Inflation Derivatives and Index Linked Bonds

London Financial Studies
3.3
3 reviews
  • The course was excellent and very well taught. I recommend it.
    ← | →
  • The course was informative and very helpful with relevant and detail examples.
    ← | →
  • The course was excellent, also the training environment was perfect. I strongly recommend it.
    ← | →

Short course

In London

£ 2,690 + VAT

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Description

  • Type

    Short course

  • Location

    London

  • Duration

    2 Days

The market for inflation derivatives and other index-linked products is constantly evolving. This program covers the mechanics of the instruments, their valuation, and how they can be used to take or hedge inflation exposure alone or embedded in other structures. Seasonality and convexity when using these products is also analyzed.

More than half of the program is devoted to practical small group sessions. These intensive exercises include simulations using Microsoft Excel or other industry standard software. Participants will be able to take away worked examples including a number of Excel functions and macros.

This course is also available remotely via LFS Live.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

On request

About this course

- Understand the mechanics of index-linked bonds and inflation derivatives
- Gain clarity on the fundamental issues raised when inflation exposure is being managed
- Analyze relative value in the index-linked and nominal bond markets through asset swaps
- Understand the impact of seasonality on inflation swaps and related products
- Learn how to use inflation derivatives for trading and managing risk
- Understand the similarities and differences between options on interest rates and inflation
- Gain familiarity with embedded inflation options

Traders
Risk managers
Fund managers
Project finance and structured finance practitioners
Accountants, auditors, consultants, and anyone interested in the use and operation of index linked securities and their derivatives

Basic understanding of bonds and interest rate derivatives, intermediate maths and Excel skills.

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Reviews

3.3
good
  • The course was excellent and very well taught. I recommend it.
    ← | →
  • The course was informative and very helpful with relevant and detail examples.
    ← | →
  • The course was excellent, also the training environment was perfect. I strongly recommend it.
    ← | →
33%
4.4
fantastic

Course rating

Recommended

Centre rating

Former Student

0.0
04/10/2016
What I would highlight: The course was excellent and very well taught. I recommend it.
What could be improved: .
Would you recommend this course?: No

Former Student

5.0
04/10/2016
What I would highlight: The course was informative and very helpful with relevant and detail examples.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

5.0
04/10/2016
What I would highlight: The course was excellent, also the training environment was perfect. I strongly recommend it.
What could be improved: Nothing.
Would you recommend this course?: No
*All reviews collected by Emagister & iAgora have been verified

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 16 years

Subjects

  • Derivatives
  • Swaps
  • Market
  • Mechanics
  • MS Excel
  • Options
  • Excel
  • Inflation Derivatives
  • Deflation drivers
  • LPI
  • Hybrid
  • Microsoft Excel
  • Auditors
  • Accountants
  • Inflation swaps

Teachers and trainers (1)

David Cox

David Cox

Teacher

Dr David Cox has wide practical experience of the financial markets and an international reputation as a teacher of high-level courses. His career includes ten years in banking, primarily with Bank of America Capital Markets. After leaving the City, he joined the staff of London Business School, where he set up the financial markets seminar programme, did research and maintained an active external teaching and consultancy practice. Dr Cox is the founding director of London Financial Studies.

Course programme

Day One

Introduction and Course Outline
The Building Blocks
  • Measures of inflation
  • Inflation and deflation drivers
  • Market participants
  • The mechanics of index-linked bonds
  • Variations in index-linked bond structures and embedded optionality
  • Break-even inflation from bonds
  • The limitations of break-even inflation
  • Building an accurate inflation curve from bonds with B-Spines and regression
Workshop: Building an accurate inflation curve from bonds

Introduction to Inflation Derivatives
  • Zero Coupon, Revenue, and Year on Year inflation swaps
  • Inflation swap mechanics and the market
  • Building an inflation curve from swaps
  • X11 seasonality adjustments for pricing derivatives
  • Relationship between the market for inflation linked bonds and inflation derivatives
  • Inflation Sensitivity IE01, DV01 convexity, and correlation
Workshop: Pricing and using zero coupon and revenue swaps with seasonality

Day Two

Inflation Derivatives in Use
  • Sensitivity measures applied to index-linked bonds
  • Asset swaps in general
  • Par and proceeds asset swaps with index-linked bonds
  • Residual swap risk
  • Inflation derivatives in public project financing (PFI structure)
  • Why zero coupon and year on year inflation are different
  • Forward inflation and convexity corrections
Workshop: Further uses of inflation swaps: risk and valuation of revenue swaps with seasonality

Inflation Options and Related Products
  • Inflation caps and floors
  • LPI embedded options and path dependency
  • Inflation volatility considerations
  • Applying standard interest rate option models to inflation?
  • Index-linked notes
  • Hybrid products with inflation protection
  • Inflation protection in retail products
Workshop: Embedded inflation options

See related categories

Inflation Derivatives and Index Linked Bonds

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