Illustrative course outlines

At OTC we believe in tailoring our courses to meet each client’s specific requirements.  The illustrative course outline below gives an indication of the type of course content that we’ve been asked to deliver. For more information call us on +44 20 7700 3330 or email

Strategy & Leadership Finance & Commerce Investment Banking

Fixed income derivatives

What is covered?

A review of the key types of fixed income derivatives, including futures, swaps and options.  The course explores government bond futures, interest rate swaps, options, swaptions and inflation swaps.

Who will benefit?

Participants with limited knowledge of fixed income derivatives looking to explore this section of the markets in more depth.

Course content

Derivative recap
Government bond futures
    • Cheapest to deliver
    • Implied repo rate
Interest rate swaps
    • Vanilla swaps
    • Accreting, amortising and roller coaster swaps
    • Forward start swaps
Swap pricing
    • Simple methods – bond method
    • Forward rate method
    • Calls and puts
    • European, American and Bermudan
    • Time value and intrinsic value
Option Greeks
    • Delta, Gamma, Theta, Vega and Rho
    • Applications
Inflation swaps
    • Applications


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