Yield Curve Analysis

New York Institute of Finance

How long?

  • 1 day
  • in person, online

What are the topics?

New York Institute of Finance

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Who should attend

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

About the course

A comprehensive survey of the tools and techniques employed to construct, interpret and trade the term structure of interest rates.

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

Prerequisite knowledge:

  • Intermediate MS Excel skills
  • Elementary calculus
  • Basic probability theory
  • Some familiarity with fixed income instruments will be advantageous

CURRICULUM

Day 1

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

WHAT YOU'LL LEARN

  • Understand the relationship between forward rates and spot rates
  • 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 rates on the shape of the yield curve

Yield Curve Analysis at New York Institute of Finance

From  $1,151

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Disclaimer

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Full disclaimer.

Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.

We are happy to help you find a suitable online alternative.