Derivatives and Structured Products Training Course

Participants can build discounting inputs and value dated cash flows using market conventions.

• Discount factors, zero rates and forward rates derived consistently
• Day-count conventions, compounding bases and business-day adjustments applied accurately
• Bootstrapping zero curves from deposits, FRAs, futures and swaps
• Interpolation choices assessed for curve construction and valuation sensitivity
• Present values reconciled with dirty prices, accrued interest and clean prices
• Spreadsheet cash-flow timelines identify payment dates, resets and discounting points

Participants can price forwards and futures and construct basic hedge positions.

• Forward prices calculated using carry, income, storage costs and convenience yield
• Futures marking-to-market distinguished from forward settlement and credit exposure
• Basis risk measured when hedging cash exposures with imperfect contracts
• Equity index, currency and commodity futures hedges sized using hedge ratios
• Calendar spreads and roll risk assessed across contract maturities
• Daily variation margin traced through futures account cash movements

Participants can value FX forwards and design hedges for foreign-currency exposures.

• Spot, forward and swap points quoted under market convention
• Covered interest parity tested using domestic and foreign discount curves
• FX forward valuation updated after spot movements and curve changes
• Non-deliverable forwards settled against published fixing rates and notional differences
• Cross-currency basis identified within forward pricing and funding decisions
• Foreign-currency receivable hedge schedules match maturities, amounts and settlement dates

Participants can value interest-rate derivatives and align swaps with debt exposures.

• Fixed-for-floating swap cash flows built from payment schedules and reset rates
• Par swap rates derived from discount factors and floating-leg value
• Interest-rate swap valuation decomposed into fixed and floating bond positions
• Forward rate agreements valued using contract rates, market rates and discounting
• Overnight indexed swaps compared with term-rate swaps and compounding conventions
• Swap hedge designs align debt repricing profiles with benchmark exposures

Participants can analyse option positions, parity relationships and payoff outcomes.

• Call and put payoffs calculated at expiry across strike prices
• Put-call parity used to test option prices and synthetic positions
• Option moneyness, intrinsic value and time value interpreted correctly
• American and European exercise rights compared with dividend and rate effects
• Long and short option positions mapped through profit-and-loss diagrams
• Volatility, time and underlying price effects separated in option valuation

Participants can assess option values using model inputs, volatility data and pricing checks.

• Black-Scholes-Merton inputs examined for assumptions, limitations and market conventions
• Binomial trees price American options through backward induction
• Implied volatility extracted from quoted premiums and compared across strikes
• Volatility smiles and skews interpreted by maturity, strike and market stress
• Monte Carlo simulation introduced for path-dependent payoff valuation
• Model outputs checked against no-arbitrage bounds and observable market prices

Participants can measure option sensitivities and explain dynamic hedging requirements.

• Delta hedges sized from position sensitivities and contract multipliers
• Gamma and theta explain nonlinear exposure changes over time
• Vega risk measured under parallel and strike-specific volatility movements
• Rho sensitivity linked to discounting changes and interest-rate scenarios
• Greek reports aggregate positions by currency, desk, maturity and underlying
• Rebalancing thresholds balance transaction costs against residual risk

Participants can evaluate option strategies and identify risks within exotic option terms.

• Protective puts, covered calls and collars matched to risk objectives
• Spreads, straddles and strangles analysed through payoff and Greek profiles
• Barrier, Asian and digital options distinguished by trigger and payoff mechanics
• Exotic option terms reviewed for valuation inputs and operational dependencies
• Structured option combinations assessed for maximum loss and liquidity constraints
• Term sheets translated into payoff diagrams, cash-flow schedules and risk factors

Participants can decompose structured notes and assess their investment and issuer risks.

• Capital-protected notes decomposed into zero-coupon bonds and option packages
• Reverse convertibles analysed for coupon, equity delivery and downside exposure
• Autocallable notes mapped for observation dates, barriers, coupons and redemption
• Participation notes compared with direct investment using payoff and fee analysis
• Principal protection tested against issuer default, inflation and early-sale risk
• Embedded derivative identification separates host contracts from derivative components

Participants can analyse credit derivative cash flows, credit events and settlement mechanisms.

