Twicet

In this one day advanced workshop on Short-Term Interest Rate Futures, delegates will learn about: Advanced valuation techniques; TED spreads; Cross Market Relative Value Trading; and how to identify trading opportunities and risks.
Delegates should ensure they are familiar with the basics of STIR Future mechanics, pricing and hedging, and the basics of swap and bond pricing before attending the course.

	Available for in-house delivery. Call +44 (0)1483 573150
	Duration: One day (9.00am to 5.00pm)
	Location: In-house
	Trainer: Stephen Aikin
	Please contact us for a quotation

Course Outline

STIR Futures: Advanced Valuation

+ Deriving a discount curve < one year
+ Deriving a discount curve > one year
+ Convexity adjustments
+ Forward rate and value basis issues
+ Stringing methodologies
+ Bloomberg EUS function
+ Embedded credit and counterparty risk

STIR Futures: TED Spreads

+ Introduction to bonds and their risk characteristics
+ How bond duration differs from STIR duration
+ Constructing the TED spread
+ TED spread drivers
+ TED spreads using derivatives
+ Bond futures: Conversion factors; Cheapest-to-deliver
+ Quick and dirty TED spreads
+ WORKSHOP: Trading strategies - Constructing term TED spreads

STIR Futures: Cross-market Relative Value Trading

+ Cross-market relative value trading: OIS/LIBOR spreads; OIS futures; Fed funds/Eurodollar
+ Synthetic financing trades: Synthetic Index calendar spreads; Synthetic FX Forwards/Swaps