Basic Derivative Instruments Pricing (Interest Rate and FX Derivatives)

Introduction

The aim of this course is to provide a comprehensive overview of derivative instruments used for mitigating risk in corporate FX risk as well as asset and liability management. This course will help participants strengthen their knowledge of the economic markets and the implications and uses of derivatives to mitigate interest rate risk and FX risk. It should be especially useful for those in corporate finance, treasury and risk management.

Objectives

Upon completion of this workshop, participants will be able to;

Learn the Interest Rate Derivative Prima
Understand Pricing and valuing swaps, Pricing and valuing options and Interest rate risk measures
Learn the considerations and application using case study on how to develop an interest rate hedging policy for a corporate
Understand Foreign exchange options, Exotics options and structured products
Learn the considerations and application using case study on how to develop an foreign exchange hedging policy for a corporate
Strengthen their knowledge of the economic markets and the implications and uses of derivatives to mitigate interest rate risk and FX risk

Target Audience

This workshop is beneficial for anyone who have keen interest and wishes to gain an insight into risk management.

Duration

Two days

Curriculum

Interest Rate Derivative Prima
- Types of Swaps and quoting conventions: Exchange-traded products (futures and options on futures contracts) vs. OTC products (FRAs, Interest rate swaps / currency swap, caps / floors / swaptions)
- Market structure: Interbank vs. customer market, credit considerations, why the market exists (to reduce funding costs)
Pricing and Valuing Swaps
- Building a discount curve, what instruments to use, bootstrapping the swap curve
- Recent development in swap pricing: incorporating funding risk (non-libor funding), CSA, CVA, DVA
Interest Rate Swap pricing, Valuation and hedging: OIS, fixed-fixed swap, basis swap, asset swap
- Cross currency swap pricing, valuation and hedging: Generic and non-generic cross currency swaps, conversion factors, cross currency basis
Pricing and Valuing Options
- Basic option terminology and pricing models
- Interpreting the Greeks (Delta, Vega, Theta, Gamma and Rho) and what do they tell us about value and hedging effectiveness
- Interest rate caps, floors and collars: structure, pricing parameters and application
- Swaptions structure, pricing parameters and applications
- More complex structures: Extendable and callable swaps (European, Bermudan styles), constant maturity swap, in-arrear swap, inflation swap, quanto swap
- Advanced interest rate modelling: stochastic term structure models, single factor models (BDT, HW), multi-factor models
Interest Rate Risk Measures
- Delta (DV01), Gamma and Vega, Yield curve risk analysis with parallel and non-parallel shifts in interest rate
How to Develop an Interest Rate Hedging Policy for a Corporate: Considerations and Case Studies
Foreign Exchange Options
- Option basics: pricing terms, In-the-money, at-the-money, out-of-the-money
- Put-call parity and the “Greeks”
- Volatility: implied vs. realised volatility, skew and smile adjustment
- Common uses and strategies: Traditional hedging strategies, bull / bear spreads, other spreads (butterfly, condor, ratio, calendar), other combinations (straddles, strangles)
- Theoretical Option valuation: Black-Scholes, Binomial.
Exotics Options and Structured Products
- Digital or binary option, barrier option, other exotic option: pricing and applications
- Correlation structures, autocallable structures and cliquet structures.
- Structured product: combinations of plain vanilla options and plain vanilla / exotics options
Structuring Corporate Applications for Hedging Currency Exposure using options:
- Call, put, collar, range forward, participating forward, ratio forward, knock-out forward, smart forward: Suitability, pricing and applications
- How to actively manage option position: restructuring of existing option contracts
- Measuring foreign exchange risk: VAR (value-at-risk) and CF@R (Cash Flow at risk)
How to Develop a Foreign Exchange Hedging Policy for a Corporate: Considerations and Case Studies

Methodologies

This course is learner-centred and active participation by attendees are highly encouraged. Case studies are used to ensure understanding and reinforce concepts.

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Kami memberikan alternatif Fasilitas atas Investasi anda dalam Program ini, diantaranya :

Sertifikat, Peralatan Training, USB, Souvenir, Lunch, Coffe Break, City Tour
Running minimal 2 Orang (Semarang, Jogja, Solo), Running minimal 3 Orang (Bandung, Jakarta), Running 4 Orang diperuntukan untuk daerah (Bali, Lombok, Manado, Balikpapan)
Kami menyediakan transportasi antar Jemput dari Stasiun/Bandara ke Tempat Pelatihan(Hotel) bagi perusahaan yang Running minim 2 Orang
Harga dilampirkan di Brosur Penawaran

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Tambahan Informasi :

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5. Informasi dan Data yang jelas akan memudahkan kami untuk segera merespon permintaan anda.

Basic Derivative Instruments Pricing (Interest Rate and FX Derivatives)