Day 1

          Session 1 and 2

1. A general revision of Fixed Income Maths-Interest Rates, Day Count Conventions, Migration from one interest rate to another, YTM, Duration, Convexity, Zero Curve and its derivation, Par Yield, Swap Curve.
   
   Exercise 1 Determining Duration and Convexity for a given portfolio.
   
   Session 3 and 4
   
   
2. Risk Management Issues
   
   Defining Risk and in particular financial risk
   Quantifying Risk
   Risk in a portfolio
   Steps in Risk Management
   Principles of managing risk
   Determining Risk Appetite
   
   Exercise 2 Risk Appetite for a company given future financials
   
   Day 2
   
   Session 1
   
   
3. Risk Transference using Derivatives products


4. Approach to derivative pricing and consequently the market structure of constructing them from available market products.


5. Broad approaches to the use of the various products and how to choose between competing products.
   
   Session 2
   
   
6. Pricing a Forward and Future under various circumstances


7. Understanding FRA and its pricing approach. Using alternatives where available.
   
   Exercise 3 Developing a pricing model for Forwards and FRA
   
   Session 3
   
   
8. Understanding Options and how they differ from other products.


9. Using model in excel to price an option. Understanding the concept of Implied volatility.
   
   Session 4
   
   
10. Understanding Swaps and their structures.
    Exercise 4 Pricing a currency swap and Interest Rate Swap.
    
    Day 3
    
    Session 1 and 2
    
    
11. Engineering new risk management products-
    
    a.Combining Building blocks to produce new Instruments
    b.Combination using Forwards and Swaps, Options and Forwards, Options and Swaps, Options with other options.
    
    Exercise 5 Developing a suitable product for a company with a given risk exposure.
    
    Session 3



12. Option Greeks and their specific uses. Delta, Gama, Theta, Vega and Rho.


13. Second Generation Options and their uses.
    
    Exercise 5 Using Deltas in practice.
    
    Session 4
    
    
14. Reserved for time overlay, revision, discussions, questions and answers.