DERIVATIVES Course Curriculum
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1 DERIVATIVES Course Curriculum
2 DERIVATIVES This course covers financial derivatives such as forward contracts, futures contracts, options, swaps and other recently created derivatives. It follows pragmatic approach and discusses both the derivative markets and the derivative products and their use. The emphasis of the course is on the successful execution of financial strategies using derivatives as product. It focuses on practical understanding of how the derivative markets function, how the derivative products are used and why they are used and how they are usually priced. Learning Objectives (LO) To enable candidates to have a detailed understanding of the main characteristics of financial derivatives and their relationships with the underlying assets; To be able to use of these instruments in a wide range of hedging, trading and arbitrage purposes; To understand how to control the risks of financial derivatives and derivatives portfolios. To demonstrate a knowledge of the regulatory framework for financial derivatives; To demonstrate a detailed understanding of the valuation principles and models for derivatives To be able to design alternative derivatives strategies that would be appropriate for different situations and describe the advantages and disadvantages of each; Papers and Syllabus The course for Derivatives shall be comprised of the following four modules
3 MODULE 1 1. Financial derivatives an introduction 1.1 Derivative markets Past and present Difference between exchange traded and OTC derivatives 1.2 Derivative instruments Concept and definition Purpose and criticism Basics about forwards, futures, options and swaps 1.3 Hedgers, arbitrageurs and speculators 2. Forward market and products 2.1 Structure and role of global forward market 2.2 Concept, characteristics and definition 2.3 Types of forward contracts Equity forward Currency forward Bond and interest rate forward Forward rate agreement 2.4 Valuation of forward 2.5 Generic valuation principles 2.6 Valuation of individual product 2.7 Hedging using forwards 2.8 Credit risk and forward contract 2.9 Practical Concepts in Forward Market on Currencies
4 2.9.1 What is forward premium in USDINR History of forward premiums in India What moves forward premium in India Impact of forward premium on exchange rates Interlinkage of forward premium with call money, money market and liquidity situation in country Do forward premium in USDINR indicate outlook on Interest Rate of country? Trading in forward premium Optimizing Hedging decision based outlook on forward premium Future outlook of forward premium with impending US Rate hike and lower inflation and Interest Rate in India Role of RBI in forward market Latest RBI activity in forward market Why does RBI act in forward market Does forward premium always reflect interest rate differentials? If not, why? Difference between forward premium in OTC and Exchange Traded futures and Arbitrage in USDINR Practical Concepts in Forward Rate Agreement (FRA) Liquidity in FRA market globally FRA contracts permitted by RBI Do Corporates in India and Globally use FRA s to hedge and why?
5 Quoting convention of FRA s Bloomberg / Reuters Screenshot of FRA Markets and their interpretation 3 Future Market and products 3.1 Structure and role of global future market including leading future exchanges 3.2 Concept, characteristics and definition 3.3 Trading mechanism and concept of margins (IM, MTM, MM) 3.4 Future vs. forward 3.5 Types of future contracts Stock future Index future Currency future Interest rate future Commodity future 3.6 Valuation of future Generic valuation principles-cost of carry model Valuation of individual future product 3.7 Basis risk 3.8 Daily settlement price and Final settlement price 3.9 Hedging 3.10 Arbitrage 3.11 Speculations 3.12 Practical Concepts in Futures Market How to detect probable trends in Futures Market using basis differential
6 Open Interest and volume data of futures market How to detect probable trends using change in Open Interest and volume in Futures market Currency arbitrage in currency market and identifying arbitrage using Reuters/ Bloomberg screen How Index futures have evolved in India: NIFTY and BANK NIFTY Index Funds and management of Index by Global Hedge Funds Variety of Index in Indian Equity market and how to judge direction of single stock based on movement in sectroal index Bloomberg / Thomson Reuters chart showing Index movements Practical concept of Contango and Backwardation in Commodities Market and why they arise Bloomberg / Thomson Reuters chart and explanation of Contango / Backwardation
7 MODULE 2 4. Option market and products 4.1 Structure and role of global option market including OTC and leading option exchanges 4.2 Concept, characteristics and definition 4.3 Option terminologies Call option Put option American and European option Option writer and buyer Option premium including intrinsic value and time value Strike price ITM, ATM and OTM Option payoff 4.4 Trading mechanism and concept of margins 4.5 Future vs option 4.6 Types of options Stock option Index option Currency option Commodity option Options on futures Interest rate options 4.7 Put -Call Parity
