Derivatives Masterclass

This course will provide learners with an introduction to the varied world of derivatives markets.

Participants will be introduced to futures and options markets, followed by the interest rate swap and credit default swap markets. Each learning unit will begin with a description of the chosen derivative and why it may be appropriate to trade a derivative. Learners will be introduced to the concepts of derivatives pricing and risk management techniques.


This course is suitable for anyone new to Derivatives.

Learning Outcomes

  • Explain the use of futures
  • Calculate the cost of carry forward
  • Analyse arbitage free forward and futures prices
  • Describe the causes and impact of contango and backwardation
  • Explain trading and settlement of futures position
  • Describe the features and applications of interest rate swaps
  • Analyse the relationship between swaps, bonds and forwards
  • Build a swap curve, price and value swaps,
  • Explain how to curve trade using swaps and calculate swap DV01
  • Analyse cross currency swaps
  • Explain the use of CDS and the characteristics of CDS
  • Understand the fixed coupon CDS
  • Describe a credit event and subsequent actions in the CDS market
  • Discuss CDS impact on bond pricing
  • Calculate EL implied default probabilities and CDS premiums
  • Explain the fundamentals of Options
  • Explain moneyness and market terminology
  • Price options using Black Scholes
  • Understand option payoffs
  • Compare call and put options and futures position
  • Understand appropriate option structures used in trading and risk management
  • Construct and analyse straddles, strangles and spreads
  • Construct and analyse risk reversals
  • Explain protection strategies which use options
  • Explain and differentiate Black Scholes, Binomial and Monte carlo pricing models
  • Practice intuitive pricing of options
  • Analyse volatility
  • Analyse impact of market derived inputs to options pricing models
  • Understand the impact of Vol skew and smile on options pricing
    Analyse the use of option Greeks in hedging and trading including, Delta, Gamma, Vega and Theta
  • Create and analyse option delta and delta hedges

Course Content

Introduction to Derivatives

Unit 1 – What are Derivatives?

Forwards and Futures

Unit 2 – Practical futures trading

Unit 3 – Futures pricing

Unit 4 – Futures contracts specifications

Unit 5 – Equity index futures

Unit 6 – Interest rate futures

Interest Rate Swaps

Unit 7 – Interest rate swap basics

Unit 8 – Interest rate swap applications

Unit 9 – Interest rate swap pricing I

Unit 10 – Interest rate swap pricing II

Unit 11 – Trading interest rate swaps

Cross Currency Swaps

Unit 12 – Cross currency swaps basic

Unit 13 – Cross currency swaps applications

Credit Default Swaps

Unit 14 – The CDS contract

Unit 15 – CDSW screen

Unit 16 – Credit events

Unit 17 – CDS pricing

Options Fundamentals

Unit 18 – Option features 1

Unit 19 – Option features 2

Unit 20 – Call options

Unit 21 – Put options

Unit 22 – Protective option strategies

Option Combinations

Unit 23 – Overwrite strategies

Unit 24 – Call spreads

Unit 25 – Put spreads

Unit 26 – Risk reversals

Unit 27 – Straddles

Option Pricing

Unit 28 – Intro to option pricing

Unit 29 – Binomial trees and Monte Carlo simulation

Unit 30 – Black-Scholes

Unit 31 – Volatility

Option Risk Management

Unit 32 – The Greeks

Unit 33 – Delta

Unit 34 – Gamma

Unit 35 – Theta and Vega

Unit 36 – P&L attribution using The Greeks

This Course Includes

  • Learn: 36 micro-learning on-demand videos
  • Check: 36 knowledge checks to validate understanding
  • Apply: 36 hands-on practical exercises and projects
  • Requirements: Access to a computer with an internet connection
  • Accessibility: Access on PC, mobile or TV
  • Certification: Certificate of completion with CPD record


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