|Course Code: 512
|Duration: 1 day
|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
- 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:
market interest rate conventions and their use in securities valuation
day count conventions, their impact on interest and yield comparisons
and interpret yield to maturity
yield to maturity as a tool for understanding relative bond values
spot and forward rates and apply them to bond valuation
and differentiate between the various types of duration
Please bring a calculator.