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Objective: A
one day bonds pricing and trading primer for market professional who have
some limited experience in the in sales and trading of traditional IR products.
The focus is on "necessary" bond maths and particularly on bonds
pricing so as to provide candidates with tools to price and trade bonds after
just one day.
Will
learn:
·
how price vanilla and
some non-standard bonds, and to make pricing adjustment for common variations
·
how build market
convention IR curves, as well as some insight to more advanced curve methods
·
techniques to price
almost any type of bond structure
·
techniques for market
convention sensitivity based position and portfolio risk management
Audience:
market professionals
with some limited experience (some understanding of markets/products helpful)
·
Traders, sales,
support,
·
Risk Management
1) Introduction
to Bonds and Bonds Pricing:
discussion of IR markets, introduction to bond structures, terminology and
market conventions.
2) PV
Theory for Bonds Pricing:
Review of usual discounting measures for single (zero coupon) and multiple cash
flow(s), the IRR and its meaning, Swap par rates and IRR, compounding and
cash flow frequency
3) Bonds
Pricing for the Real World (1):
Building yield curves, on/off the run, credit spreads, liquidity considerations.
4) Bond
Pricing for the Real World (2):
Non standard structures, securitisation, embedded options
5) Variations
on the basic bonds theme:
asset backed, equity linked, cross currency
6) Curve
Generation: Market
convention methods for building curves with "admissible" instruments,
blending, Bootstrapping, LIBOR curves vs. Gov curves, forwards vs. spot,
compounding product problems, and look at curve generation for some more
sophisticated matters such as straight-line vs. exponential, splines, liquidity
and tax effects, credit.
7) Risk
Assessment: review of
types of risk, look at "traditional" risk measures, look at
"modern" risk methods both "instantaneous" and
"empirical", and "bucketing" methods for both linear and
non-linear risks. Duration, Convexity etc…
 165
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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