Inflation-Linked Products: Cash and Derivatives

Bond pricing and trading: revision
  • Strips and zero-coupon valuation
  • Duration, variation and sensitivity
  • Convexity
  • Parameters of trading
  • Practical workshop
  • Construction of a bond pricer in EXCEL™
Inflation-linked bonds
  • Mechanics and main uses
  • Pricing and management of index-linked bonds
  • Inflation-linked bond markets
  • European OATi
  • Introduction to stripping
  • Practical workshop
  • Construction in EXCEL™ of a pricing spreadsheet
Inflation derivative markets
  • Overview of markets
  • Current indices (Euro, FR, ESP, IT, US)
  • Relationship between various indices
  • Interbank liquidity
  • Maturities of derivatives
Mechanics of inflation derivatives
  • Mechanics and uses of inflation swaps
  • Relationship between swaps and bonds
  • Forward inflation curve
  • Zero-coupon swap
  • Practical workshop
  • Construction in EXCEL™ of an inflation-swap pricing spreadsheet
Index-linked private placements
  • Market presentation
  • Description of various structures (leverage, capped/floored interest rates)
  • Uses of the notes (buy-side)

  • Get to grips with the inflation market: organisation, key players, mechanics and uses of products
  • Learn to use the most appropriate product for a given risk
  • Understand structures including inflation-index
  • Comprehensive approach of the inflation markets and products
  • Construction of simple pricing spreadsheets
  • Fund managers
  • Interest rate traders
  • Interest rate primary market managers
  • Sales
  • Junior inflation traders
  • Interest rate structurers
  • Middle office, back office, accounting, IT
  • Internal controls, audit
  • Risk management
  • ALM managers
  • Corporate treasurers and financial directors
  • Institutional investors
Close

Send a link to this seminar

You can recommend this seminar to your contact using this form. A link to this page will be included in your message.