Interest Rate Derivatives 

A comprehensive workshop on pricing and managing interest rate derivatives.Interest rate risk management is becoming increasingly important not just for the financial sector, but for the household sectors as well. Interest rate derivative products are the primary instruments available to manage such risks. Interest Rate Derivatives Module aims at creating a better understanding of the concepts underlying the money market and giving insights into the motives of and operations related to the trading of interest rate derivatives.PROGRAMME CONTENTS: Session 1: An overview of the interest rates derivatives markets The term structure of interest rates: repo rate vs. long term rates Interbank lending vs. treasury lending Fixed and floating rates of lending An overview of basic derivatives building blocks including forward rate agreements, futures, swaps, and options Structure of the global interest rate derivatives markets Overview of the markets in India Session 2: Forward rate agreements and interest rates swaps The relationship between spot and forward rates Mechanics of interest rate swaps Introduction to interest rate swap valuation The MIBOR overnight index swap market in India Hedging interest rate risk using overnight index swaps Building the interest rate outlook implied by the overnight index swap market Session 3: The options market Introduction Mechanics of an interest rate options contract Payoff profiles Application of interest rate options Strategies Markets Option valuation Put call parity Models for valuing interest rate options Black model Black Derman Toy model Inherent risks in option trading Session 4: The interest rate futures market Introduction to futures trading. The relationship between the spot and forward price of a bond An overview of the global bond futures contracts A review of the interest rate future contract in India Delivery of underlying asset on expiry of future Identifying the "cheapest to deliver" bond Using the 'basis' Using the 'implied repo rate' Invoice price Uses of the interest rate futures contract Neutralising interest rate risk Reducing the duration of a bond portfolio Current status of the Indian market Future expectations Session 5: Global trends in the interest rate derivatives markets Session 6: Regulation Applicable to IRD Why should one take this course? To understand the concept of money market To understand the interest rate derivatives as a risk management tool Who will benefit from this course? Students Teachers Employees of Banks, Insurance Companies" Primary Dealers Employees of Brokers/Sub-Brokers Anybody having interest in the Indian money market