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Fundamentals of Swaps

by Alan McDougall

Languages: English

Price (from): €3,300 / day

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About the trainer:

Alan helps banks and their clients to manage risk. He has designed and delivered over 1600 highly interactive training days in more than 40 countries for the International Faculty of Finance, Goldman Sachs, Morgan Stanley, JP Morgan, HSBC, Deutsche Bank, Rabobank, BNP Paribas, Societe Generale, UBS, Credit Suisse, Barclays, The Bank of England, The Financial Times, The London Stock Exchange, The United Nations and many others. He advised banks and multinational corporations on the design and execution of their hedging, asset-liability and risk management strategies at HSBC’s International Treasury Management Group, where he also ran a currency swaps book. He traded a proprietary fixed-income book at Scotia Capital Markets and ran training courses for the traders and the salespeople. The International Foreign Exchange Dealers Association (ACI) commissioned him to write ‘Mastering Swaps Markets’, published by the Financial Times and the University of Shanghai. He has an MSc in International Banking and Finance, plays the clarinet in one of London’s orchestras, and is a keen golfer, with a handicap of 6. Alan is an advisor to the fintech, edtech, social media company INVSTR.


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Fundamentals of Swaps by Alan McDougall

About the training

#swaps   #derivatives   #risk

This training programme will take you step-by-step through the fundamentals of pricing and trading generic and simple non-generic interest rate and currency swaps. It will explore and apply the different strategies, techniques and methods commonly employed by the industry. An abuncance of exercises and case studies ensure that the course focuses on the practical applications of swaps. The course is aimed at an international audience and is specifically designed for professionals wanting to increase their practical understanding of pricing, trading and hedging techniques. You will benefit by developing a robust set of new skills that you will be able to implement and put into practice as soon as you return to your desk.

Learning outcomes

Swaps Market

The development of the swaps market, key players and their motivation


Interest rate swaps, currency swaps and simple non-generic swaps


Uses and applications of swaps

Risk Management

Swap portfolio risk management


  • Origins of the Swap Market

  • Case Study - Rabobank & Deutsche Bank

  • Types of Swap Transaction

  • Case Study - The dynamics of total return swaps, Fidelity and JP Morgan

  • Applications of Swaps

  • Case Study - Swap driven bond issues, IBRD

  • Case Study - Benchmarking, FMC Corporation

  • FRAs, Futures and Interest Rate Swaps

  • Case Study - Interest rate hedging with FRAs, futures and swaps

  • Understanding Basic Swap Mathematics

  • Case Study - Creating a zero coupon curve and zero coupon discount factors

  • Swap Valuation

  • Exercise - Marking swaps to market

  • Case Study - Valuing an interest rate swap in Excel

  • Case Study - Swaps as a portfolio management tool

  • Case Study - Using swaps in asset and liability management

  • Interest Rate Options

  • Case Study - Vodafone: interest rate hedging

  • A brief overview of hedge effectiveness

  • Case Study - IAS 39

  • Documentation

  • Case Study - Wells Fargo and MWRA

  • Swap Discounting & Pricing Using the OIS Curve

  • Case Study - Discounting swaps using the OIS curve

  • Currency Swaps

  • Case Study - Currency swaps and forward foreign exchange

  • Case Study - Cross currency swap driven bond issue

  • Case Study - Cross currency basis swaps

  • Structuring Swaps

  • Case Study - Swap structures

  • Calculating Credit Exposures

  • Case Study - Calculating credit exposures

  • Regulation

  • Case Study - The impact of Basel III

  • Exotic swaps

  • Case Study - CMS swaps and options

  • Swap Portfolio Risk Management

  • Case Study - Managing a swap portfolio

Main benefits

  • #Wide collection of the biggest experts
  • #Filters for all kinds of needs
  • #User friendly platform
  • #Fast and cheap
  • #Highest level of proficiency