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Advanced Fixed Income Analysis

Fitch Learning
Course summary
2 days
1,395 GBP excl. VAT
Professional Training
Next available date: 09/11/2021 - Online courses
Course Dates
Online courses
1,395 GBP
09/11/2021

Online courses
1,395 GBP
02/12/2021

Course description

Advanced Fixed Income Analysis

This course will deepen delegates’ understanding of the more technical aspects of fixed income instruments and interest rate curves. The content will be covered using short tutor-led sessions enhanced by excel sessions and case study exercises.

Live Online Training

Since 2003, Fitch Learning’s industry experts have been delivering world-renowned virtual training programs to learners across the globe. Benefits include:

  • World-class video conferencing technology
  • Fully interactive, engage and network with peers using break out rooms, quizzes and polls
  • On-hand technical support team throughout
  • Attend from anywhere, across four time zones
  • Save time and costs on travel

Suitability - Who should attend?

Anyone who has a basic grasp of fixed income and wishes to up-grade their knowledge to a more technical level. This course is particularly suited to delegates working in, or with, risk departments, product control, fixed income sales, fixed income trading, product development and technology business analysts. This course uses Excel, but attendees by no means have to be Excel experts.

Outcome / Qualification etc.

Credits: 16 CPD pts.

Key Learning Outcomes:

  • Using Excel (no specialist Excel skills are necessary) gain a practical, intuitive understanding of how the fixed income rates market works;
  • Understand how each element of the market is connected to the others;
  • See how derivatives may be used to gain exposure to fixed income markets
  • Understand what interest rate risk is, its different measures, what drives it and why it’s important
  • Be able to construct fixed income trades which isolate a specific risk or idea
  • Use the knowledge of the rates markets to build an understanding of credit curves and credit trading strategies

Training Course Content

Day One

The Building Blocks for Advanced Fixed Income

An examination of all the different fixed income and interest rate instruments necessary for building an understanding of how the bond, swaps and rates market are connected.

  • Money markets refresher: cash markets, reference rates (Libor-type rates and overnight-index rates) and money market instruments.
  • Money markets derivatives: forward rate agreements, interest rate futures and, overnight-index swaps
  • Government bond markets
  • Government bond futures
  • Interest rate swaps
  • Credit markets – corporate bonds
  • Yield and credit curves

Interest Rate Modeling

In this second session a basic interest rates model is constructed in Excel.

  • The concept of a zero-, or spot-curve
  • Candidates for risk-free zero rates: money market derivatives, treasury securities, interest rate swaps or overnight index swaps?
  • Bond valuation using a zero curve
  • Reconciling yield-to maturity with the zero-curve answer
  • On-the-run and off-the run treasuries and the par yield curve
  • Deriving swap rates from zero-curves
  • Bootstrapping the zero curve from the yield curve and swap curve

Day Two

Interest Rate Risk – Duration Measures and Basis Point Measures

The previous section was principally concerned with pricing and yields – determining the fair value of a fixed income instrument given some initial assumptions. This section looks at the risk a fixed income investor faces in terms of their fixed income instruments’ values changing when the rates curves move.

  • What is interest rate risk and why is it important?
  • Bond features which drive its interest rate risk sensitivity
  • Interest rate risk – Macaulay, effective and modified duration and convexity
  • Dollar duration (a.k.a. risk) leading to PV01 / DVBP / DV01
  • Duration concepts applied to swaps

Fixed Income Trading

A look at the different fixed income trading strategies and profit / loss attribution.

  • Profit / loss attribution: carry, roll and pull to par
  • Yield curve strategies including barbells, butterflies and spreads
  • Executing the trade – cash, futures or swaps?
  • How does duration figure in the application of a fixed income strategy?

Fixed Income Credit Markets and Credit Curves

This last section looks at elements of the fixed income markets where credit risk is a significant factor. Its is not concerned with credit analysis but rather with the way the credit analysis’ expression (a credit spread) is measured and expressed.

  • Corporate credit analysis – debt seniority
  • Credit spreads – nominal-, swap-, zero-volatility (z-) and option-adjusted-spreads
  • Determining the option adjusted spread suing a binomial model

Why choose Fitch Learning

9 in 10 would recommend us to a colleague

Over 1,300 clients worldwide

CPD recognized

About provider

Fitch Learning

Live Online Training Since 2003, Fitch Learning’s industry experts have been delivering world-renowned virtual training programs to learners across the globe. Benefits include: World-class video conferencing technology  Fully interactive, engage and network with peers using break out rooms, quizzes and...


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Fitch Learning

17th Floor, 25 Canada Square
E14 5LQ Canary Wharf London

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Reviews

Average rating 5

Based on 1 reviews.

Linda
"Interactive, enjoyable, extremely professional and stimulating. Brilliant instructor!" Linda Eketoft - ANZ
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