Interest Rate Swaps: Pricing, Risk & Hedging Made Simple

This module covers fixed to floating interest rate swaps, in which one party pays a fixed interest rate and the other pays a floating rate tied to an underlying benchmark.

In this module, you will learn about the periodic settlement payments made by parties in an interest rate swap contract, including how these payments are calculated and the role of a clearinghouse.

In this module, you will learn how to use interest rate swaps to hedge against uncertainty in cash flow. We will cover the following topics: how interest rate swaps work, the benefits and risks of using interest rate swaps as a hedging tool, and how to use them effectively in a corporate setting.

This module covers the net interest cost of a synthetic fixed coupon bond. You will learn how to calculate the net interest cost, the factors that impact the net interest cost, and how to use this information in bond portfolio management.

This hands-on learning activity guides learners through the practical process of calculating periodic settlement amounts for both the fixed and floating legs of an interest rate swap.

In this module, you will learn about OTC clearinghouses, including how they work, the benefits they provide, and the risks they manage. We will also cover the role of clearinghouses in the OTC derivatives market.

This module compares cleared swaps to OTC swaps that are not cleared through a clearinghouse. You will learn about the key differences between the two, including the benefits and risks of each, as well as the role of clearinghouses in the swap market.

This module covers the functioning of OTC clearinghouses. You will learn about the role of clearinghouses in the OTC derivatives market, how they work to manage risk and provide benefits, and the key characteristics of OTC clearinghouses.

In this Hands-On Learning activity, you will simulate the steps and decision-making processes involved in interest rate swap transactions, comparing traditional OTC (over-the-counter) swaps to post-2008 cleared swaps. You will calculate collateral requirements, evaluate credit risk exposures, and outline how clearinghouses function in practice.

In this module, you will learn how to terminate a swap before its maturity date. We will cover the process and considerations involved in terminating a swap, as well as the potential impact on market value and credit risk.

This module covers the pricing of interest rate swaps. You will learn about the factors that impact the price of a swap, how to calculate the net present value of a swap, and how to use this information in trading and risk management.

In this module, you will learn how to price fixed for floating interest rate swaps. We will cover the factors that impact the price of a fixed for floating swap, how to calculate the net present value of a swap, and how to use this information in trading and risk management.

This module covers the valuation of swaps and how they can be used to hedge against uncertainty in cash flow. You will learn about the factors that impact the value of a swap, how to calculate the net present value of a swap, and how to use this information in risk management.

This Hands-On Learning activity is designed to help you apply key concepts from the section on swap pricing and valuation. You will work through a structured scenario, conduct present value calculations, and analyze the effects of interest rate changes on swap counterparties.

This module covers the management of cash flow risk for fixed and floating rate assets. You will learn about the different types of risk that can impact the cash flow of these assets, as well as various strategies and tools that can be used to manage this risk.

In this module, you will learn about the concept of basis in the context of fixed versus floating rate swaps. We will cover the factors that can impact the basis, how to calculate the basis, and how to use this information in trading and risk management.

This module covers capital market equivalents for fixed and floating rate payers. You will learn about the various instruments that can be used as substitutes for fixed and floating rate debt, as well as the pros and cons of each option.

This module covers value hedging and asset swaps. You will learn about how value hedging can be used to reduce risk in a bond portfolio, as well as the mechanics and benefits of asset swaps as a hedging tool.

In this module, you will learn about the different variations in the structure of interest rate swaps. We will cover the various types of swaps that are available, the key characteristics of each, and the pros and cons of using different structures.

This module covers the structuring and pricing of basis swaps, and concludes the course. You will learn about the key characteristics of basis swaps, how to structure and price these instruments, and how to use them in trading and risk management.

This Hands-On Learning activity focuses on how interest rate swaps are used to manage both asset and liability exposures. You will analyze scenarios involving synthetic conversions of asset and liability cash flows from fixed to floating and vice versa. You will also interpret the risk management rationale behind these decisions.