Advanced Swaps

In-person teaching Classroom
Exclusive online content Webinar

This course provides an overview of complex swaps.

It introduces asset swaps, explaining how swaps can be used to change assets between fixed and floating rate interest for both corporate and government bonds taking into account any spread.

Participants will examine the structure, pricing and value of swaps with a principle which changes over the duration of the agreement, and swaps that start at a date in the future.


This “Advanced Swaps” course is for individuals with a working knowledge of the bond market and fixed income derivatives.

Learning Outcomes

At the end of this course delegates should understand:

  • The mechanics of asset swapping
  • The key characteristics of variable principal swaps, forward starting swaps and constant maturity swaps
  • How to price complex swaps


Course Content

Asset swaps

  • Mechanics of asset swaps
  • Fixed to floating cash flows
  • Trading asset swaps
  • Asset swapping government bonds

Exercises: In-depth team discussions on trading swap spreads

  • LIBOR in arrears swaps
  • Structure and cash flows
  • Simplified pricing methodology
  • Variable Principal Swaps (VPS)
  • Amortising principal swaps
  • Accreting principal swaps
  • Rollercoaster swaps

Exercises: Pricing variable principal swaps

Forward Starting Swaps (FSS)

  • FFS characteristics and pricing
  • Hedging FSS and approximating forward rates

Exercises: Pricing and valuing forward starting swaps

Constant Maturity Swaps (CMS)

  • CMS characteristics and pricing
  • Applications of CMS


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