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The course is designed for delegates who seek in-depth understanding of bond markets and a detailed understanding of fixed income risk, return and valuation methodologies. The course covers an overview of fixed income markets, valuation methodologies for valuing various types of bonds, return and risk calculations, multiple spread measures, yield curves and analyzing the relative attractiveness of bonds relative to other bonds.
The course is designed for delegates who seek in-depth understanding of bond markets and a detailed understanding of fixed income risk, return and valuation methodologies. The course covers an overview of fixed income markets, valuation methodologies for valuing various types of bonds, return and risk calculations, multiple spread measures, yield curves and analyzing the relative attractiveness of bonds relative to other bonds.
Financing
Not Exist
Fixed Income Analysts
Asset management
Treasury
Insurance Professionals
Fixed Income Analysts
Asset management
Treasury
Insurance Professionals
This provides you with the opportunity to select the available times that suit you best for participation in our program. These times represent slots during which we are ready to welcome you and provide assistance and guidance.
Self Learning
Basic features of fixed income securities
Indenture and its provisions
Effect of legal, regulatory and tax considerations in issuance and trading of bonds
Cashflows for a fixed income security
Classifications of global fixed income markets
Primary and secondary markets for bonds
Types of bonds issued by sovereigns, non-sovereigns, government agencies, supra-nationals and corporates
Case study: analyzing features of live bond issues in the market
Valuation process for fixed income security
Valuing a bond with different coupon frequencies given market discount rate and spot rates
Calculating accrued interest, flat and full price of a bond
Exercise: Valuing a recently issued option free bond
Understanding use of matrix pricing to value bonds that are unlisted or infrequently traded
Yield measures for fixed coupon bonds, floating rate bonds and money market securities
Exercise: Calculating YTM on a live bond and analyze its change over time
Understand and interpret various types of yield curves
Calculate forward rates from spot rates
Exercise: Deriving forward from US Treasury Spot rate curve
Calculate and analyze yield spread measures – G spread, Z spread and OAS
Exercise: Analyze comparative attractiveness of comparable bonds using yield spread measures
Identify and calculate the sources of return for a fixed income security
Calculate the actual return generated on a bond and compare the same with yield at the time of purchase
Exercise: Calculate the realized return on a bond that is recently matured
calculate and interpret Macaulay and modified duration
Exercise: Calculating Macaulay and modified duration for 2 different bonds and comparing the risks inherent in each
Analyze how a bond’s coupon, yield and maturity affect a bond’s duration
Calculate money duration and PVBP
Calculate portfolio duration and understand the limitation of duration measure
Exercise: Calculating portfolio duration and using it to estimate risk of interest rate changes
Concept of key rate duration and its use in non-parallel shifts
Exercise: Using key rate duration to estimate change in value of bond/portfolio when yield change is not parallel
Understand the concept of convexity and calculate convexity for option free bonds
Use of convexity adjustment to improve the duration estimate
Exercise: Calculating duration and convexity and using them to estimate the impact on yield change on a bond
Meaning of arbitrage valuation framework
Calculating an arbitrage free valuation of a bond
Understanding the binomial tree framework
Understanding the backward induction methodology to value a bond
Exercise: Valuing a live option free bond using the backward induction methodology
Process of calibrating a binomial tree
Understand the path-wise approach to valuation
Exercise: Valuing a live option free bond using path-wise valuation
Establish relationship between option free bonds and bonds with options
Using backward induction methodology to value bonds with options
Exercise: Valuing a callable and puttable bond using binomial tree
Impact of interest rate volatility on value of callable and puttable bonds
Change in shape and level of yield curves and their affect on value of callable and puttable bonds
Concept and calculation of option adjusted spreads (OAS
Exercise: Calculating OAS for a callable bond and analyzing its attractiveness relative to an option free bond
Effective duration and convexity for bonds with options
Exercise: calculating effective duration and convexity and analyses interest rate risk using the same
Concept of one-sided duration
Calculating the value floating rate bond with caps and floors
Exercise: calculating value of floating rate bond which has both caps and floors
.Understanding the structure of bond markets
.Learning value option free bonds and bonds with options
Understanding and calculating various yield and yield spread measures
Learning to analyze the structure of yield curve and inferring information from them
Computing and analyzing return earned from the bonds for different investment horizon
Analyzing interest rate risk using measures of duration and convexity
Conducting relative analysis and choosing the right bond for the portfolio
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