Fitch Learning

Fundamentals of Fixed Income

Available dates

Nov 25, 2019
London, United Kingdom
GBP 795 ≈USD 1027
GBP 795 per day

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About the course

The focus of this one-day course is fixed income securities which are used by governments and corporates to raise finance. Features of these instruments are studied along with pricing principles. The course is practical in nature and uses example securities from the markets throughout. Participants will work in Excel to construct pricing models. Risk from fixed income transactions is studied along with an overview of yield curve transactions.

Key Learning Outcomes:

  • Discuss risks from fixed income securities
  • Explain the features of money market and bond instruments
  • Calculate the cash flow from a bond
  • Illustrate the principles of bond pricing
  • Define yield curves

Overview of Debt Capital Markets

  • The differences between equity and debt products
  • The differences between loans and bonds
  • Hybrid securities
  • Securitisation

Content

Day One

Bond Markets

Bond markets are the benchmarks of the fixed markets. Both government and corporate bonds are analyzed during this day.

  • Features of government bonds
    • Major issuers of bonds
    • Investors in bonds
    • Coupon variations
    • Credit considerations
    • Maturities
  • Features of corporate bonds
    • Types of corporate bond
    • Credit ratings
    • Credit spreads
  • Case study: Investors and bonds – selecting the most appropriate bond for a series of investors with different risk profiles

Bond Pricing Fundamentals

  • Time value of money
  • Case study: Present value and future value
  • Cash flow from a bond
  • Price/yield relationship
  • Yield variations
  • Case study: Bond pricing – calculating price and calculating yield using Excel

Practical Bond Pricing

  • Modeling cash flow from a bond
  • Accrued interest
  • Clean and dirty pricing
  • Discount factors
  • Excel exercise: Building a pricing model in Excel – full cash flow models are constructed in Excel for bonds using market data taken from Bloomberg

Bond Risk Metrics

  • Duration
  • Modified Duration
  • Dollar Duration, DV01, PVBP, PV01
  • Hedge ratios
  • Excel exercise: Building risk metrics in Excel – completing the modeling of the bonds using Bloomberg risk data

Language of Yield Curves

  • Flattening
  • Steepening
  • Inverted curves
  • What does the yield curve tell us?
  • Overview of yield curve transactions

Who should attend

This course is aimed at those who are new to finance. The content is covered from first principles with the emphasis on participants gaining an introductory level of knowledge of the topics covered.

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