Interest Rate Derivatives


As most derivatives contain a fixed income feature and since the Interest Rate and FX derivative markets continue to represent the bulk of exchange traded and OTC contracts in most markets, a thorough understanding of the trading mechanics, pricing algorithms and risk management features of Interest Rate Derivatives has become pivotal to succeeding in capital markets and treasury activities throughout the financial industry. Find out why.

Training courses

Banking & Finance

Course Background

The post-financial crisis environment has imposed significant challenges to derivatives traders: banking books and trading books managers alike.

As most OTC derivative transactions are completed under ISDA CSA features including bilateral collateral clauses and daily margining settlements (beyond various netting provisions), the business has changed significantly, which has led to the “futurization” of the Interest Rate Swap markets to commence this year – as aligned with the key features included in the Dodd-Frank and other regulatory stipulations. As a consequence, since the collateral (or margin surplus) earns the overnight rate (best represented by the federal funds rate) and most derivatives are 3 to 6 months LIBOR based, most practitioners are swapping their exposures to the OIS (overnight index swap) rate – something that hasn´t been the case prior to 2008.

This course will provide attendees with a practical understanding of the works and features of modern interest rate derivatives along with key features on pricing instruments in today´s highly volatile markets.

Key topics covered:

Interest Rate Models

The Libor Market Model

Cash vs Derivative Markets
Interest Rate futures and the convexity Adjustments
Swaps and Swap Variants
Constant Maturity Swaps
Interest Rate Options


This course is also available bespoke for larger groups and organizations.

Who is this course for?

Interest Rate Derivatives Traders

Sales and Structuring Professionals

Market and Counterparty Risk Managers

Internal/ External Auditors

Public course dates for - Interest Rate Derivatives