FX Derivatives

This FX Derivatives course provides an introduction to the different derivatives which are based on foreign exchange rates.

It starts with an overview of forward pricing and Non-Deliverable Forwards (NDFs) and examines FX futures, the way these are quoted on an exchange and the margin requirements.

The characteristics and features of FX swaps are explained and how these are used in practice. The course also covers the structure valuation and use of cross currency swaps.

Finally, the characteristics and conventions of FX options are explained.

Suitability

This FX Derivatives course is for individuals with a working knowledge of FX and derivative markets.

Learning Outcomes

At the end of this course delegates should understand:

The mechanics of FX forwards and futures
FX swaps, basis and the difference between FX swaps and cross-currency swaps
The basics of FX options

Course Content

FX Forwards
Exchange rate models and forward pricing in theory
Outright forward trades
OTC price discovery
Non-Deliverable Forwards (NDFs)
Exercises: Pricing FX forwards
FX Futures
CME futures quotations
Margin and collateralisation
FX Swaps
Key characteristics and standard market periods
Using FX swaps for funding
FX swap term sheet
Basis
Exercises: Calculating implied swap funding rates
Cross-Currency Swaps
Structure, cash flows & risks in currency swaps
Marking to market & unwinding a currency swap
Cross-currency basis swap & cross-currency asset swap
Carry trades
FX swaps vs. cross-currency swaps
Hedging a basis swap with FX swaps and basis swaps relative valuer
FX Options
Key characteristics
Guide to converting between premium conventions

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