Advanced Futures & Forwards

Advanced Futures & Forwards Course Overview

This Advanced Futures & Forwards course teaches the importance of basis, hedging, and trading with futures and forwards. You will learn about the factors influencing basis, as well as various components of bond futures including cheapest-to-deliver (CTD) bonds, repos vs. reverse repos, and how to calculate implied repo rates. You will also learn how to hedge CTD and non-CTD bonds, and how to adjust duration using futures. After completing this course, you will have a better understanding of LIBOR alternatives (ESTR, SOFR, SONIA, etc.), exchange delivery settlement price (EDSP), and spread (basis) trading with futures.     Modules explored:

• Futures & Forwards Pricing – Review
• Understanding Basis
• Bond Futures – Basis Risk
• Futures Hedge – Basis Risk
• Refining the Hedge
• Spread (Basis) Trading With Futures

 

Advanced Futures & Forwards Learning Objectives

Upon completing this course, you will be able to:

• Explain basis and factors which influence it
• Identify basis risk within futures and bonds
• Calculate implied repo rates
• Determine how to hedge CTD and non-CTD bonds
• Interpret LIBOR alternatives (ESTR, SOFR, SONIA, etc.)

       

Who Should Take This Course?

This Advanced Futures & Forwards course is ideal for any student or professional interested in gaining a better understanding of the futures and forwards markets. Whether you are interested in derivatives or not, this course provides the key learning objectives required to become familiar with these complex tools.