Available Dates:

Course Code: 512 
Duration: 1 day 
Level: Basic 
Fee: $795.00 
Instructor:
Douglas Carroll 
CPE Credits: 6 
Prerequisite: No Prerequisite Required. 
This oneday 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
 TNote and TBond Futures Contracts
 Eurodollar and TBill 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.
