Money Markets: daily practice

Yield curve, cash products, and short-term derivatives

Course objectives

  • Understand short-term interest-rate calculations

  • Be able to link the parameters of cash and derivative instruments

  • Understand the strategies implemented by money-market dealers

Cash markets

  • Deposits
  • Short-term money-market instruments
    • CDs, CPs
    • ABCPs
  • Repo's
  • Asset-Swaps
  • Pricing of the instruments

Short-term Interest Rate Derivatives

  • Principles, rationale for use and pricing
  • FRAs
  • Futures
  • IRSs
  • OIS Swaps
  • Other swaps

Money-Market benchmarks and conventions

  • Short-term yield curve
  • Calculations and market practice
  • Interest rate conventions

Fundamentals of Central Bank monetary policy

  • Objectives
  • Tools, open market interventions

Understanding arbitrage relationships amongst various short-term instruments

How to integrate cash and derivative instruments

Case Study: Calculations for deposits, foreign exchange swaps, FRAs, spot and forward OIS swaps, equivalent interest rates

Emmanuel Schatz

Emmanuel Schatz

Emmanuel has worked for over 20 years on the financial market. He has worked as a trader on interest and exchange rates. Since 10 years he is manager of rates at Natixis AM. Emmanuel shares his mastery of a wide range of products and markets in which he has intervened both as a trader and a manager.

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