Fitch Learning

Advanced Fixed Income Analysis

Available dates

Dec 5—6, 2019
2 days
London, United Kingdom
GBP 1295 ≈USD 1664
GBP 647 per day


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About the course

The overall goal of this course is to develop a deeper understanding of global fixed income markets, trading strategies and market signals.

Key Learning Outcomes:

  • Using Excel (no specialist Excel skills are necessary) gain a practical, intuitive understanding of how the fixed income rates market works
  • Understand how each element of the market is connected to the others
  • See how derivatives may be used to gain exposure to fixed income markets
  • Understand what interest rate risk is, its different measures, what drives it and why it’s important
  • Be able to construct fixed income trades which isolate a specific risk or idea
  • Use the knowledge of the rates markets to build an understanding of credit curves and credit trading strategies


The Building Blocks for Advanced Fixed Income

  • Money markets refresher: Cash markets, reference rates (LIBOR-type rates and overnight-index rates) and money market instruments
  • Money markets derivatives: Forward rate agreements, interest rate futures and, overnight-index swaps
  • Government bond markets
  • Government bond futures
  • Interest rate swaps
  • Credit markets - corporate bonds
  • Yield and credit curves

Interest Rate Modeling

  • The concept of a zero-, or spot-curve
  • Candidates for risk-free zero rates: Money market derivatives, treasury securities, interest rate swaps or overnight index swaps?
  • Bond valuation using a zero curve
  • Reconciling yield-to maturity with the zero-curve answer
  • On-the-run and off-the run treasuries and the par yield curve
  • Deriving swap rates from zero-curves
  • Bootstrapping the zero curve from the yield curve and swap curve

Interest Rate Risk - Duration and Convexity

  • What is interest rate risk and why is it important?
  • Bond features which drive its interest rate risk sensitivity
  • Interest rate risk – Macaulay, effective and modified duration and convexity
  • Dollar duration (aka risk) leading to PV01/DVBP/DV01
  • Duration concepts applied to swaps

Fixed Income Trading

  • Profit/loss attribution: Carry, roll and pull to par
  • Yield curve strategies including barbells, butterflies and spreads
  • Executing the trade – cash, futures or swaps?
  • How does duration figure in the application of a fixed income strategy?

Fixed Income Credit Markets and Credit Curves

  • Corporate credit analysis - debt seniority
  • Credit spreads - normal-, swap-, zero volatility (z-) and option-adjusted spreads
  • Determining the option-adjusted spread using a binomial model

Who should attend

Anyone who has a basic grasp of fixed income and wishes to upgrade their knowledge to a more technical level. This role is particularly suited to delegates working in, or with, risk departments, product control, fixed income sales, fixed income trading, product development and technology business analysts. This course uses Excel, but attendees must by no means be Excel experts.

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