Course 02 · Capital Markets Trading & Risk Academy

Interest Rate Derivatives

Build the curve. Hedge the risk. Explain the basis.

Short-term interest-rate futures; Treasury futures and delivery; FRAs; overnight-indexed and term-rate swaps; basis, forward-starting and customized swaps; caps and floors; futures options; European and Bermudan swaptions; rates volatility; hedge construction; and rates-specific market and model risk. A shared fictional Meridian Rates Desk inherits Meridian Sovereign Desk's opening bond exposures and builds a separate book that grows every module.

100 chapters · 10 modules · beginner to advanced · spreadsheet first, Python and SQL optional

Enrol or enquire See the 100 chapters
The continuous case

One book, carried through all ten modules

Exclusive subject matter: Short-term interest-rate futures; Treasury futures and delivery; FRAs; overnight-indexed and term-rate swaps; basis, forward-starting and customized swaps; caps and floors; futures options; European and Bermudan swaptions; rates volatility; hedge construction; and rates-specific market and model risk. A shared fictional Meridian Rates Desk inherits Meridian Sovereign Desk's opening bond exposures and builds a separate book that grows every module.

The firm, positions, prices and counterparties are fictional teaching inputs. They do not describe any real institution or transaction.

Curriculum

10 modules · 100 chapters

Each module closes with an artefact, and the ten artefacts accumulate into the final pack the learner defends. Chapters build in order rather than standing alone.

