Fixed Income Master Classes

The aim of these short product classes, which may be linked together for a full program, is to cover the “20% of information relevant 80% of the time”. Our focus will be practical, putting theory into trading floor context, looking at risk/reward for pricing, client advisory and risk management. They may be useful as continuing education across the bank and new hire training.

Working with bond math and yield curves (1 day)

• Bond math
• Present and future valuing
• Compounding
• Yield calculation
• Spot rates, forward rates and par rates
• Bootstrapping yield curves
• Credit curves
• Reconciliation to Bloomberg (and other) calculations

Working with bonds (1 day)

• Bonds, including floating rate note and payment-in-kinds
• Price / yield calculation
• Duration/PV01 and Convexity/Gamma
• Common bond yield curve strategies: steepeners and flatteners
• Managing a bond portfolio
• Use of Bloomberg and bank’s research as relevant
• (As a standalone day, participants would need to be comfortable with bond math)

Working with interest rate swaps and options (1 day)

• Forward rate agreements
• Futures
• Plain-vanilla swap
• Usage of swaps for hedging, including short discussion on hedge accounting impact
• Sensitivity of swap to change in yield curve
• Using swaps for investment, trades against government bonds, curve steepeners & flatteners
• Introduction to options, caps & floors
• Introduction to swaptions
• Use of Bloomberg and bank’s research as relevant