Swaps and Fixed Income Derivatives
Valuation and trading of swaps, mortgages and credit tranches.
Coming soon
Starts in:
  • – – Days
  • – – Hours
  • – – Min
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Course category:
2 days
8 hours/day
Class size:
20 students
A short course created to demystify fixed income derivatives and their risks.

In this two-day training course we will go in-depth into some of the more complex financial derivatives. We’ll explore interest rate swaps in great detail and discuss different valuation methods, including a dual-curve approach. We will then cover hot topics of the 2008 Financial Crisis, such as Credit Default Swaps, mortgages and the process of securitization.

This advanced course is aimed at those who have some understanding of bond markets and its key concepts. A basic level of derivatives knowledge is also recommended, although not required.

What will you learn?
By the end of the course, you will:
  1. Gain a solid understanding of interest rate swaps, credit default swaps and other fixed income derivative products.
  2. Learn about hedging interest rate swaps with futures and how it gives rise to a convexity adjustment.
  3. Explore the details of CDO tranches and how they are used in correlation trading.
  4. Understand the complexities behind applying a dual-curve approve to pricing interest rate swaps.
  5. Be able to explain the role of the clearing house in trading interest rate derivatives.
  6. Become familiar with recent standardization of the Credit Default Swap market.
  7. Appreciate how mortgages can be pooled together to create a diversified investment product.
  8. Find out how swaps can be used to trade different parts of the interest rate curve.
  9. Explore how Credit Default Swap indices are used to insure a portfolio of issuers.
  10. Become confident when dealing with fixed income derivatives.
And much more!
Who is the course for?
  • Private traders and investors, looking to learn about fixed income derivatives markets.
  • Professionals within the financial industry or those providing services to the financial sector.
  • Professionals performing financial functions in non-financial industries, such as corporate treasury, accounting, and investor relations.
  • Students, preparing for an upcoming internship or starting their careers in finance.
  • Anyone working in or looking to understand how fixed income derivatives work.
Who is teaching the course?

