Creating and Executing Linear and Structured Trades for Market Hedges

In this course, participants will learn the process of pricing and structuring an appropriate rates product for a customer, including trading it with the client and then hedging the risk in the market and in the inter-dealer market.

Linear and non-linear products will be included in user case studies.


This course is for graduate entrants with some experience of the front office, wishing to progress to trading, structuring , or advisory roles. A sound understanding of rates and derivatives (e.g. FRAs, futures and swaps) is required.

Learning Outcomes

At the end of this course participants will be able to:

  • Prescribe appropriate hedges for specific user case studies
  • Know how to hedge options
  • Understand types of interest rate option – and apply them to use cases
  • Define caps and floors, illustrate the cash flows and apply them to use cases
  • Define Swaptions and illustrate their cash flows and apply them to use cases
  • Consider the issues in market hedging or placement to take account of liquidity, complexity, and size
  • Explain the role and importance of best execution
  • Understand interbank market interaction, direct and through intermediaries
  • Understand the varied execution venues and methodologies
  • Understand short term interest rate hedging instruments
  • Evaluate swaps as hedging instruments
  • Understand option pricing to include the following:
    • Intrinsic and time value, moneyness
    • Volatility and skew
    • The Greeks

Course Content

FRAs and Futures

  • FRA structure and pay-out
  • Interest Rate Future terms
  • FRA and Future hedging uses

Interest Rate Swaps

  • Fixed/ float swaps cash flow and terms
  • Hedging risk with interest rate swaps
  • User Case Illustrations

Interest Rate Options

  • Options definition and overview

Caps and Floors

  • Definitions
  • P&L Diagrams
  • Characteristics
  • User Cases


  • Definitions
  • Cash flow illustrations
  • User cases
  • Exercise types

Hedging Case Studies

  • Group exercises
  • User case hedge choice and design
  • Restructuring and adjusting hedges with market or sentiment moves

Option Pricing

  • Intrinsic and time value
  • Volatility
  • Volatility skew
  • The SABR model

Option Hedging

  • The Greeks
  • Delta hedging

Market Placement

  • OTC VS exchange
  • Market placement
  • Best execution
  • Interbank markets


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Why study with Alpha?

Innovation and creativity born from experience

We are thought leaders in instructional and learning journey design and holistic solution architects. We have extensive finance and investments experience combined with skills application to deliver performance improving results. We develop immersive learning environments that maximize time to productivity, support talent retention and added value to improving quality of hires.

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We are focused on mining the embedded organisational intellectual capital for the benefit of the next generation. We create and curate best in class practice gathered from our experience with the leading financial institutions. We design our programmes with the end in mind – what results are you trying to achieve with this intervention? What metrics will we set ourselves to achieve that?

Generation Proof

Quality and innovation, using current market and industry best practices, have made us a trusted partner in delivering dynamic and motivating training for the financial and capital markets. Our programmes are generation proof and responsive to evolving learner needs and styles. Our solutions use a multi-stakeholder engagement strategy that expands beyond relationships between the learner and learning provider. We create connections with managers, peers and the wider business to drive impactful return on investment..

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