Bond Derivatives



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.





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




  • 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


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


            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
Registered in England Number 2129160
VAT Registered Number GB 480 2112 85

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