Bond derivatives
Course
In
Description
-
Type
Course
-
Start date
Different dates available
Objective
This course is a detailed overview of the government bond derivatives market focusing on bond futures, Swapnote- futures and the relationship with bond repos and the swap market. A basic familiarity with bonds is assumed.
Aim
Review bond terminology
Study the main methods for calculating a bond's price / yield
Analysing a bond's different sensitivity measures
Explain how bond futures, Swapnote- and swaps are valued and priced
Uses of bond futures and Swapnote-
Delegates
Brokers
Dealers
Fund Managers
Accountants & Auditors
Back Office Executives
Institutional Salesmen
Lawyers (CPD credit)
IT executives involved with systems handling these products
Institutional Salesmen handling these products
Facilities
Location
Start date
Start date
Reviews
Subjects
- Arbitrage
- Market
- Swaps
- Office IT
- Systems
- Government
- IT risk
- Derivatives
- Derivatives market
- Repos
Course programme
Bond Market
This section is designed to explain the different types of bonds and all the jargon and terminology associated with the underlying market.
- Bond types
basic bond definition
government and corporate bonds
fixed and floating coupons
- Zero coupon, discount bonds
Terminology
yield, maturity, value
dirty and clean price
Bond Pricing and Sensitivity Measures
The following section looks at how a bond's price is calculated based upon latest techniques.
- Pricing bonds
yield to maturity
zero coupon curve
discount rates, discount functions
- Bond price sensitivities
price yield relationship
duration, modified duration
PVO1 (BPV or risk)
Bond Futures, Swapnote-, Repos and Swaps
This section looks at how bond futures are constructed and their different applications and relationship with the underlying market.
- Bond futures contract design
Swapnote- contract design
comparing Swapnote- and bond futures
invoice amount formula
price factors
defining the cheapest to deliver
- Pricing government bond futures and Swapnote-
cost of carry relationship
basis types
cash and carry arbitrage
implied repo rate and CTD
- Uses of bond futures and Swapnote-
hedging and spread trading
- Bond repos
types of repos
users and uses
- Relationship with the repo and swap market
review repo transactions and swaps trades
calculating a swap price with futures
Todays Date: 8 September 2017
Duration 1 day
Bond derivatives