Foreign exchange

The purpose is to broaden the understanding of how the currency market works and how the pricing of different currency pairs is done. We also concentrate on explaining the various instrument types that are currently used in the market and how these could be applied singlehandedly or in conjunction with other types of products.

We concentrate in explaining the underlying risk to the instruments and show how to measure and treat the risk associated.

The products covered in foreign exchange are e.g.

-          -  Spot

-          -  Currency outright

-          -  Currency swap

-         -   Financial currency swap

-          -  Periods before spot (o/nt & t/n)

-          -  Non deliverable forwards (NDF)

-          -  Swedish TCW currency basket

Interest rate

The purpose is to broaden the understanding of how the capital markets work and how the pricing of instruments are done. We also concentrate on explaining the various instrument types that are currently used and how these could be applied singlehandedly or in conjunction with other types of products.

Focus is also put in explaining the underlying risk to the instruments treated and to show how to measure and treat the risk associated.

The instruments covered are i.e.

-          -  Deposits

-          -  Fra (forward rate agreements)

-          -  Treasury bills

-          -  Commercial papers

-          -  Treasury notes/bonds

-          -  Mortgage bonds

-          -  Floaters/FRNs (floating rate notes)

Focus is put to increase the understanding of how these products can be used, what their specifics are and what market price they currently hold.

We explain possible ways to determine market values and how this value could be calculated. Focus is also put on how to build proper yield curves for valuation purposes.

The term bootstrapping will be explained, discount factors included and also pro and cons for different interpolation methods.

We go through various types of risk parameters associated to IRD instruments and how these parameters could be interpreted and used, both individually and for portfolios.

The instruments covered are i.e.

-          -  Interest rate swap (IRS)

-          -  Currency swap (CIRS)

-          -  Basis swap

-          -  Forward rate agreement (Fra)

-          -  Caps & floors

-          -  Swaptions