This covers the different OTC derivative products such as swaps,options etc. It is an advanced program covering products,pricing and valuation of currency and interest rate derivatives.
|Financial Derivatives Refresher||Refresher: What are derivatives? Why do people use it?|
The building blocks of financial derivatives: Credit extension products, price fixing products, and price insurance products.
|Price Fixing Products||Swaps: A discussion on the typical parameters of a swap (such as - 'Notional Principal', 'Benchmark Rates', 'Settlement Frequencies', etc.)Interest Rate Swaps: Key terminologies (such as - terms related to fixed rate payment, and floating rate payment, etc.)|
Forward Rate Agreements (FRAs): Introduction to FRAs and its calculation for swap pricing.
|Indian IRS Market||Interest Rate Benchmarks (such as - INBMK, MIFOR and MIBOR).Overnight Index Swaps (OIS): Its features (such as - floating benchmark, compounding on floating side, etc.).|
How does OIS work? Bond-OIS Hedge. Trading the OIS, G-Sec OIS spread and the OIS curve.
|Interest Rate Futures (IRF)||IRF features, Trading margins (initial and extreme loss margin).Settlement: Discussion on IRF settlement (daily mark to market and final settlements).Settlement procedures and step by step illustration on how to arrive at 'Daily Settlement Price' of futures contract.T-Bill Futures: How T-Bills futures work? A scenario based example to calculate discount yield.IRF Hedging: How IRF hedging works.|
IRF Trading: A detailed discussion on various trading strategies (such as - 'Directional Tades','Calendar Spread', etc.).
|Currency Swaps||Need for Currency Swaps, with an example.Variants of Currency Swaps: Principal Only swap, Coupon only swap, Amortising swap.|
Hedging Currency Swaps: How a bank would cover a position?
Jai joined ANZ Grindlays from campus, and moved on to Citibank, and then to Deutsche Bank, as head of Foreign Exchange & short term Derivatives trading for India.
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