M1 From cash bonds to rate derivatives Ch 1-10
  1. The Hedge the Bond Book Cannot Explain
  2. Forward Rates as Tradable Commitments
  3. Pay Fixed, Receive Fixed, Long, and Short
  4. Contract Dates, Calendars, and Day Counts
  5. Overnight Benchmarks and Term References
  6. Listed Futures Versus Bilateral Swaps
  7. Notional, Settlement, and Economic Exposure
  8. The Rates Desk's Participants and Limits
  9. A First Rates Trade and Its Lifecycle
  10. Bridge Assessment: Does the Hedge Work?
M2 Listed rate futures and Treasury delivery Ch 11-20
  1. One-Month Overnight-Rate Futures
  2. Three-Month Compounded-Rate Futures
  3. Futures Daily Settlement and Margin Calls
  4. Futures Strips, Packs, and Forward Exposure
  5. Futures-Implied Forwards and Convexity
  6. Treasury Futures and Deliverable Baskets
  7. Conversion Factors and Invoice Price
  8. Cheapest to Deliver and Switch Risk
  9. Cash-Futures Basis and Implied Financing
  10. Futures Capstone: Rescue the Bond Hedge
M3 Forward agreements and interest-rate swaps Ch 21-30
  1. Forward Rate Agreements and Cash Settlement
  2. Fixed-Floating Swap Anatomy
  3. Overnight Indexed Swaps
  4. In-Arrears Fixings and Payment Timing
  5. Par Swap Rate from Leg Values
  6. Swap Mark-to-Market After Rates Move
  7. Swap PV01 and Hedge Direction
  8. Floating Reset, Coupon, and Termination Events
  9. Swap Spread to a Government Bond
  10. Swap Capstone: A Client Liability Hedge
M4 Multiple curves, calibration, and pricing control Ch 31-40
  1. Why Derivatives Need More Than One Curve
  2. Collateral Remuneration and Discounting Choice
  3. Bootstrapping an Overnight Swap Curve
  4. Forward Projection for a Term Reference
  5. Futures Inputs and Convexity Calibration
  6. Interpolation, Extrapolation, and Hedge Risk
  7. Cross-Curve Basis and Spread Quotes
  8. Pricing Reconciliation Against Market Quotes
  9. Curve Versioning and Historical Reproduction
  10. Curve Capstone: The False Swap Profit
M5 Rate options, swaptions, and volatility Ch 41-50
  1. Cap and Floor Payoffs
  2. Caplets, Floorlets, and Coupon Alignment
  3. Options on Rate Futures
  4. Payer and Receiver Swaptions
  5. Normal and Lognormal Rate Models
  6. Volatility Surfaces and Market Quotes
  7. Delta, Gamma, Vega, and Theta for Rate Options
  8. Bermudan Swaptions and Exercise Policy
  9. Option Smile, Model Risk, and Reserves
  10. Options Capstone: Protect a Rate-Sensitive Liability
M6 Advanced rates structures and embedded decisions Ch 51-60
  1. Same-Currency Basis Swaps
  2. Forward-Starting and Deferred Swaps
  3. Amortizing and Accreting Notionals
  4. Compounding and Averaging Structures
  5. Constant-Maturity Swap Exposure
  6. Range Accruals and Path-Dependent Coupons
  7. Callable Rates Structures and Bermudan Risk
  8. Cross-Currency Swap: Boundary and Interface
  9. Structured Deal Suitability and Model Challenge
  10. Advanced Structures Capstone: A Misleading Coupon
M7 Rates-desk trading and hedge decisions Ch 61-70
  1. Hedging Bond DV01 with Treasury Futures
  2. Hedging a Liability with a Swap
  3. Trading a Curve Steepener in Derivatives
  4. Swap Spreads and Balance-Sheet Frictions
  5. Futures Versus Swaps for the Same Hedge
  6. Risk Transfer Across the Rates Desk
  7. Trading Around Policy Announcements
  8. Relative Value Between Futures and Swaps
  9. Intraday Hedge Drift and Rebalancing
  10. Trading Capstone: The Wrong Hedge
M8 Derivatives risk, VaR, and stress Ch 71-80
  1. Delta and Key-Rate Risk Across Curves
  2. Gamma, Vega, and Volatility-Tenor Risk
  3. Risk of a Cheapest-to-Deliver Switch
  4. Rates-Book Historical VaR
  5. Parametric and Simulation-Based Risk
  6. Rates Stress Harness and Full Revaluation
  7. Liquidity, Margin, and Wrong-Way Timing
  8. Backtesting and P&L Attribution for Rates
  9. Model Validation, Reserves, and Limits
  10. Risk Capstone: The Hedge That Causes Cash Stress
M9 Lifecycle, controls, and finance interfaces Ch 81-90
  1. Confirmations and Contractual Terms
  2. Clearing, Variation Margin, and Initial Margin
  3. Bilateral Exposure and Credit Support Interface
  4. Fixings, Corrections, and Coupon Disputes
  5. Compression, Novation, and Early Termination
  6. Daily P&L Explain for the Rates Desk
  7. Hedge Accounting and Treasury Interface
  8. Market Conduct and Benchmark Integrity
  9. Reproducible Close and Audit Evidence
  10. Controls Capstone: Disputed Swap Valuation
M10 Integrated Meridian rates-desk defense Ch 91-100
  1. Define the Opening Rates Portfolio
  2. Construct a Testable Rates View
  3. Price Instruments on Governed Curves
  4. Execute and Capture the Portfolio Changes
  5. Run the Cash Bond and Derivatives Hedge
  6. Reconcile Daily Valuation and P&L
  7. Measure VaR, Stress, and Margin Cash
  8. Independent Risk and Model Challenge
  9. Rates Committee Pack and Decision
  10. Final Defense: Surprise Rate and Volatility Shock
How it is delivered

Three ways to take Interest Rate Derivatives

Self-paced is a document-and-media programme with lifetime access - no live sessions. Cohort and enterprise add live instructor-led training. Mentorship is not offered in any tier.
Feature Self-paced Cohort Enterprise
Format Written chapters, video explainers and podcasts Everything in self-paced, plus scheduled live sessions Everything in cohort, delivered privately to your team
Live sessions None Scheduled, instructor-led Scheduled, instructor-led, private
Mentorship Not offered Not offered Not offered
Access Lifetime Lifetime Lifetime for every enrolled seat
Pace Entirely your own Guided schedule with a peer group Agreed with your desk
Tailoring Fixed curriculum Fixed curriculum Sequenced to your markets, systems and governance
Best for Individuals learning around a job Individuals who want structure and deadlines Desks building the same capability together
For individuals

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The full chapter list, what each module covers, and how the tiers compare - sent to your inbox as a PDF.

For teams

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Private delivery for your desk, sequenced to your markets and systems. Tell us the team and we will scope it.

Run this for my desk

Take it on its own, or as part of the academy

Each course stands alone. Taken in order, the ten build one cross-asset trading and risk capability.

Enrol or enquire See the whole academy