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.

• Treasuy Toolbox
  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