Inflation-Linked Products: Cash and Derivatives

LEVEL: INTERMEDIATE LEVEL

▪	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

▪	Mechanics and main uses of inflation linked bonds and derivatives - Intermediate
▪	Pricing zero-coupon - Intermediate
▪	Pricing and sensitivities of bonds and vanilla swaps - Intermediate
▪	Calculation of indices - Intermediate
▪	Pricing and sensitivities of bonds and inflation-linked products - Intermediate
▪	Principles of inflation structuring - Introductory

▪	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

Pre-Course Preparation
▪	Be familiar with bonds and vanilla swaps

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)