Interest Rate Derivatives 2: Structured Products

London Financial Studies
Course summary
2 days
Professional Training
Next available date: Contact LFS for details - Online courses
Course Dates
Contact LFS for details  (English)
New York
Contact LFS for details 
Contact LFS for details 

Course description

Interest Rate Derivatives 2: Structured Products

Structured Products - 2 day course in Interest Rate Derivatives

A comprehensive and practical workshop on pricing, using and managing structured interest rate derivatives.

What used to be called exotic interest rate derivatives are now commonplace and an essential part of the financial marketplace either as legacy transactions or embedded in new structures.

This intensive programme is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps, Range Accruals and Quantos. Groups are kept small and more than half of the course is devoted to practical workshops. The exercise answers include fully worked scenario spreadsheets containing relevant Excel functions and macros for participants to take away.

Leaning Objectives:

  • Learn how to build up second generation IRDs from vanilla products and thereby hedge and manage the risk in these structures
  • Explore how to use second generation and structured products in the design of risk management strategies
  • Gain an intuitive understanding of convexity and timing adjustments needed in the valuation of second generation derivatives
  • Understand the role of correlation and volatility in the pricing and structuring of second generation IRDs

Can't travel? Don't want to travel? LFS Live brings the class to you!

  • Live interactive training from world renowned practitioners in the comfort of your own home
  • Real classroom experience without the inconvenience of travel
  • World class teaching from the comfort of your preferred location

Please contact us for more information.

Suitability - Who should attend?

This Structured Products training course has been designed for anyone who wishes to be able to price, use, hedge and manage second-generation interest rate derivatives, in particular:

  • Risk Managers
  • Asset Managers
  • Financial Engineers
  • Traders and Structurers
  • Quantitative Analysts
  • Researchers and others who manage interest rate risk

Course requirements: A good understanding of vanilla interest rate derivatives

David Cox (Course leader)

Dr David Cox has wide practical experience of the financial markets and an international reputation as a teacher of high-level short courses.  His career includes ten years in banking, primarily with Bank of America Capital Markets.  After leaving the City he joined the staff of London Business School, where he set up the financial markets seminar programme, did research and maintained an active external teaching and consultancy practice.

Dr Cox is the founding director of London Financial Studies and specializes in quantitative techniques, rates, inflation, risk management and derivative products.  He was on the executive education faculty of ICMB in Geneva (now Swiss Finance Institute) for fourteen years and continues to run programmes for professionals and their clients at leading financial institutions as well as the US and UK governments.

Training Course Content

This Interest Rate Derivatives 2: Structured Products training course provides a thorough exploration of relevant issues as outlined here:

Day One

Variations on the normal swap: Libor in Arrears

  • Basic structure
  • Why use swaps with Libor set in arrears
  • LIA and the yield curve
  • Hedging LIA
  • Introduction to convexity adjustments and timing corrections

Workshop: The impact of volatility on LIA value

Introduction to correlation: Quantos

  • Description of quanto structures
  • Why use quanto swaps
  • Relative yield curve trades and carry
  • Determinants of value
  • Hedging
  • The importance of correlation and its limitations
  • Measuring correlation

Workshop: Pricing and using Quantos

Day Two

Review of Swaption Volatility

  • Interpreting swaption volatility (basis point/lognormal)
  • Smile and Skew with Normal and Lognormal assumptions
  • How “Vol of Vol” explains smile and skew
  • The SABR model and it’s benefits

Using CMS: The Impact of Volatility

  • Constant Maturity Swaps and their uses
  • CMS for asset/liability management
  • CMS structures in a flat yield curve environment
  • Steepeners and CMS spread options
  • CMS caps
  • Hedging CMS with a portfolio of swaptions
  • The interaction between CMS and swaption volatility

Workshop: Using and structuring Steepener notes

Range Accruals

  • Examples of typical range accrual products and how they are used
  • The link with Libor caps and floors
  • Hedging digital options
  • The impact of yield curve shape
  • The importance of volatility
  • Libor and CMS range accruals
  • Call features

Bermudan Swaptions

  • What Bermudans are for and how they work
  • Users and uses of Bermudan swaptions
  • The relationship between Bermudan and European swaptions
  • Issues in pricing and hedging Bermudans

Workshop: Structured Notes

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The course includes materials, lunch and refreshments. Please enquire for the cost of this course in New York and Singapore.

In-house training

London Financial Studies can also deliver this course as in-house training for your financial team. In-house training is often the most cost effective alternative to open courses which allows you to also customise the course content to meet your internal requirements.

About provider

London Financial Studies - Capital Markets Learning

Exclusive training for Capital Markets & Investment Bankers in Europe, Americas and Asia Pacific

London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...

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London Financial Studies

34 Curlew Street
SE1 2ND London

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Average rating 4.9

Based on 9 reviews

VP, Tata Consultancy Services
David is very organized. Very thorough. Goes through material with a lot of intuition. Great course for practitioners.
I found the course very well-presented and enjoyable. It was useful to see exotic products in detail, and get a better handle on their uses and features. The exercises in-class were particularly useful.
Treasury & Capital Markets, Mashreqbank PSC
Advanced topics delivered in an efficient and simple manner with focus on concepts. David's knowledge of markets and structures is superb. The exercises are of great use in understanding the complex derivatives.
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