Bond Derivatives


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
 
Content

 

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:


Duration 1 day
Available as an in-house course







Investment Education PLC
45 Old Hall Road, Manchester M7 4JF, United Kingdom
Tel:+44 (0)161 832 3800
Email: mail@investmentEducation.net
Registered in England Number 2129160
VAT Registered Number GB 480 2112 85



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