Thiruspace.com : StructuredNotes
Broad Topics / Strategies that we cover here
Following Structured securities will be our primary focus in Course One of the curriculum.
As detailed in the "Study Approach" page, the focus of this course would be to familiarize the student with the underlying Business/Analytic logic behind each of the following structures.
Model building exercises will be hands on. Most of the code-based Instruction would be based on VB platform (C# based models would be considered for BGM implementation).
1. Callable Range Accrual Notes (CRAN).
2. Cliquet and Ratchet based structures.
3. Target Redemption Notes (TARN).
4. Volatility Bond.
5. CMS based Structures (CMS Spread option etc.)
6. Step-up Callables (We will consider several nuances in this popular structure).
7. Snowball and Skyline Trades
8. Libor Participating Swap (and the reasons for its lack of appetite).
9. Prelim Review of Credit, Commodity and Equity linked structures (Course Two curriculum)
10. Regulatory, Operational and Product Control aspects for items 1 to 8 above