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Course List
Introduction to the Securities Industry
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
Portfolio Management
Securities Analysis
Managing Risk
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Bond Math: Mathematics of the Fixed Income Market
Available Dates:
September 18, 2018, New York
Course Code: 512
Duration: 1 day
Level: Basic
Fee: $795.00
Instructor: Douglas Carroll
CPE Credits: 6
Prerequisite: No Prerequisite Required.

This one-day seminar provides an in depth exposure to yield, pricing and interest rate calculations for major types of fixed income securities and derivatives.

The program begins with an introduction to such fundamental concepts as time value of money, interest/discount rates and compounding conventions upon which market conventions are based.

The balance of the presentation will be devoted to exploring how these concepts are applied to the calculation of prices, yields, rates and accrued interest for: treasury, corporate and municipal bonds; mortgage backed securities, both pass through securities and collateralized mortgage obligations, including quantifying the prepayment speed/impact; fixed income futures contracts and their unique features such as conversion factors and index pricing.

This program would be especially helpful to those beginning a career in fixed income trading, sales or portfolio management or beginning to mid career professionals in departments supporting those activities such as clearance and settlement, compliance, financial control and information technology.

Topics for Discussion Include:

Fundamental Concepts of Fixed Income Mathematics

  •  Interest Rates, Yields and Rates of Return Compared
  •  Interest Rate Conventions - Simple Versus Compound
  •  Time Value of Money - Present and Future Values

Fixed Income Market Pricing and Yield Conventions

  •  Pricing Coupon and Zero Coupon Bonds
  •  Day Count Conventions
  •  Accrued Interest
  •  Pricing Money Market Instruments

Yield Curves

  •  Types of Yield Curves and their Constructions
  •  Applications to Fixed Income Pricing and Analysis

Mortgaged Backed Securities

  •  Pass Through Security Pricing and Yield Conventions
  •  Quantifying Prepayment Speed

Fixed Income Futures

  •  T-Note and T-Bond Futures Contracts
  •  Eurodollar and T-Bill Futures

After completing this program, participants should be able to:

  • Describe market interest rate conventions and their use in securities valuation
  • Identify day count conventions, their impact on interest and yield comparisons
  • Calculate and interpret yield to maturity
  • Use yield to maturity as a tool for understanding relative bond values
  • Calculate spot and forward rates and apply them to bond valuation 
  • Describe and differentiate between the various types of duration

Please bring a calculator.