Advanced Swaps

Price: $995   Register now

Recommended that you register at least two weeks in advance.

Course Features

  • Course date:11/20/2019
  • Course Duration: 1 Day
  • Level: Advanced
  • Prerequisites: Swaps Knowledge
  • Method: Live & Virtual
  • Venue: MicroTek
  • Time: 9:00 am – 5:00 pm
  • Dress Code: Business Casual
  • Category:
  • Certificate: Yes
  • CPE Credits: 7
  • Course Code: 506


This one day advanced intensive course covers multiple aspects of swaps and the swap markets.  Pricing of and risk management uses of interest rate, currency, credit default, and variance swaps will be covered along with a discussion of the continued emergence of swap execution facilities and other industry related enhancements.  The day will conclude with a look at how block chain technology and crypto swaps are working their way into the swap markets.

Prerequisites:  Understanding of Basic Swap Contracts

Who Should Attend:  Investment professionals from both the buy side and sell side who are involved in applying swaps for speculation and/or risk management purposes.

  • Swap Execution Facilities
  • SEF Margin
  • Pricing Fixed for Floating (Plain Vanilla) Interest Rate Swaps
    • Fixed rate leg coupon at level resulting in legs having equal present values
    • Dealer hedging strategies using Eurodollar futures
    • Eurodollar futures cash flows relative to those of IRS floating rate leg
    • Fixed leg coupon – “weighted average” of rates over swap tenor
  • Valuing Plain Vanilla Interest Rate Swaps
    • Net value of cash flows on fixed and floating legs over time to maturity
    • Valued using LIBOR/Swap and OIS (overnight index swap) curves
  • Pricing Basis (Floating for Floating) Swaps
  • Risk Management Applications of Interest Rate Swaps
    • Converting asset or liability cash flows between fixed and floating
    • Corporate finance example – fixing the rate on a floating rate liability
  • Pricing Currency Swaps
    • Utilizing for Corporate Risk Management Purposes
    • As a Foreign Investment Hedge
    • Impact of Interest Rate Markets
  • Trading / Settlement of Currency Swaps
  • Pricing Equity Swaps
    • Equating present values on an equity leg to an interest rate leg
    • Equity swap as a portfolio of forward contracts
    • Determining rate of return on a hedged position in underlying equity/index
  • Trading/Risk Management Applications of Equity Swaps
    • Positioning (long or short) in underlying equity or index
    • Pair trades (simultaneous long and short positions)
    • Tactical asset allocation trades
    • Capturing alpha while reducing or eliminating equity market exposure
  • Pricing and Valuation of CDS
    • Swap pricing (equating present value of legs) applied to CDS
    • CDS spread equated to recovery values reflecting probability of default
    • Price or point quote: CDS spread versus standard coupon, default adjusted
  • Risk Management and Trading Applications of CDS
    • Protection buyer/seller equivalent positions: long/short credit put options
    • Managing credit risk exposure of bonds and bond portfolios
    • Reasons portfolio managers sell credit protection
    • Buying credit protection to “short” underlying bond/index
  • Nature of the Contracts
    • Forward contracts on volatility (or variance)
    • Reasons variance swaps are more common than volatility swaps
    • Realized volatility over tenor versus implied volatility at initiation
  • Variance Swaps Contract Terms
    • Tenors – typically short usually a year or less
    • Settled at maturity based on realized variance versus implied variance
    • Vega/variance strikes – based on implied volatility options at initiation
    • Variance notional – negotiated value for each variance point difference
    • Vega notional – approximate gain/loss per 1% difference in volatility
  • Determination of Settlement Value
  • Applications of Variance Swaps
    • Buying (long) or selling (short) to express a view on volatility
    • Selling volatility (> 80% winning bet) to enhance portfolio performance
    • Macro hedge, especially against tail risk
    • Bet on term structure of volatility by buying and selling different tenors
    • View on relative volatility of different securities or indexes
  • Types of Interest Rate Swaptions
    • Payer and receiver swaptions – can be long or short either type
    • Different ways of setting tenors – depends on risk management application
  • Pricing/Valuation of Swaptions
    • Determinants of value – underlying rate versus strike, expiry and volatility
    • Pricing models for valuing interest rate swaptions
    • Put/call parity with swaptions and forward start swaps
  • Trading and Risk Management Applications of Interest Rate Swaptions
    • Hedging swap positions
    • Speculating on interest rate
    • Financial engineering – stripping out or adding call provision to bonds
  • Emergence of Crypto Swaps
  • Participants in this Space
  • Cash Settled Swaps
  • Atomic Swaps


  • Russell joined TABB Group in July 2018 after almost a decade at Cboe Global Markets where he finished his time there as the Director of Education at The Cboe Options Institute. His career before joining Cboe included positions at a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, Balyasny Asset Management, …
    Continue reading Russell Rhoads