FIXED INCOME SECURITIES - PRICING, HEDGING & STRATEGIES

COURSE DESCRIPTION

This program will give the participant thorough understanding of the fixed income securities used in the market. Bond market and pricing is explained in detail using spreadsheet modeling. Concept of swap valuation is also explained comprehensively. This is a one stop course for fixed income market and securities.


CERTIFICATION AWARDED

On successful completion of the program, you would be awarded the professional certification in FIXED INCOME SECURITIES - PRICING, HEDGING & STRATEGIES” by Moody’s Analytics and EduEdgePro.


COURSE COLLATERALS AND HIGHLIGHTS

  • Pricing Models for Fixed Income Securities in Excel-VBA
  • Comprehensive coverage on various credit derivatives
  • Exhaustive reading material covering detailed sections outlined below
  • Pre-requisite material on mathematics for Finance


COURSE OBJECTIVES

 Fast Facts

 Certified by :
 Moody’s Analytics and EduEdgePro

 Broad Coverage:
  • Bonds and Money-Market and their Instruments
  • Fixed Income Products & Features
  • Bond Pricing, Bond Yield, Spot Rates and The Yield Curve
  • Duration and Convexity
  • Term Structure of Interest Rates & Modeling
  • Interest Rate Modeling
  • Inflation indexed bonds
  • Swaps & Valuations
  • Hedging Interest Rate risk
  • Hedging through fixed income

Mode of Delivery

Price

Duration
Offline Training
(Classroom)

Rs. 40,000 plus
taxes

50 Hours


E-Learning


Rs. 9,500 plus
taxes

30 Hours


Customized In-house
Group Training
Contact us


Customized


  • Understand and implement pricing of various fixed income securities and identify hedging strategy for the same
  • Understand the Forward Rate Agreement & Swaps and their application in management of interest rate risk
  • Build deep understanding of Bond Market
  • Calibrate the model using market data


WHO SHOULD ATTEND

This course is aimed at those who wish to explore the more advanced aspects of Fixed Income Securities to build a career in the below areas:

  • Global financial services industry (as a provider, user, regulator or advisor of product/services, marketplace/exchange) would benefit from innovative solutions
  • Financial Institutions
  • Commercial Banks
  • Investment Banks
  • Financial Controllers
  • Accountants and Auditors


DETAILED CURRICULUM

Section 1 - Bonds and Money-Market and their Instruments

This section introduces the bond market and money market to the participant. Structures of various fixed income products like forward rate agreements, interest rate swaps, coupon only swaps etc. are explained in detail.

Bonds and Money-Market and their Instrume

  • Characteristics of fixed income markets
  • Characteristics of Bonds
  • The Role of the Central Bank
  • T-Bills
  • Certificates of Deposit
  • Bankers’ Acceptances
  • Commercial Papers
  • Interbank Deposits
  • Repo and Reverse Repo Market Instruments

Fixed Income Products & Features

  • Forward Rate Agreements (FRAs)
  • Interest Rate Swap (IRS)
  • Currency Swaps
  • Cross Currency Swaps (CCS)
  • Coupon Only Swap(COS)
  • Interest Rate Caps/Floors
  • Swaptions
  • Interest Rate Spreads
  • Interest Rate Collars
  • Exotic Interest Rate Structures

Section 2 - Bond Market

This section is designed to introduce bond market. The participants will understand yield, yield curve, bond pricing. The course comprehensively explains concept of Macaulay duration, modified duration and convexity.

Categorization of Bonds

  • Categorization by Issuer
  • Categorization by Coupon and Maturity

Characteristics of Bonds and Interest Rates

  • Present Value, Price and Yield
  • Relationship between Price and Yield
  • Yield Curves
  • Behaviour of Market Interest Rates
  • Characteristics of Spot and Forward Term Structures

Bond Prices and Yields

  • Introduction to Bond Pricing
  • Present Value Formula
  • Time-Value of Money
  • The Mathematics of Discounting
  • Nominal versus Real Interest Rates
  • Time Basis and Compounding
  • Frequency Conventions
  • Continuous Compounding

