Building Swap Analyses: A Practical Workbook for OTC Derivatives

Understanding swaps conceptually is useful; being able to value them, stress-test them, and document them correctly is what the job actually demands. This workbook course closes the gap between theory and practice by walking through the computations and documentation exercises most relevant to practitioners. By the end of this course you will be able to construct a basic interest rate swap cash flow schedule, estimate the par swap rate using a simplified yield curve, calculate the mark-to-market value of an existing swap, and review a term sheet against a standard ISDA checklist. What you will learn: - Deriving discount factors and forward rates from a bootstrapped yield curve - Building a fixed-for-floating swap cash flow table and computing the net settlement payment - Valuing an existing interest rate swap using present value of expected future cash flows - Constructing a simplified CDS pricing framework using default probability and recovery rate - Reviewing a currency swap term sheet and identifying key economic and legal terms - Applying an ISDA documentation checklist to spot missing or ambiguous clauses - Mapping collateral and variation margin flows under a Credit Support Annex - Stress-testing a swap portfolio under parallel yield curve shifts and credit spread widening Every module pairs a short explanatory reading with a fully worked example and a blank template for your own practice. The worked examples use realistic but simplified numbers so the arithmetic stays manageable without losing economic intuition. Checklists for term sheet review and documentation are formatted for direct use in a professional workflow. This course is designed for finance professionals, analysts, and graduate students who want practical fluency with OTC instruments. A basic understanding of time value of money and bond pricing is assumed. This content is purely educational and informational; it does not constitute financial, accounting, or legal advice.