_Analyse once – understand always
_Structured products à la carte

_Story

Teams of participants try to understand the underlying design of structured products, to determine the components and map them properly. Participants may bring their own products for analysis.

_Learning for the real world

Understanding and analysing the components of structured products

• The zero curve and its application in pricing and risk measurement
• Interest swaps and possible 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

Deconstruct structured products to make transparent their pricing and mapping

• Structured products: structure, conventions, pricing and formulas, price-impacting factors, hedging, risk mapping
• Reverse floaters with interest floors
• Quanto swaps
• Steepeners and flatteners: with interest floors and caps, with and without in-arrears adjustment
• Target bonds
• Constant maturity swaps and bonds
• Snowball bonds
• Latest structures

_Target Group

• Risk managers
• Capital market traders with responsibility for devising structured products
• ALM committee members
• Financial engineers with responsibility for structuring and new product development