The Yield Curve, Bond Yield, and Spot Rates

  • Practical Uses of Redemption Yield and Duration
  • The Concept of Yield
  • Yield Comparisons in the Market
  • Measuring a Bond’s True Return
  • Implied Spot Rates and Market Zero-Coupon Yields
  • Spot Yields and Coupon-Bond Prices
  • Implied Spot Yields and Zero-Coupon Bond Yields
  • Determining Strip Values
  • Strips Market Anomalies
  • Strips Trading Strategy

Duration and Convexity

  • Macaulay Duration
  • Modified Duration
  • Convexity
  • Duration–Convexity Approximations to Bond Price Change

Section 3 - Advance concepts of Bond Market

This section is a buildup on the previous section. It focuses on term structure of interest rates, PV01 hedge etc. Modeling of term structure of interest rate is also covered. Interest rate modeling is explained using Short-Rate Processes, Ito’s Lemma, One-Factor Term-Structure Models, Two-Factor Interest Rate Model.

Term Structure of Interest Rates

  • Definition and Properties of the Term Structure
  • Bootstrapping spot rates and forward rates
  • The Pure Expectations Theory
  • The Pure Risk Premium Theory
  • The Market Segmentation Theory
  • The Biased Expectations Theory

Present Value of Basis Point

  • PV01 and Value Duration
  • Approximations to PV01
  • Understanding Interest Rate Risk

Modeling The Term Structure Of Interest Rates

  • Modeling the Yield Curve Dynamics
  • The Binomial Interest-Rate Tree Methodology
  • Continuous-Time Models
  • Arbitrage Models

Interest Rate Modeling

  • Basic Concepts
  • Short-Rate Processes
  • Ito’s Lemma
  • One-Factor Term-Structure Models
  • Two-Factor Interest Rate Model
  • Vasicek Model
  • Hull-White Model
  • Cox-Ingersoll-Ross (CIR) Model
  • Brennan-Schwartz Model
  • Extended Cox-Ingersoll-Ross Model
  • Heath-Jarrow-Morton (HJM) Model
  • The Multifactor HJM Model

Inflation-Indexed Bonds

  • Basic Concepts
  • Choice of Index
  • Indexation Lag
  • Coupon Frequency
  • Type of Indexation
  • Index-Linked Bond Cash Flows and Yields
  • TIPS Cash Flow Calculations
  • TIPS Price and Yield Calculations
  • Assessing Yields on Index-Linked Bonds
  • Which to Hold: Indexed or Conventional Bonds?
  • Analysis of Real Interest Rates
  • Indexation Lags and Inflation Expectations
  • An Inflation Term Structure

Convertible Bonds

  • Characteristics of Convertible Bonds
  • Pricing Models for Convertible Bonds

Section 4 - Swaps

This section is aimed at explaining the concept of swaps. Concepts of The Key Principles of an Interest Rate Swap Generic Swap Valuation, Zero-Coupon Swap Valuation, Calculating the Forward Rate from Spot-Rate Discount Factors are some of the many concepts covered.

Swaps

  • Interest Rate Swaps
  • Market Terminology
  • Swap Spreads and the Swap Yield Curve
  • Generic Swap Valuation
  • Intuitive Swap Valuation
  • Zero-Coupon Swap Valuation Calculating the Forward Rate from Spot-Rate Discount Factors
  • The Key Principles of an Interest Rate Swap
  • Valuation Using the Final Maturity Discount Factor
  • Non–Plain Vanilla Interest Rate Swaps
  • Swaptions
  • Valuation
  • Interest Rate Swap Applications
  • Corporate and Investor Applications
  • Hedging Bond Instruments Using Interest Rate Swaps

Forward Rate Agreements and Interest Rate Swaps

  • Forward Rate Agreements
  • Interest Rate Swaps
  • Cash Flows on Vanilla Swaps
  • Cross-Currency Swaps

Section 5 - Hedging

The objective of the section is to explain hedging using fixed income. Hedging Framework is introduced the participant. Also Hedging INR Floating-rate Liability and Hedging USD Floating-rate Liability is explained. Hedging Interest Rate Risk through caps and floors is covered as well.

Hedging through Fixed Income

  • Hedging Bond Instruments Using Interest Rate Swaps
  • Hedging INR Floating-rate Liability
  • Hedging USD Floating-rate Liability
  • Managing Rates and Currency Risk
  • Hedging through Cross Asset products

Hedging Interest Rate Risk

  • Caps
  • Floors

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