A transparent pricing approach
Once mapped – always understood

Content

Teams of participants learn to understand the underlying design of structured products, to determine their components and to map them properly. A wide range of practical examples are solved in PC simulation sessions. Participants may bring their own products for analysis.

Learning for the real world

• The zero curve and its application in pricing and risk measurement
• Interest swaps and pricing and mapping of IRS structures
• In-arrears interest adjustments
• Cross-currency swaps and their pricing
• Risk measurement of interest and currency positions
• Conventions of FX and interest options
• Pricing of plain vanilla FX and interest options
• Functionality and pricing formulas of exotic options
• Greeks and risk measurement of options
• Structured products: structures, conventions, pricing and formulas, price impacting factors, hedging, risk mapping:
  • reverse floaters with interest floors
  • steepeners and flatteners: with interest floors and caps, with and without in-arrears adjustment
  • target bonds
  • constant maturity swaps and bonds
  • snowball bonds
  • quanto swaps

Cyber*Preparation

• Financial mathematics for the money and capital markets
• Fixed income markets – terminology, conventions, pricing
• Interest rate swaps
• Interest rate options

Target group

• Treasury specialists
• Corporate bankers offering structured products
• Risk managers
• ALM committee members
• Financial engineers with responsibility for structuring and new product development