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Description

Interest Rate Derivatives: Building Curves, Valuing and Hedging a Book

Value swaps, caps and swaptions from curves built on consistent market foundations

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

An interest rate book cannot be managed with a single curve. Discounting and projection curves have separated, collateral changes the discounting basis and market conventions vary from one instrument to another. Valuation differences between the front office and the control functions then become difficult to justify to the risk management function.

A short expert-level programme dedicated to interest rate derivatives. You build the curves from market instruments. You value swaps, caps, floors and swaptions. You measure basis point sensitivities and design a hedge that is consistent with the risk actually carried.

Learning objectives

  • Build a discounting curve and a projection curve
  • Value an interest rate swap and its main variants
  • Assess caps, floors and swaptions according to the volatility input retained
  • Measure basis point sensitivities across a book
  • Structure a hedge aligned with the risk profile of the portfolio

What makes this programme different

Curves are built step by step from genuine market data
Each instrument is valued and then recalculated after a market shock
Differences between front office and control functions are analysed on a documented case

Programme

1Curve construction

The foundation of every valuation

  • Select the calibration instruments
  • Separate the discounting curve from the projection curve
  • Handle the effect of collateral on discounting
  • Interpolate and then check the consistency of the resulting curve

2Linear and optional instruments

From the swap to the swaption

  • Value a standard interest rate swap and its variants
  • Handle schedules with non-standard cash flows
  • Assess caps and floors according to the volatility input retained
  • Approach the valuation of a swaption and of its underlying

3Book risk and hedging

Managing exposure day to day

  • Measure basis point sensitivities by maturity bucket
  • Break down risk by curve segment
  • Build a hedge using liquid instruments
  • Explain the profit and loss variation between two dates

Who is it for

Market practitioners, asset and liability managers, risk controllers and model validators working on interest rate products.

Prerequisites

Sound command of discounting, interest rate conventions and the valuation of linear instruments.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.