Rates Derivatives: Caps&Floors, Swaptions, and Strategies

The aim of this course is for learners to explain and analyse the cash flows, pricing and practical use of Interest Rate Options. They will also examine option strategies and gain an overview of exotic options and their structures


For Graduate Entrants in Financial Markets . Basic Rates derivatives knowledge (e.g. FRAs, futures and swaps) is preferred

Learning Outcomes

At the end of this course participants will be able to:
– Define an Option and Understand Basic Principles
– Understand Types of Interest Rate Option – hedging uses and functions
– Define Caps and Floors, illustrate the cash flows and chart profit profiles
– Describe Cap and Floor Exercise and Calculate Settlement
– Define Swaptions and illustrate their cash flows
– Understand Methods of Swaption Settlement
– Calculate Swaption Cash Settlement Values
– Understand Option Pricing to include the following:
– Time, Moneyness, Volatility
– Option Modelling Overview
– The Greeks
– Skew
– The Swaption Grid
– Negative Rates
– Know how to hedge options and trade delta
– Understand option strategies and their applications

Course Content

Option Definition
– What an option is – Opening Questions and Presentation
– Basic Terms and principles – Presentation
Types of Option
– Caps and Floors
– Swaptions
Caps and Floors
– Illustrate Cash Flows and Profit Profiles – Whiteboard Interaction
– Calculate settlement – Excel Exercise
– Future Options in Brief
– Illustrate Swaption construction and Cash flow – Whiteboard
– Settlement Methods
– Calculate cash settlement – Excel Exercise
Option Pricing
– What affects the price of an option – Quiz and Discussion
– Probability – Time / Underlying / Volatility
– Option Modelling Overview
– The Greeks – Theta, Delta, Vega, Gamma
– Skew – Why it is a factor
– SABR Model principles
– The Swaption Grid
– Negative Rates
Option Strategies
– Straddles, Collars, Strangles – Q&A – what are you trading or managing here? (the Greeks)
– Why hedge an Option?
– Delta Hedging
– Vega Hedging
– Case Studies – What Options and strategies to use for hedging rates and other risk management


of our clients would recommend Alpha to a colleague or peer


of a cohort was promoted within 2 years after participating in an Alpha course.


of participants felt more confident in their role, following an Alpha commercial leadership course.

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.

Knowledge Exchange Evangelists

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..

Enquire now

"*" indicates required fields

This form collects your contact information so that we can correspond with you.
Check out our privacy policy for more information about how we protect and manage your data.
This field is for validation purposes and should be left unchanged.
The team are so friendly and pleasant to work with, everyone is very professional and keen to help us. Building a relationship over the past couple of years helps us to feel like the Alpha team are even more able to understand our needs and provide more proactive solutions.
Find out more about our in-house training courses