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Derivatives - Focus on Swaps

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Start date: 5/5/2021
Start time: 12:00 PM AEST
Duration: 60 minutes

Valuation of interest rate derivatives has grown in complexity since the swap market inception in the 1980s. In particular the GFC accelerated these advancements, most notably:

  • Multiple Estimation Curves, one for each index tenor
  • Discounting on OIS curves

The next landmark will surely be the end of LIBOR in Q4 2021, and the development of Risk Free Rate (RFR) derivative markets. Add on top of this Credit/Debit Valuation Adjustment (CVA/DVA) and it is not trivial exercise to value IRD in 2021 and beyond.

In this seminar we will illustrate with practical examples the concepts of best practice valuation both today and into the future.


Bryan Baker

Workflow Specialist

Bloomberg L.P.

Nick Burrough

Fixed Income Market Specialist

Bloomberg L.P.

Nick has spent 27 years in financial market, including 21 years as a market maker and structurer across G10 Interest Rate Derivatives in London, Toronto & Sydney. As a market maker, he traded Interest Rate Swaps, Interest Options and Inflation products, and over saw many changes in Front Office trading and valuation methodologies. Following a short period of Trading System consultancy, Nick joined Bloomberg’s Sydney office 5 years ago as the Australia & New Zealand Fixed Income Market Specialist.

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