Join Mailing List

For latest news and information about Treasury and Financial Markets, enter your details below:

Short courses>Interest rate options

Print Preview Send to a Friend Share

Interest rate options - 2.5 hours

A foundation course that explains the over-the-counter interest rate option market. This includes the main products, how they work and how they are used.

It is suitable for those working in or around financial markets who need to know more.

There are simple examples with time for questions and answers.

This course is only available in-house and is suitable for up to 12 people.

This is what is covered:

  • Option terminology
  • Underlying, expiry, premium, exercise and strike
  • The four basic option trades
  • Payoff profiles
  • Forward interest rates
  • Caplets and floorlets – options on forward rates
  • How caps work
  • How floors work
  • How these options can be used to hedge borrowing costs
  • How these options can be used to hedge asset returns
  • Buying one option to pay for another – collars
  • Caps embedded in bonds
  • Payer’s swaptions – how they work
  • Receiver’s swaptions – how they work
  • Using swaptions – hedging examples
  • Option risks in bank balance sheets

Enquire or book this course

Related Documents

Free to ViewForeign Exchange Options 100% relevant


Free to ViewShort courses>Foreign exchange options 75% relevant


Registration RequiredMarket Guides > Gap reports - how do you use them? 50% relevant

14th October 2009

Gap reports show you the interest rate risk you are running in your balance sheet. They put the assets and liabilities into time buckets in accordance with their interest rate repricing. From this simple approach you can obtain a table or graph of the risk being run. This normally includes a profit and loss figure that results from moving the yield curve. Gap limits are also applied in order to keep the interest rate exposure within risk tolerence. Gap reports aren't new; they are widely used and have both strengths and weaknesses. Let's find out more.


Free to ViewTraining Courses > Interest Rate & Currency Swaps 50% relevant


Registration RequiredInterest Rate Swaps 50% relevant


Free to ViewShort courses>Interest rate swaps 50% relevant