Sergei Perfiliev

  • Active trader specializing in Equity Derivatives and Volatility trading.
  • Former Goldman Sachs Quantitative Analyst.
  • Working in finance since 2008.
  • Professional career includes Nomura, Bloomberg and Goldman Sachs.
  • Cross asset-class experience covering Equities, Fixed Income, FX and Commodities.
  • Teaching financial courses since 2013.
  • Holds Masters of Engineering from Imperial College London.
  • Holds Masters of Science in Mathematical Finance from University of Oxford.
Course Content:
Day 1
  1. Treasury and Bond Futures:
    • Quotation conventions.
    • Deliverable bond.
    • Conversion factors.
    • Cheapest to deliver bond.
  2. Eurodollar Futures:
    • Short Term Interest Rates (STIR).
    • Mechanics of Eurodollar futures.
    • Pricing interest rate futures.
    • Hedging IRS with futures.
    • Forward Rate Agreement (FRAs).
    • Convexity adjustment.
  3. Interest Rate Swaps (IRS):
    • Comparative advantage theory.
    • Swap pricing and valuation.
    • Cross-currency swaps.
    • Rate-quoted and fee-quoted swaps.
    • Spread and fly trades.
    • Role of the clearinghouse.
    • Managing a portfolio of IRS.
Day 2
  1. OIS, Libor and Dual-Curve Pricing:
    • Counterparty risk and collateralization.
    • How much collateral is enough?
    • LIBOR-OIS spread.
    • Dual-curve approach.
  2. Interest Rate Options:
    • Interest rate caps and floors.
    • Payer and receiver swaptions.
    • Exercising a swaption.
    • Cancellable and extendable swaps.
  3. Credit default swaps (CDS):
    • Mechanics of a CDS contract.
    • Credit events.
    • Protection buyers and sellers.
    • Credit curve.
    • Standardized premiums.
    • Credit indices and Portfolio CDS.
  4. Mortgages and Securitization:
    • Process of securitization.
    • Senior, mezzanine and equity tranches.
    • CDOs and correlation trading.
    • Mortgage-backed securities (MBS).
    • Agency issuers.
What’s the format?
Dynamic in-class lectures.
Practical assignments and exercises.
Interactive demos and examples.
Challenging quizzes and tests.
Next available dates and pricing:
Swaps and Fixed Income Derivatives
  • Course category:
  • Location:
  • Duration:
    2 days
  • Class size:
    20 students
Date to be confirmed
Coming soon
What will you get upon completion?
  • Formal completion certificate.
  • Course notes and materials.
  • Follow-up support – ability to ask questions and seek further clarification, if needed.
  • 20% OFF any future courses you wish to attend.
What our training participants say?
Machine Learning Engineer
“Sergei’s lucid explanations helped me get a deeper grasp of the concepts I was grappling with, whilst giving me a new perspective on the material. I credit him with getting me up to speed when I needed it most.”
Financial Software Developer
"An excellent presenter and an enjoyable course, complex material presented in an approachable fashion."
Financial Software Engineer
“Sergei taught me statistics in the context of equity asset prices and he managed to help me finally connect the maths to the real life applications of it. He's very practical and effective in helping you understand hard concepts.”
Data Analyst
“Amazing training! Sergei does a great job at explaining the concepts using simple analogies which makes the complex world of finance very clear.”
Financial Sales
“As part of a financial training program, Sergei equipped me with the knowledge that I am still benefiting from seven years later. He has an ability to deliver complex subject material in a digestible way.”
Investment Professional
“Sergei is one of the best instructors I have ever met. He understands people learn in different ways and can adjust his teaching style. I would highly recommend him, especially when you are trying to learn something complicated or you want to learn something quickly.”
Head of Pricing
“Sergei has a dynamic approach to teaching and his ability to breakdown complex commercial concepts makes learning easy and memorable. I still remember his enthusiasm after 7 years and always happy to learn from him.”
Software Engineer
“I attended Sergei's derivatives training a few years ago. Sergei clearly explained what they are, the motivation behind them and how they're traded in concrete terms. After the training I had a solid understandings on the topic and I would recommend Sergei's training.”
Account Executive
“Sergei held one of the best training sessions on equity derivatives at the onset of my career in finance. He was able to put together a fully comprehensive and detailed yet digestible programme. His strength is delivering complex concepts in a simplified and engaging manner.”
Financial Sales
“Sergei is a very good teacher, and is able to explain clearly complex concepts. I felt his course was time well spent.”
Accounts Manager
“Sergei led various financial trainings and I really enjoyed his teaching style and dedication to his students. He always made sure students were engaged and understood the topic before moving on. I would recommend Sergei for his professionalism and deep knowledge.”
Quantitative Developer
“Sergei's sessions were great! He always made them engaging and fun.”
Frequently Asked Questions:
Are there any arrangements regarding COVID-19? Will the training go ahead as planned?

At the moment, we are planning for all of our training courses starting with September 2020 to go ahead in a physical location in Central London.

In case if circumstances change and we won’t be able to deliver the course in a classroom setting, we will deliver it virtually online via Zoom.

If this happens, we will get in touch and ask if you would like to go-ahead and attend the course virtually or if you prefer to cancel for a full refund.

What payment methods do you accept?

We accept all major credit and debit cards, and PayPal.

How can I get a 20% discount for my next training course?

You will receive this by email after completion of any of our classes.

What if I need to cancel my booking?

You can cancel your booking and receive a full refund up to one month in advance of the course start date.

If you made a booking for a seminar that starts in less than one month, you can cancel for a full refund within the 14 days of making the booking.

In case if we are unable to deliver a course in a physical classroom and had to move it online due to COVID-19, you can also cancel and request a full refund if you don’t want to attend the course virtually.

Are there any pre-requisites in order to attend this course?

This advanced course is aimed at those who have some understanding of bond markets and its key concepts. A basic level of derivatives knowledge is also recommended, although not required.

Want to run this training in-house?

Get in touch!

All our training courses can be tailored to your company needs and requirements.

Feel free to call us on +44 207 459 4445 or email info@perfiliev.co.uk and we’d be happy to help.

Learn more