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Quickies: Bonds


Objective: A 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.

Will learn

·        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

Audience: market professionals with some limited experience (some understanding of markets/products helpful)

·      Traders, sales, support,

·      Risk Management

Table of Contents 

1)   Introduction to Bonds and Bonds Pricing: discussion of IR markets, introduction to bond structures, terminology and market conventions.

2)   PV 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

3)   Bonds Pricing for the Real World (1): Building yield curves, on/off the run, credit spreads, liquidity considerations.

4)   Bond Pricing for the Real World (2):  Non standard structures, securitisation, embedded options

5)    Variations on the basic bonds theme: asset backed, equity linked, cross currency

6)   Curve Generation: Market 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.

7)   Risk 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…


165 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: 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" list HERE)

    Get a Syllabus in more detail

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Last modified: July 25, 2011