Derivative instruments - Step by step - Module 3 - Swaps

Formation inter-entreprise

À qui s'adresse la formation?

Anyone who wants to reach a sound understanding of the financial instruments (including derivative) used by investment managers.

Niveau atteint



2,00 heure(s)

Langues(s) de prestation


Prochaine session


Whoever watched "The wolf of Wall Street" has struggled to understand the jobs, products, jargon that surround the financial markets. Some of us are still trying to get their way out of this financial jungle and clarify the associated strategies. Demystifying financial instruments is the key objective of the step by step programme we propose below.

This training curriculum is designed around 5 complementary building blocks:

Derivative instruments – Step by step - Module 1 - The essentials
Derivative instruments – Step by step - Module 2 - Forwards and futures
Derivative instruments – Step by step - Module 3 - Swaps
Derivative instruments – Step by step - Module 4 - Options
Derivative instruments – Step by step - Module 5 - Credit derivatives

Our modular approach allows each participant to select his/her entry point in the programme to best fit cumulated knowledge and experience on this wide topic.


By the end of this course, participants will be able to:

  • define the general characteristics of each instrument
  • gain in-depth understanding of how the instrument operates
  • list how it can best be used on the market – be it in single or in combination with other instruments
  • understand the valuation method and what can impact the value of it
  • identify major risks associated and determine controls that may mitigate them


  • The fundamentals of an IRS swap contract: asset or liability swap, main contract features
  • Main swap uses; unwinding of a swap; swap risks
  • The swap market and yield curve
  • The case of a CRS
  • Swaps variants: CMS swaps, 0-coupon swap
  • Other types of swaps: volatility or variance swaps, inflation swaps, commodity swaps, performance swaps, dividend swaps

The content of the session is illustrated by real, market examples. It is given in an attractive, understandable way, avoiding mathematical developments

Informations supplémentaires

This training will be coordinated by Frédéric Botteman, Partner at PwC Luxembourg. The different modules will be animated by experts in derivatives.
Frédéric, Audit Partner, is specialised in the valuation of derivatives and illiquid securities. Thanks to this, he has gained a high expertise in the audit of guaranteed funds.
Frédéric has developed a strong fund audit experience and is member of the experts' team in the area of circular CSSF 2002/77 requirements: He is instructor in several courses linked to this topic and to derivative instruments.
Frédéric is also leading several SRI reporting for major IM players.

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