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New York Institute of Finance

Yield Curve Analysis

Jul 19, 2019
New York, New York, United States
USD 1279
USD 1279 per day
Oct 4, 2019
New York, New York, United States
USD 1151
USD 1151 per day

How it works

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Description

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

Who should attend

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

Next dates

Jul 19, 2019
New York, New York, United States
USD 1279
USD 1279 per day
Oct 4, 2019
New York, New York, United States
USD 1151
USD 1151 per day

How it works

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