derivatives training courses

Essentials of Interest Rate Hedging
Essentials of Interest Rate Hedging

Essentials of Interest Rate Hedging

This course guides learners through interest rate risk hedging, covering its impact and the role of derivative contracts like swaps. It offers a deep dive into the swap yield curve and the methods of deriving forward and spot rates from market data. 

Participants will explore various financial instruments and learn their practical applications for effective hedging and risk mitigation. With a mix of theory and real-world case studies, attendees will gain both knowledge and the skills to apply it strategically in the face of interest rate fluctuations.

Ref: EOIRH-225

Learning Outcomes

  • Analyze Interest Rate Risk: Understand its implications and identify the affected parties.
  • Explore Interest Rate Hedging Instruments: Discover their role and mechanisms to mitigate interest rate risk.
  • Master Rate Swap and Option:  Delve into their operation and applications in risk management.
  • Valuate a Rate Swap and Option: Acquire practical skills to assess these financial instruments.
  • Decode a Swaption: Understand its operation and role in hedging strategy.

Who Should Attend

  • Fund Manager
  • Portfolio Manager
  • Wealth Manager
  • Management Assistant
  • Financial Analyst
  • Bank Treasurer
  • Corporate Treasurer
  • Financial Engineer


  • 2 days (14 hours)


  • €2250 + VAT for one participant.
  • €1800 + VAT each for a group of 2 or 3 participants, only with group registration.
  • €1450 + VAT each for groups of more than 3, only with group registration.

Tailored Training Solutions

  • We offer the option to collaboratively develop customized programs.
  • If you don't find precisely what you're looking for, we are here to assist you in constructing the perfect solution for your organization.
  • Any of our training courses can be delivered just for your team.
  • We can also co-create bespoke programmes, so if you can't find exactly what you need, we can help you build the right solution for your organisation.

Training Program

I. Interest Rate Risk  

  1. Overview  
  2. Implications  
  3. Impacted Entities

II. Swaps  

  1. General Information  
  2. Market and Participants  
  3. Recent Evolution of the Swaps Market  
  4. Principle and Structure  
  5. Definition  
  6. Utilization 
  • Practical Case:
    • Analysis of different uses of interest rate swaps  

III. Swap Yield Curve  

  1. Zero-Coupon Curve  
  2. Forward Rate Curve  
  3. Bootstrapping
  • Practical Case: 
    • Calculation of forward rates from the zero-coupon curve   

IV. Pricing and Valuation of a Swap  

  1. Difference between Pricing and Valuation  
  2. Recent Evolution in Interest Rate Swap Valuation
  • Practical Case: 
    • Pricing and valuation of an interest rate and currency swap   

V. Futures, Forwards, and Options  

  1. Futures and Forward Contracts  
  2. Definition and differences between a Future and a Forward Contract    
  3. Pricing of a Future and a Forward
  • Practical Case: 
    • Examples of the use of futures/forward contracts and hedging with a futures/forward contract  

VI. Options  

  1. Definition: Call and Put   
  2. "The Greeks " 
  3. Pricing of an Option: Binomial Tree, Black-Scholes, Monte Carlo Simulation
  • Practical Case: 
    • Example of hedging with options

VII. Swaptions 

  1. Definition of a Swaption  
  2. Role and Use
  • Practical Case: 
    • Example of hedging with a Swaption  


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