Overview

This course looks at interest rate swaps in detail. First, swaps in general are introduced, then we will be looking at the structure of the most common type of interest rate swap - the fixed or floating interest rate swap. We will also consider a variety of different structures, pricing and valuation, and applications - both risk management and speculative.

This course contains 20 lectures within 5 sections:

  • Introduction to Interest Rate Swaps
  • Risk Management of Floating Rate Liabilities
  • OTC Clearinghouses
  • Swap Pricing and Valuation
  • Risk Management with Interest Rate Swaps

Learning Outcomes

What you'll Learn

  • You'll learn about pricing interest rate swaps
  • You'll learn the applications of interest rate swaps
  • You'll learn the features and functions of OTC clearinghouses and how they work
  • You'll learn various risk concerns with interest rate swaps and solutions for risk management

Course curriculum

  • 1

    Slack Channel - Discussion Forum

    • Slack Channel
  • 2

    Introduction to Interest Rate Swaps

    • Introduction of Swaps FREE PREVIEW
    • Introduction of Swaps (Slides)
    • Interest Rate Swap Basics
    • Interest Rate Swap Basics (Slides)
    • Interest Rate Swap Contract Features
    • Interest Rate Swap Contract Features (Slides)
  • 3

    Risk Management of Floating Rate Liabilities

    • Fixed for Floating Interest Rate Swaps
    • Fixed for Floating Interest Rate Swaps (Slides)
    • Periodic Settlement Payments on Interest Rate Swaps
    • Periodic Settlement Payments on Interest Rate Swaps (Slides)
    • Hedging Cash Flow Uncertainty with Interest Rate Swaps
    • Hedging Cash Flow Uncertainty with Interest Rate Swaps (Slides)
    • Net Interest Cost of a Synthetic Fixed Coupon Bond
    • Net Interest Cost of a Synthetic Fixed Coupon Bond (Slides)
  • 4

    OTC Clearinghouses

    • OTC Clearinghouses
    • OTC Clearinghouses (Slides)
    • Cleared Swaps Versus OTC Swaps Ex-Clearinghouse
    • Cleared Swaps Versus OTC Swaps Ex-Clearinghouse (Slides)
    • Functioning of OTC Clearinghouses
    • Functioning of OTC Clearinghouses (Slides)
  • 5

    Swap Pricing and Valuation

    • Terminating a Swap Before Maturity
    • Terminating a Swap Before Maturity (Slides)
    • Interest Rate Swap Pricing
    • Interest Rate Swap Pricing (Slides)
    • Pricing Fixed for Floating Interest Rate Swaps
    • Pricing Fixed for Floating Interest Rate Swaps (Slides)
    • Valuing Swaps, Hedging Cash Flow Uncertainty
    • Valuing Swaps, Hedging Cash Flow Uncertainty (Slides)
  • 6

    Risk Management with Interest Rate Swaps

    • Managing the Cash Flow Risk of Fixed and Floating Rate Assets
    • Managing the Cash Flow Risk of Fixed and Floating Rate Assets (Slides)
    • Basis Swaps (Fixed Versus Floating Swaps)
    • Basis Swaps (Fixed Versus Floating Swaps) (Slides)
    • Capital Market Equivalents for the Fixed and Floating Rate Payers
    • Capital Market Equivalents for the Fixed and Floating Rate Payers (Slides)
    • Value Hedging, Asset Swaps
    • Value Hedging, Asset Swaps (Slides)
    • Variations in the Structure of Interest Rate Swaps
    • Variations in the Structure of Interest Rate Swaps (Slides)
    • Structuring and Pricing Basis Swaps
    • Structuring and Pricing Basis Swaps (Slides)