Bonds: Pricing and Book Management

Bond Market
  • Bond asset classes
  • Markets and their participants
  • Revision of bond mechanisms
Bond Pricing
  • Yield curve
  • The world of actuarial rates
  • Fixed-rate bond price
  • Risk measurement
  • Credit
  • The world of zero-coupon rates
  • Definition
  • Pricing T-bonds using a theoretical zero-coupon curve
  • The world of forward rates
  • Definition
  • Forward rate curves – Limitations
  • The world of floating rates
  • Characteristics of an index bond
  • Bonds indexed on short or long rates
  • Inflation-linked bonds
  • Practical workshop
  • Calculation of the sensitivity to inflation of an index-linked bond
Book Management
  • General points
  • Bond market transactions
  • Bond performance
  • Parameters of bond management
  • Current yield
  • Portfolio duration
  • Portfolio convexity
  • Portfolio VaR
  • Decomposing a performance
  • Practical workshop
  • Construction of a 2 / 5 / 10 year butterfly
  • Calculation of the ride down effect
  • Book management strategies
  • Translation
  • Absence of movement
  • Flattening/steepening
  • Curve
  • Hedging , sensitivity and convexity
  • Practical workshop
  • Hedging a bonds’ portfolio with futures
  • Unit trust bond management
  • Reference framework
  • Management goals
  • Means and techniques
  • Performance measures

  • Know how to build a zero-coupon curve
  • Calculate the theoretical price, sensitivity and convexity of a standard bond
  • Master bond portfolio hedging techniques
  • Active bond portfolio management
  • Understand the difference between managing a bond portfolio in a unit trust and Active/Passive management
  • Analyse and evaluate the performance of a bond portfolio
  • Build a pricing spreadsheet in EXCEL™
  • Pricing and book management methods in EXCEL™
  • Develop the ability to price and manage a bond portfolio
  • Training method: transmission of highly operational skills, building and use of book management tools in EXCEL™
  • Trading simulation via the First Trading Room™, our virtual trading software
  • Fund managers, interest rate traders, salespeople
  • Participants on primary interest rate markets
  • Senior middle and back office staff, IT personnel
  • Internal control, auditing, inspection
  • Risk management
  • Financial departments
  • Treasurers and corporate financial directors
  • Institutional investors
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