Mastering Interest Rate Derivatives

Comprehensive course that focuses on the front-office and risk aspects of interest rate derivatives including swaps.

Created by: Tim Glauner
Head of Summit Capital Markets Americas GSC Finastra

What Will I Learn?

• Learn about the workings of Interest Rate Derivatives in Capital Markets based on real-world, practical and rigorous information.
• Understand Interest Rate Derivatives: Grasp the functional details of interest rate derivatives and applications of interest rate swap use cases.
• Master IR Swap Pricing: Learn the end-to-end workflow to price interest rate swaps and understand their valuation.
• Build Interest Rate Curves: Develop skills in constructing and utilizing interest rate curves for financial analysis and decision-making.
• Cap and Floor Valuation: Gain expertise in pricing interest rate caps and floors, essential for risk management strategies.
• Understand Interest Rate Parity theory in foreign exchange markets
• Understand Main and Money currency terminology in foreign exchange markets
• Value at Risk: Understand the algorithms for Parametric VaR, Monte Carlo VaR, Historical VaR and be able to compare the methods and its pros and cons
• Understand Central Bank Policy Implementation: Understand how the Federal Reserve acts in the market to influence the Fed Funds rate to achieve its goals..
• Navigate Capital Markets: Understand the functional areas of capital markets and their roles in the financial ecosystem.

Requirements

• Knowledge of the English language
• Basic Understanding of Financial Markets
• Solid foundation in high school-level mathematics
• No programming experience required
• Some basic Excel skills are helpful to replicate examples

Target audience

• Professional Junior Analyst: Ideal for junior analysts in finance, particularly in roles related to capital markets, risk management, or derivatives trading, who have a basic understanding of the field and seek to deepen their knowledge.
• College with Major in Finance: Perfectly suited. The course content is directly relevant to finance majors, covering essential topics that would significantly enhance their understanding of interest rate derivatives, financial markets, and instruments. It's likely to complement and deepen the knowledge gained from their other finance courses, providing practical insights into complex financial instruments and market dynamics. This could serve as an advanced elective or part of a specialized track within the finance major.
• College with Minor in Finance: Also very well-suited, though the level of detail and the advanced nature of some topics might be challenging for students who have a more limited background in finance. However, for those minoring in finance with a keen interest in capital markets and derivatives, this course could offer a valuable deep dive into areas not fully explored in more general finance courses. It would provide a solid foundation for those considering a career in finance or related fields, even if their major is in another discipline.
• Engineering College: Potentially suitable for upper-level undergraduates or postgraduates specializing in financial engineering, but the focus is not primarily on engineering aspects.
• Senior Analyst: Highly relevant. Senior analysts, especially those specializing in interest rate derivatives, capital markets, or related areas, would find the course content directly applicable to their work.
• Graduate School: Well-suited for graduate students in finance, economics, or related fields, especially those focusing on financial markets, instruments, and derivatives.
• Executive: Suitable for executives who need a comprehensive understanding of interest rate derivatives for decision-making, strategy, or oversight, especially within financial institutions or investment firms.
• College General: Likely too advanced for general college courses, except possibly for upper-level elective courses in finance or economics majors.
• High School: Not suitable or only for gifted students in specialized course. The content is too advanced and specialized for high school curricula.