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Course Details

Structured Interest Rate Products

overview

This programme gives an overview of current, state-of-the-art interest-rate derivatives and products sold in the market place. The approach is product-oriented, with applications foremost and the maths secondary.

objectives

By the end of the programme delegates will:

  • understand the mechanism of each structured rate product described,
  • understand the motivations and risks assumed by both the issuer or dealer and the investor, and
  • have a sense of the hedging process required for the dealer or issuer and how the hedging activity will impact the market.

who should attend?

Interest Rate Derivative junior trading, structuring, or risk-management staff and middle office, settlement, legal, and compliance staff.

duration

1 day.

prior knowledge

A sound understanding of the mechanics and pricing of interest-rate swaps and vanilla options.

syllabus
  1. Motivating structured products
  2. Structured Products:
    1. Range accrual notes,
    2. CMS linked notes,
    3. reverse floaters,
    4. Target Redemption Notes,
    5. Dual, Reverse Dual, and Power Reverse Dual Currency Notes