8 4.8 Valuations of options Factors affecting option valuation Binomial model (portfolio replicating and risk neutral approach) BSOPM 4.9 Upper and lower limit of option prices 4.10 Exercising an option vs closing out 4.10 Hedging 4.11 Arbitrage 4.12 Option Greeks (delta, gamma, theta, Vega, rho) 4.13 Delta hedging 4.14 Option strategies (spreads, straddles and strangles) 4.15 Practical Concepts and Example of Options Market Strategies adopted by Indian / Global Corporates to hedge exposures through Options and best practices Practical Examples of Range forward, Seagulls, Ratio forward, Forward extra, Participating forward, Spread Trades Calendar spreads and strike spreads Understanding of important components of Option pricing Delta : What is delta? Why option traders prefer to be delta neutral at inception? Why delta changes over
9 the life of Options? What does delta trading imply when you are long an option and when are short the option? Gamma: What is gamma How does Gamma impact delta of an option? Relationship of Gamma with strike, time to export Which Gamma position does option trader hate to have? Impact of event risk on gamma? Theta: What is theta? What is Theta bleed? How does option trader avoid Theta bleed even if he is long an option? Impact of Theta bleeds on your profit / loss? 5. Exotic option 5.1 Types of exotic option Bermuda option Forward start option Compound option Barrier option Chooser option Basket option Binary option Look back option Asian option
10 5.2 Hedging and pricing of exotic option 5.3 Practical Concepts and examples of Exotic Options Frequently executed Exotic Options by Hedge Funds Frequently executed Exotic Option by Corporates Use of compound Options and Forward start options in Mergers and Acquisitions Use of Basked Options by Hedge Funds and how they are superior to vanilla Options Why institutions do Binary / Digitial Options Combinations of Vanilla and Binary Options which are frequently executed by global corporate and funds Knockin Knockout Options Knockin Options European and American Knockout Options European and American Double knockin Options Double Knockout Options Third Generation Options Target Redemption Forward ( TARF) Vanilla TARF Pivot TARF European knockin TARF Digital TARF Exotic Structures Snowball Structure Wedding Cake structure Reverse Knockout Forwards
11 MODULE 3 6. Swaps 6.1 Structure and role of global option market including OTC and leading option exchanges 6.2 Concept, characteristics and definition 6.3 Types of swaps Interest rate swap (IRS) Currency swap Equity swap Other types of swaps 6.4 Valuation of swap 6.5 Swaption 6.6 Credit risk and swap 6.7 Strategies and applications of swaps 7. Credit Derivatives 7.1 The basic concept 7.2 Role and structure of credit derivatives 7.3 Types of credit derivative CDS (credit default swap) TRS (total return swap) CSO (credit spread option) CLN (Credit link notes) CDO (collateralized debt obligations) 7.4 Practical Concepts and examples CDS Quoting conventions in real market Viewing CDS curve in Reuters/Bloomberg
12 7.4.3 Understanding of change in CDS curve pre and post Global Financial crisis Deriving India s CDS curve Use of CDS curve to determine Risk Weighted Assets under Basel 3 framework by Banks Indian Regulations on CDS India s experience with CDS and why the market for CDS in India is yet to takeoff Concept and example of CLN Use of CLN to reduce balance sheet risk by Banks under Basel Practical examples of CLN and TRS Why CDO market was liquid pre Global Financial Crisis and what changed after that ITRAXX Indices for trading credit 8. Other Derivatives 8.1 Weather derivatives 8.2 Energy derivatives 8.3 Insurance derivatives
13 MODULE 4 9. Accounting of derivative instruments 10. Taxation of derivative instruments 11. Learning from derivative mishaps 12. Derivatives Risk Management 12.1 Market Risk 12.2 Credit Risk 12.3 Liquidity Risk 12.4 Operational Risk 12.5 Enterprise Risk 12.6 VAR 13. Regulatory framework for derivatives 14. Guidelines of RBI, FEDAI, FIMMDA and SEBI 15. International Swaps and Derivatives Association Master Agreement 15.1 Role played by ISDA agreement during Global Financial crisis 15.2 Importance of ISDA after global financial crisis 15.3 Concept of Credit Support Annex and Global Collateral 16. Formulating the Dynamic Risk Management Policy by Corporates: 16.1 Identification and quantification of Exposure 16.2 Measuring the FX and Interest Rate Risk
14 16.3 Innovative Strategies for Risk reduction : 16.4 Change in commercial contracts 16.5 Establishing Benchmark / Budgeted Rate and how to outperform them 16.6 Determining Hedge Ratio through Multi Factor Model and monthly evaluation Designing Hedge strategy 16.8 Establishing Controls in Company for managing risk 16.9 Case Study on Risk Management Policy
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