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.


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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