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New York Institute of Finance

Fixed Income Professional Certificate

Feb 3—7, 2020
5 days
New York, New York, United States
USD 4399
USD 879 per day
Feb 3—7, 2020
Online
USD 4399
Jul 13—17, 2020
5 days
New York, New York, United States
USD 4399
USD 879 per day
+3 more options

How it works

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Description

Develop a complete set of desk-ready skills for fixed income market participants. You will learn how to determine fair values, yields and risk measures for a wide variety of instruments including government bonds, corporate bonds, mortgage securities and fixed income derivatives. Understand the structure and trading conventions of fixed income markets, and learn how to construct, interpret and trade the term structure of interest rates. The Bloomberg Professional terminal is used extensively throughout this program.

Prerequisite knowledge:

  • Intermediate MS Excel skills
  • Elementary differential calculus
  • Basic probability and statistics
  • Basic familiarity with fixed income instruments

CURRICULUM

Day 1

MODULE 1: ESSENTIAL MATHEMATICS

  • Geometric series
  • Derivatives
  • Taylor series
  • Logarithmic and exponential functions
  • (Easy) integrals

MODULE 2: BASIC INSTRUMENTS

  • Zero coupon bonds
  • Annuities
  • Perpetuities
  • Coupon Bonds: Bullets and amortizers
  • Par coupon rates
  • Floating rate bonds

MODULE 3: MEASURES OF YIELD AND RETURN

  • Discount rates
  • Yields
  • Interest rates
  • Rates of return: Expected, contractual and realized
  • Yield-to-maturity: What it does and does not mean

Day 2

MODULE 1: TERM STRUCTURES OF RATES AND YIELDS

  • Forward rates
  • Bootstrapping zeros
  • Desirable properties of term structures
  • Interpolation techniques
  • Splines
  • Yield curve fitting

MODULE 2: MEASURES OF RISK

  • Taylor series and 'sensitivity' measures
  • Macaulay duration
  • Yield duration: Macualay and modified
  • Dollar duration
  • Key rate duration
  • Macaulay convexity
  • Yield convexity

MODULE 3: ELEMENTS OF FIXED INCOME PORTFOLIO RISK MANAGEMENT

  • Duration of a portfolio
  • Convexity of a portfolio
  • Immunization
  • Computing Value at Risk for fixed income portfolios

MODULE 4: CORPORATE BONDS

  • Credit risk
  • Inferring (risk-neutral) default probabilities from bond prices

Day 3

MODULE 1: STRUCTURE OF FIXED INCOME MARKETS

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

MODULE 2: US GOVERNMENT 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 4

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 AND CREDIT DERIVATIVES

  • 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

Day 5

MODULE 1: INTRODUCTION AND OVERVIEW

  • Yield Curve Fundamentals
  • Financial and Economic Implications
  • Interpreting the Shape of the Curve, Supply, and the Business Cycle
  • Risk Free Curves

MODULE 2: A TAXONOMY OF CURVES

  • Spot rate curves
  • Swap curves
  • Corporate curves
  • Mortgage curves

MODULE 3: YIELD CURVE FITTING

  • Fitting a curve to the bond market
  • Plotting bond yields against the fitted curve
  • Yield spreads to the fitted curve

MODULE 4: YIELD CURVE MODELING

  • Interpretation and forecasting yield curve movements
  • Fiscal and monetary policy
  • Parallel yield curve shifts
  • Non-parallel curve shifts (steepening/flattening/barbell)
  • Econometric forecasting models
  • Understanding and interpreting yield curves

MODULE 5: TRADING THE CURVE AND PORTFOLIO APPLICATIONS

  • Yield curve strategies
  • Total return analysis for yield curve shifts

MODULE 6: DESK READY SKILLS KNOWLEDGE CHECK

WHAT YOU'LL LEARN

  • Understand the 'no-arbitrage' principle employed in the valuation of fixed income securities
  • Understand the limitations of 'yield-to-maturity' as a measure of the rate of return on default free fixed income securities
  • Develop a 'no-arbitrage' interpretation of forward rates
  • Develop a deep understanding of duration and convexity and be aware of common misunderstandings of these concepts
  • Understand and be able to reproduce the yield and risk measures on Bloomberg YAS screens for government bonds
  • Derive risk-neutral default probabilities from credit risky bond prices
  • 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
  • Understand the differences between spot curves, par coupon curves, forward curves, credit curves, etc.
  • Determine expectations of future spot rates and the term premium
  • Determine real rates, inflation expectations and the inflation risk premium
  • Learn how to contsruct yield curve trades including steepeners, flatteners, barbells and bullets
  • Understand the impact of changes in the Federal Funds rate on the shape of the yield curve

Who should attend

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

Next dates

Feb 3—7, 2020
5 days
New York, New York, United States
USD 4399
USD 879 per day
Feb 3—7, 2020
Online
USD 4399
Jul 13—17, 2020
5 days
New York, New York, United States
USD 4399
USD 879 per day
+3 more options

How it works

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