaps

- Discuss difference between cash and derivatives in terms of credit exposure
- Show examples of calculating credit exposure