• Credit default swap premiums, spreads and settlement conventions explained
• CDS protection leg and premium leg valued using default probabilities
• Credit events, restructuring clauses and auction settlement terms examined
• Total return swaps distinguish market return transfer from funding obligations
• Credit-linked notes decomposed into bond exposure and embedded credit protection
• Wrong-way risk identified where exposure rises with counterparty deterioration

Participants can assess cross-asset derivative exposures and sector-specific hedge structures.

• Commodity swaps priced using forward curves, seasonality and contract specifications
• Crack, crush and spark spreads connect physical margins to hedge instruments
• Equity swaps exchange total returns for financing-rate cash flows
• Dividend assumptions tested within equity forward and option valuations
• Inflation swaps link indexation lags, fixing calendars and payment calculations
• Cross-asset structures assessed for correlation, liquidity and basis risks

Participants can review derivative valuations, market data and valuation-adjustment controls.

• Independent price verification compares trader marks with approved market sources
• Valuation adjustments distinguish CVA, DVA, FVA, MVA and KVA
• Bid-offer reserves and model reserves documented for less-liquid instruments
• Curve inputs, volatility surfaces and correlations governed through data controls
• Fair value hierarchy assessed under IFRS 13 observable-input classifications
• Valuation uncertainty reported through sensitivities, reserves and disclosure narratives

Participants can assess counterparty exposure, collateral terms and margin requirements.

• ISDA Master Agreement provisions allocate close-out, netting and termination rights
• Credit Support Annex terms determine eligible collateral, haircuts and thresholds
• Potential future exposure estimated using scenarios, add-ons and netting sets
• Initial and variation margin flows reconciled against valuation and collateral statements
• Wrong-way risk controls link counterparty limits with underlying risk factors
• Central clearing compared with bilateral trading for margin and default management

Participants can measure derivative portfolio risk and interpret limit and stress reports.

• Value at Risk calculated using historical, parametric and Monte Carlo methods
• Expected shortfall interpreted alongside VaR for tail-loss measurement
• Stress tests apply rate shocks, volatility jumps and correlation breakdowns
• Backtesting compares VaR exceptions with model confidence levels and governance thresholds
• Limit frameworks assign market, counterparty, tenor and concentration boundaries
• Risk reports connect sensitivities, scenario losses, limits and management actions

Participants can identify accounting, reporting and model-governance requirements for derivative activity.

• IFRS 9 hedge accounting criteria assessed for documentation and effectiveness
• Cash flow, fair value and net investment hedges distinguished
• Hedge ratios, cost of hedging and ineffectiveness measured under IFRS 9
• EMIR reporting fields linked to trade identifiers and lifecycle events
• Clearing, margin and reporting obligations compared across relevant jurisdictions
• Model governance records approval, validation, change control and exceptions

Participants can design a controlled hedging programme from exposure identification through monitoring.

• Exposure inventory converts business risks into measurable hedge objectives
• Instrument selection compares effectiveness, liquidity, accounting and collateral implications
• Hedge ratios optimised using regression, beta estimates and contract specifications
• Tenor ladders align derivative maturities with forecast transaction timing
• Execution plans define counterparties, limits, approvals and dealing evidence
• Post-trade monitoring tracks valuations, collateral, effectiveness and exceptions

Participants can build, review and present a complete derivatives or structured-products recommendation with valuation, risk and governance evidence.

• Case mandate specifies exposure, objectives, constraints, policy limits and reporting audience
• Market-data assumptions establish curves, volatility, credit spreads and correlations
• Valuation workbook prices proposed instruments and reconciles payoff cash flows
• Scenario analysis quantifies sensitivities, stress losses, collateral and liquidity needs
• Recommendation documents instrument choice, hedge ratio, residual risks and governance
• Management presentation defends pricing, risk controls, accounting and implementation plan