The purpose of this seminar is to give the participants a thorough introduction to FRAs, swaps and their related option products (caps, floors, swaptions) and a good understanding of how these instruments are traded, priced, used and managed. The basic characteristics of the instruments are explained, illustrated with numerous examples of cash flows. We explain in detail how the instruments are valued for mark-to-market purposes, for the calculation of replacement value and for risk management purposes, illustrated with lots of examples. In addition to the "generic" structures we shall present and analyze special swap structures including "amortizing", "accreting", "forward starting", "arrears reset", "overnight index" and "differential" swaps. We demonstrate how the instruments are used to create synthetic cash flows (asset and liability swaps) and for managing interest rate and foreign exchange risk at the micro as well as the macro level. Finally, we explain how a "book" of swaps, caps, floors etc. should be managed.
