Overview
Swaps Fundamentals Course Overview
This course walks you through the overview of swaps and the different types of swaps traded by investors and institutions for various purposes. We will compare the structure and uses of the different swaps, as well as demonstrate the calculations of cash flows, pricing, and swap values using examples. We will define some of the most important terminology used in swap contracts, such as swap rate, swap spread, and swap curve. We will also show you how swap contracts would look using Refinitiv Workspace and the key information one could find.
Swaps Fundamentals Learning Objectives
Upon completing this course, you will be able to:- Understand the overall mechanics and structure of swaps, who and why use different types of swaps, as well as pricing, payments, and valuation of swaps
- Compare and contrast the various types of swaps, including:
- Interest rate swaps
- Currency swaps
- Equity swaps
- Commodity swaps
- Basis swaps
- Swaptions
- Variance swaps
- Credit default swaps (CDS)
- Explain the structure and key features of each type of swaps
- Identify the benefits and risks associated with each type of swaps
- Calculate the price and values of each type of swaps
Who Should Take This Course?
This Swaps Fundamentals course is perfect for anyone who would like to build up their understanding of capital markets. This course is designed to equip anyone who desires to begin a career in fixed income, equity, sales and trading, or other areas of finance.
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See All Certification ProgramsWhat you'll learn
Lesson
Multimedia
Exams
Files
Interest Rate Swaps
Interest Rate Swaps - Structure
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Interest Rate Swaps - Key Features
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Long Swap vs. Short Swap
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The Underlying Motive of Interest Rate Swaps
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Why Use Interest Rate Swaps
Interest Rate Swaps - Risks
Example - Swap in Action
Interactive Exercise 2
Quotation: Swap Rate and Swap Spread
Swap Curve
Calculating Swap Payments With The Same Frequency
Calculating Swap Payments With Two Different Frequencies
Interactive Exercise 3
Pricing vs. Valuation of Swaps
Example - Calculating Swap Rate
Valuing a Swap - Method 1
Valuing a Swap - Method 2
Valuing a Swap at T+1 - Method 2 Example
Discounting Methods LIBOR vs. OIS
Interest Rate Swaps Summary
Interactive Exercise 4
Currency Swaps
Currency Swaps - Structure (3-Stage Process)
Currency Swaps - Key Features
Why Use Currency Swaps
Example - Currency Swap in Action (Fixed-Fixed)
Example - Calculating Currency Swap Rate and Payments
Part 1: Calculate Fixed Rate in USD and EURO
Part 2: Calculate Cash Flows on Fixed-Fixed Currency Swap
Part 3: Calculate Cash Flows on Fixed-Floating Currency Swap
Part 4: Calculate Value for Fixed-Fixed Currency Swap
Currency Swaps Summary
Interactive Exercise 5
Equity Swaps
Total Return Swaps
Equity Swaps - Structure
Long Equity Swap vs. Short Equity Swap
Equity Swaps - Key Features
Who and Why Use Equity Swaps
Equity Swaps - Risks
Delta One Desks
Interactive Exercise 6
Equity Swap Example - Pay Floating, Receive Return on Equity
Pricing of Equity Swaps
Valuation of Equity Swaps
Valuing Pay Fixed for Return on Equity Swap - Example
Valuing Return on One Equity, Pay on Another Equity Swap - Example
Equity Swaps Summary
Interactive Exercise 7
Basis Swaps
What Are Basis Swaps
Basis Swaps - Key Features
Why Use Basis Swaps
USD Tenor Basis Swap - 1-month vs. 3-month
Cross Currency Basis Swaps (CCBS)
Cross Currency Basis Swaps (CCBS) Interpretations
Mark-to-Market and Non-Mark-to-Market
Interactive Exercise 9
Cross Currency Basis Swap (Floating-Floating) - Structure
Cross Currency Basis Swap Example - Non-Mark-to-Market
Cross Currency Basis Swap Example - Mark-to-Market
Pricing of Cross Currency Basis Swaps
Basis Swaps Summary
Interactive Exercise 10
Variance Swaps
Variance Swaps - Where Do They Come From
What Is Volatility
Generic Properties of Equity Market Volatility
Historical Volatility vs. Implied Volatility
Building Blocks of Variance Products
Realized Volatility and Implied Volatility - Uses of Variance Swaps
Variance Swaps - Structure
Interactive Exercise 12
Why Use Variance Swaps
Variance Swaps - Key Features
Notionals - Variance or Vega Notional
Variance Swaps Example - Calculating Profit and Loss
Variance Swaps Example - Maximum Losses
Variance Swaps - Bloomberg Example
Interactive Exercise 13
Credit Default Swaps
Credit Default Swaps - Basic Terminology
Credit Default Swaps - Standard Maturity Dates
Credit Default Swaps - Structure
Credit Default Swaps - Key Features
Why Use Credit Default Swaps
Credit Default Swaps - Risks
CDS Settlement on Default - Physical vs. Cash
Recovery Rate and Payout Ratio
Interactive Exercise 14
Pricing Concepts - CDS Spread and Upfront Premium
Example 1 - Understand a CDS Quote
Example 2 - CDS via Bloomberg - Positive and Negative Upfront Premium
Interactive Exercise 15
Factors That Determine CDS Pricing
Example - Calculate Probability of Default and Expected Loss
Credit Curve
Profit and Loss From Change in Credit Spread
Credit Default Swaps Summary
Interactive Lesson 16
Course Summary
Qualified Assessment
This Course is Part of the Following Programs
Why stop here? Expand your skills and show your expertise with the professional certifications, specializations, and CPE credits you’re already on your way to earning.
All Capital Markets & Securities Analyst (CMSA)® Courses
Swaps Fundamentals is part of the Capital Markets & Securities Analyst (CMSA)® certification, which includes 40 courses.
- Skills Learned Trading strategies used in the finance and capital markets
- Career Prep Work in capital markets, whether on the buy-side or the sell-side
What our students say
Keep Practicing
Dear CFI learners, Please, keep practicing exercises if you would like to acquire substantial skills from the subjects. Otherwise, you would not achieve the objective of CFI.
Dear CFI learners, Please, keep practicing exercises if you would like to acquire substantial skills from the subjects. Otherwise, you would not achieve the objective of CFI.
Atinafu Asefa
Key Module
Practice Regularly till one gets used to terms and formulae
Practice Regularly till one gets used to terms and formulae
Mihit Nimishkumar Shah
Swaps Fundamentals
Thank you CFI for this informative course
Thank you CFI for this informative course
Joseph Barasa
interactive quizzes
sometimes the answers to the interactive quizzes do not pertain to the question. Sometimes they are answers to other questions in a diff chapter.
sometimes the answers to the interactive quizzes do not pertain to the question. Sometimes they are answers to other questions in a diff chapter.
