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Insight Series: Swap Curve Construction

This workshop is available via the following modes of delivery:

  • In-house training: Make an in-house training enquiry to have this course delivered at your organisation
  • Expression of interest: Let AFMA know that you are interested in attending a public workshop in your city


PROGRAM:
TITLE: Swap Curve Construction
CE: 3hrs
FEE: Member - $632.50 including GST
Non Member - $792.00 including GST
 
DATES:
available via in-house or
expression of interest

overview

This half-day workshop will teach you how to construct a swap yield curve and guide you through the process of 'bootstrapping' using a range of financial market instruments to construct a swap curve, including interpolation of discount factors. 

Who is it for?

This workshop will benefit participants across the wide spectrum of debt markets aiming to improve their knowledge of the techniques used to value debt derivative and cashflow products.

To get the most out of this workshop, you should have a basic understanding of annuity and discount factors as well as pricing forward rate agreements.

What will you learn?

By the end of this workshop, you will have gained an understanding of:

  • discount factors and zero curves
  • ‘bootstrapping’ a swap curve in practice
  • using swap rates only
  • using bank bill rates, bank bill futures prices and swap rates
  • interpolating discount factors.

ABOUT THE SPEAKER

Alex Palfi, Principal, Tykoh Group Pty Ltd

Alex Palfi is a Principal of Tykoh Group Pty Ltd – an Australian based training provider specialising in tailored one and two day workshops on technical finance and business topics.  Prior to setting up Tykoh Alex was a Division Director at Macquarie Group in Sydney. In that role he developed a range of finance workshops and presented those in Australia and at other international locations. Those workshops focused on financial modelling, valuation, derivatives, credit risk and Visual Basic programming.



Testimonials

Precise, well mapped out and in a logical order to follow.

How to derive the zero rate was particularly valuable to me.

This workshop has added to my technical understanding of concepts.

Excellent explanation of concepts and use of practical examples.