Amsterdam Institute of Finance

Fixed Income Investment

Available dates

Nov 9—11, 2020
3 days
Amsterdam, Netherlands
EUR 3600 ≈USD 4100
EUR 1200 per day


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About the course

Fixed Income Investment provides a practical overview of the fixed income markets, with focus on the management of bond portfolios.

How you will benefit

  • Increase your understanding of the different types of risk faced by bond portfolio managers
  • Learn about measures of risk such as duration and convexity as well as more advanced measures
  • Review fixed-income derivatives, futures, options and swaps and understand their usefulness in bond portfolio management for hedging or speculating


Risk and Return for Bonds without Embedded Options

  • Yield measures
  • Risk measures: Part I

    • Duration: Definition, usefulness, properties and limitations
  • Risk Measures: Part II

    • Convexity: Definition, usefulness, properties and limitations
  • Usefulness of duration in bond portfolio management: Immunization

  • Usefulness of convexity in bond portfolio management: Butterfly swaps

Risk and Return for Bonds with Embedded Options

  • Adjusted yield measures
  • Adjusted risk measures

    • Adjusted duration
    • Adjusted convexity
  • Bond portfolio management for bonds with embedded options

New Measures of Risk

  • Factor based measures of risk

    • The shift
    • The tilt
    • The flex
  • Key rate durations

Use of Derivative Instruments in Bond Portfolio Management: Part I - Interest Rate Swaps

  • Interest rate swaps as portfolio of bonds
  • Risk of interest rate swaps: Interest rate risk and credit risk
  • Swap rationale
  • Advanced swaps: Forward swaps and swaptions
  • Usefulness of swaps in bond portfolio management

Use of Derivative Instruments in Bond Portfolio Management: Part II - Futures

Pricing Long Term Bond Futures

  • Pricing of futures: General principles
  • Pricing of bond futures
    • Conversion factors
    • Cheapest bond to deliver
    • Delivery options

Use of Bond Futures in Bond Portfolio Management

  • Difficulties of hedging with bond futures
  • Hedging with bond futures
    • Duration hedging
    • Factor hedging
    • Price regression hedging
    • Regression / duration hedging
    • Generalized duration hedging

Strategies with Bond Futures

Use of Derivative Instruments in Bond Portfolio Management: Part III - Options

  • Pricing interest rate options
    • Typology of interest rate options
    • Simple payoff diagrams
    • Pricing interest rate options: The Black, Derman and Toy Model

Use of Interest Rate Options in Bond Portfolio Management

  • Pricing examples

    • Bonds with embedded options
    • Sinking funds
  • Reshaping bond portfolio returns with options

  • Hedging asymmetric risk with options

  • Duration hedging with convexity adjustment using futures and options

Who should attend

The typical participant will be an investment professional, analyst or plan sponsor. This includes bond analysts, pension fund advisors, risk managers, private client portfolio managers and consultants to the fund management industry. Those responsible for the management of fixed-income portfolios within banks, pension funds and insurance companies are advised to attend.

Trust the experts

Pierre Hillion

Pierre Hillion is a Professor of Finance, de Picciotto Chaired Professor of Alternative Investments, and the Program Director of the INSEAD-Macquarie Master of Finance. From 1999 to 2004, he held the Shell Professorship in Finance. He serves as a visiting professor at the University of California...


Course reviews

Fixed Income Investment program | Amsterdam Institute of Finance

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