Interest Rate and Credit Derivatives - Online Finance Courses

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Gain a technical understanding of interest rate swaps, short-term interest rate (STIR) futures, interest rate options, and credit default swaps.

Learn how these derivatives are structured, how cash flows are exchanged, and how institutions use them to manage exposure to interest rate and credit risk. Develop a conceptual understanding of how they are valued and the key factors that drive their pricing.

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Hours to Complete

Topics

Practical exercises

Interest Rate and Credit Derivatives includes

Interest Rate and Credit Derivatives

| skills-certificate

Interest Rate and Credit Derivatives

| Skills Certificate

Hours

Practical exercises

Exam

Understand swaps, futures, and credit derivatives – how they are structured, priced, and used to manage interest rate and credit exposure.

Short Term Interest Rate Forwards and Futures

60 video minutes

3 Excel exercises

Video minutes 60

Excel Exercises 3

Forward rate agreements (IBOR)
- Terminology
- Quotation
- Settlement process and calculation of the discounted settlement amount
Short term interest rate (STIR) futures
- IBOR contract
- RFR contracts

Interest Rate Swaps

76 video minutes

2 Excel exercises

Video minutes 76

Excel Exercises 2

Interest rate swaps (IBOR contracts)
Overnight index swaps (OIS)
Interest rate swap application examples
An intuitive look at interest rate risk in interest rate swaps
Basis swaps
Review: tenor basis and IBOR-OIS spreads
Interest rate swap execution and clearing

Interest Rate Options

45 video minutes

2 Excel exercises

Video minutes 45

Excel Exercises 2

STIR futures options
- Contract specifications
- Quarterly/serial options vs. mid-curve options
Caps and floors
- Terminology and conventions
- Caps, floors and collars
- General pricing/valuation considerations
- Backward vs. forward looking fixings and the impact on contract mechanics
Swaptions
- European swaptions terminology
- Cash vs. physical settlement and the practical implications
- Swaption payoff profiles
- Introduction to Bermudan swaptions

Credit Derivatives (CDS)

56 video minutes

5 Excel exercises

Video minutes 56

Excel Exercises 5

Single name credit default swap (CDS) mechanics
CDS terminology and conventions
- Par spreads vs. standard coupons
- Standardized payment and maturity dates
- Upfront payments
Credit events and an introduction to CDS settlement
An intuitive look at CDS valuation and sensitivities
The CDS basis
- Definition of the CDS basics
- Positive vs. negative basis and reasons why they exist
Index CDS
- Introduction to the iTraxx and CDX index families
- Index CDS cash flow and settlement mechanics

Learn from our expert instructors

Alastair Matchett

–

Ex-J.P. Morgan

Andrea Ward

–

Ex-Lehman Brothers

Gerard Kelly

–

Ex-Ernst & Young

Deborah Taylor

–

Ex-Barclays director

Petter Ljunggren

–

Ex-Goldman Sachs

Jonathan Rugg

–

Ex-Lloyds private banking

Andrew Jones

–

Ex-Standard Bank

Learn more about our full faculty

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