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New York Institute of Finance

Fixed Income Instruments and Markets

Available dates

Feb 5—6, 2020
2 days
New York, New York, United States
USD 1790
USD 895 per day
Feb 5—6, 2020
Online
USD 1790
Jul 15—16, 2020
2 days
New York, New York, United States
USD 1591
USD 795 per day
+4 more options

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Full disclaimer.

About the course

This course is a comprehensive survey of fixed income instruments and the markets in which the instruments are traded. Participants will learn how to compute yield- and risk measures for government bonds, corporate bonds and mortgage securities. The emphasis is on the development of a 'real-world' toolkit that is directly applicable to everyday tasks performed by fixed income traders, quants and support personnel. The Bloomberg Professional terminal is used extensively in this course.

This course is a component of the Fixed Income Professional Certificate.

Prerequisite knowledge:

  • Intermediate MS Excel skills
  • Elementary differential calculus
  • Basic probablility and statistics
  • Familiarity with fixed income mathematics

CURRICULUM

Day 1

MODULE 1: STRUCTURE OF FIXED INCOME MARKETS

  • Primary markets
  • Treasury auctions
  • Interdealer brokers
  • Secondary markets
  • Electronic trading platforms

MODULE 2: US COVERNMENT BONDS

  • Treasury bills
  • Treasury notes and bonds
  • Yield conventions
  • Risk parameters
  • Accrued Interest: Clean and invoice (dirty) prices
  • Bloomberg YAS screens for bills, notes and bonds
  • TIPS: Treasury inflation-protected securities

MODULE 3: SOVEREIGN DEBT INSTRUMENTS AND MARKETS

  • Canada
  • United Kingdom
  • Europe
  • Japan

MODULE 4: REPURCHASE AGREEMENTS

  • Structure of repo and reverse repo contracts
  • Haircuts
  • Repo arithmetic
  • General and special collateral
  • Repo fails

Day 2

MODULE 1: INTEREST RATE DERIVATIVES: FORWARDS AND SWAPS

  • Forward rate agreements
  • Forward contracts on bonds
  • Structure of a swap contract
  • Swap rates and curves
  • Swap spreads
  • Overnight index swaps
  • Libor-OIS spreads
  • Forward swaps

MODULE 2: INTEREST RATE DERIVATIVES: FUTURES AND OPTIONS

  • Treasury futures
  • Eurodollar futures
  • Deriving swap rates from ED futures
  • Options on ED futures
  • Swaptions
  • Interest rate caps and floors

MODULE 3: CORPORATE BONDS

  • Yields and credit spreads
  • Risky floating rate notes
  • Asset Swaps
  • Credit default swaps

MODULE 4: MORTGAGES AND MORTGAGE-BACKED SECURITIES

  • Types of mortgages
  • Prepayments and negative convexity
  • Federal agency debt securities
  • The TBA market
  • Securitization
  • Agency MBS

WHAT YOU'LL LEARN

  • Understand the structure of fixed income markets
  • Be able to reproduce the yield and risk data on Bloomberg YAS screens for US Treasury bonds
  • Understand the mechanics of repurchase agreements
  • Determine repo-implied forward prices
  • Compute swap rates
  • Derive implied swap rates from ED futures prices
  • Learn how to compute a variety of credit spreads for corporate bonds
  • Understand the mechanics of the TBA mortgage market
  • Understand prepayment modeling for mortgages and mortgage-backed securities

Who should attend

  • Portfolio managers
  • fixed income traders
  • fixed income desk quants
  • research analysts and financial analysts

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