From 26 Feb 2018 to 28 Feb 2018    IFRS    in Pristina / Kosovo

Capital Markets: The Mecanics of Derivatives

The following subjects will be covered during this programme: the evolution that led international markets to some money market derivatives products, analysis of the mathematical mechanisms and the hedging proposed by “new” products such as derivatives from cash & foreign exchange products or based on future & option markets. Exercises and interaction.

This course will be available as of 2017 on.

Please revert to the House of Training for further information. 

Location & Duration

HoT-ATTF partner countries: 4-5 days (depending if sequential translation or not)

Detailed programme Explode

I – MARKETS

  • Money markets & Capital markets
  • Exchange and OTC
  • Speculation, hedging & arbitrage
  • Arbitrage game
  • Market actors, participants and roles
  • Products : balance and off-balance sheet
  • Organization : front, middle and back-office
  • Systems : information and pricers

II – NOTIONS OF DERIVATIVES

  • Definition and purpose
  • Notion of underlying / Types of underlyings
  • Value and maturity dates
  • Sensitivity and delta hedging
  • Risks

III – FORWARDS

  • Definition
  • Mechanics
  • Types of forwards
  • Delivery and offsetting
  • FX Forwards
    • Forward points and forward prices
    • Practical exercise : quoting forwards
  • Non deliverable forwards
  • Purpose and limits of forwards
  • Hedging corporate risks
  • Practical Exercise : covering a multinational firm’s FX risks

IV – FUTURES

  • Definition
  • Exchanges
  • Types of future contracts
      • Storable products
      • Non storable products
      • Financial instruments and indexes
  • Organization and operation
      • Trading place
      • The futures contract
      • Operators and participants
      • The transaction system
  • Game : flashing futures
  • Price building
  • Using futures

SWAPS

  • Definition and characteristics
  • Standardization
  • Off-balance sheet instrument
  • Using swaps
  • FX swaps
  • Interest rate swaps (IRS)
      • The IRS contract
      • Cash flow frequency
      • Conventions
      • The reference index
      • Yield curves
      • Cash flow details
      • Pricing
      • Practical exercise : designing a swaps pricer
      • Basis swaps
      • CMS
      • Asset Swap
      • CIRS
      • Quanto swap
      • Forward swap
  • Other types of swaps
  • Contracts and confirmations
  • Risks
  • Game : IRS trading with changing interest rates

 

INTRODUCTION TO PORTFOLIO FX HEDGING WITH DERIVATIVES

  • Fixed income cash flows and NAV hedging
  • Target Hedge ratio
  • Choosing the hedging products
  • Securities trades hedging, Rebalancing and rollovers

 

OPTIONS AND WARRANTS

  • Definition
  • Types of options
  • Underlying assets
  • Characteristics
  • European and American options
  • Call and put
  • Strike
  • Maturity
  • Volatility
  • Intrinsic and time value
  • Practical exercise: designing an option pricing screen with group presentation
  • Pricing
  • Option strategies
  • Using options
  • Other types of options
  • Warrants

 

 

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