Manage a swaps portfolio

Master IRS, OIS and asset swaps trading

Course objectives

  • Understand the price mechanism and sensibility of IRS, OIS and asset swaps
  • Master hedging techniques for these products
  • Understand the work of the trader in the daily management of book IRS, OIS and asset swaps


  • Rates
  • Reference index
  • Conventions
  • FRA / Futures / Bond futures / Swaps rates

Introduction to Interest Rate Swaps trading

  • Yield curve: construction and interpretation
  • Liquidity: the key to managing a portfolio of swaps

Case Study: Pricing a Swap Roller-coaster forward

Ability to measure and manage risks

  • DV01 and risk bucketing

Case Study: Risks and sensitivities depending on the yield curve

  • Principal component analysis: principles and applications
  • Liquidity management and substitution hedging
  • Induced and calculated risks, spread and interest rate risk

Excel Case Study: Hedges of a 15-year swap with Bund futures

  • Strategies and pre-hedging problems
  • Reset risk: definition and hedging instruments

Credit dimension

  • Overnight Index Swaps
  • Euribor / Eonia Spread and implications for the curve construction
  • Forwards and discount curve
  • Tenor basis swaps
  • Managing the cash account

Asset swaps

  • Principle: a pricing more complex than it seems
  • Problem of financing rate of P-100
  • Par asset swaps
  • Proceeds asset swaps
  • Swap spread and Z-spread

Case Study: Pricing a par asset swap and a proceeds asset swaps

Structured swaps

  • Constant Maturity Swaps
  • Libor in arrears
  • Average Libor swaps
  • Inflation swaps: principles and applications

Patrice Robin

Patrice Robin

Patrice is an independent consultant on derivatives. Previously, Patrice spent 10 years in trading on interest rate derivatives, then structured products, swaps and vanilla options and became head of interest rate and inflation options in Santander Global Markets in London.

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