Fixed Income - Pricing, Trading and Investing

We begin with the basics and the common approaches to bond pricing, but the course heads smoothly from there into the deeper detail behind pricing bonds properly, including the inferring of default probability term structures and bootstrapping spot rate curves. Detail is always handled carefully, and explanations focus on the intuitive rather than the mathematical; explained from a market practitioner point of view.

Once pricing is understood participants will learn about the various approaches to understanding bond risk measurement and management. The classic risk metrics will be derived and discussed as well as the role of convexity in determining the bond yields. Participants will learn how bond investment can be tailored to suit market and yield curve views and how return-seeking and liability-matching is achieved.

The final section of the course introduces bond-related derivatives, futures, interest rate swaps and credit default swaps. The mechanics and pricing of these instruments is discussed and investment and trading strategies involving these derivatives are developed.

The course contains numerical examples and spreadsheet exercises to reinforce the technical learning, leaving participants with a first-hand understanding of the quantitative details.