This three-part module examines the construction and risk analysis of structured floating rate notes – also known as “structured FRNs”, from some very simple versions involving the embedding of a single cap or floor, to more sophisticated instruments whose payoff is based on some index remaining inside a pre-determined range.
This module is restricted to what we call, throughout this e-learning library, “first generation” structured instruments, an expression we use to refer to structured instruments that can be engineered with some static combination of securities and derivatives from day one, without further need for re-hedging during their life. Many of the more advanced structured products that we will analyze in later modules do not meet this criterion.
target audience:DX1 Traders, risk managers, sales force, financial control and audit
prerequisite required:
– Yield Curve Analysis
– Bond Fundamentals
– Interest Rate Forward & Swaps
– Interest Rate Options
prerequisite recommended:
– None
Please click below pictures to explore the chapters:
