one day bonds pricing and trading primer for market professional who have
some limited experience in the in sales and trading of traditional IR products.
The focus is on "necessary" bond maths and particularly on bonds
pricing so as to provide candidates with tools to price and trade bonds after
just one day.
how price vanilla and
some non-standard bonds, and to make pricing adjustment for common variations
how build market
convention IR curves, as well as some insight to more advanced curve methods
techniques to price
almost any type of bond structure
techniques for market
convention sensitivity based position and portfolio risk management
with some limited experience (some understanding of markets/products helpful)
to Bonds and Bonds Pricing:
discussion of IR markets, introduction to bond structures, terminology and
Theory for Bonds Pricing:
Review of usual discounting measures for single (zero coupon) and multiple cash
flow(s), the IRR and its meaning, Swap par rates and IRR, compounding and
cash flow frequency
Pricing for the Real World (1):
Building yield curves, on/off the run, credit spreads, liquidity considerations.
Pricing for the Real World (2):
Non standard structures, securitisation, embedded options
on the basic bonds theme:
asset backed, equity linked, cross currency
convention methods for building curves with "admissible" instruments,
blending, Bootstrapping, LIBOR curves vs. Gov curves, forwards vs. spot,
compounding product problems, and look at curve generation for some more
sophisticated matters such as straight-line vs. exponential, splines, liquidity
and tax effects, credit.
Assessment: review of
types of risk, look at "traditional" risk measures, look at
"modern" risk methods both "instantaneous" and
"empirical", and "bucketing" methods for both linear and
non-linear risks. Duration, Convexity etc…
comprehensive and extensively illustrated Handout Notes (see samples
Plus copies of relevant TG2 Books/e-Books
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"