Name: Advanced Fixed Income
Rating: 5 (3 reviews)

Module 1: Introduction 1. Course Introduction Free Preview 2. Downloadable FilesModule 2: Constructing Yield Curves 1. Yield Curves 2. Zero-Coupon Yield Curve Free Preview 3. Interactive Exercise 1 4. Par Yield Curves 5. Coupon Yield Curves 6. Significance of Hypothetical Curve 7. Significance of Hypothetical Curve Continued 8. Interactive Exercise 2 9. Bootstrapping 10. Bootstrapping Example 11. Bootstrapping a Swap Curve 12. Bootstrapping Spot0X6 13. Bootstrapping Spot0X9-Spot0X12 14. Bootstrapping Exercise 15. Discount Factors 16. Discount Factors Continued 17. Forward Yield Curve 18. Proving Spot vs. Spot and Forward 19. Interactive Exercise 3 20. Using the Forward Curve to Value Derivatives 21. Value Derivatives 22. Interactive Exercise 4Module 3: Fitting Yield Curves and Cheap-Rich Analysis 1. Fitting Free Preview 2. Purpose of Fitted Curve 3. Relative Value–Cheap/Rich Analysis 4. Relative Value–Cheap/Rich Analysis Continued 5. Cheap/Rich Reports Limitations 6. Interactive Exercise 5Module 4: Bond Futures and The Cheapest-to-deliver 1. Government Bond Futures Contract 2. Interactive Exercise 6 3. Delivery 4. Conversion Factor 5. Invoice Amount 6. Comparing Principal Invoice Amounts 7. Futures/Cash Basis 8. Interactive Exercise 7 9. Implied Repo Rate 10. Implied Repo Rate Example 11. Net Basis 12. Basis Optionality 13. Cheapest to Deliver ExerciseModule 5: Qualified Assessment 1. Qualified Assessment 2. Share Your Feedback 3. Course Completion

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English

United States dollar

We will also examine the bond futures contract to calculate the implied repo rates to determine which bond is most cost-effective in the delivery basket to be delivered physically.


 We'll explore the concept of bootstrapping and how it can be used to create hypothetical yield curves. Next, we'll discuss how to use the forward curve for value derivatives. We will also talk about fitting yield curves, and how to use the cheap-rich analysis for determining if a bond has a high or low value.


 The Advanced Fixed Income course will cover more complex topics in fixed income capital markets. This course will cover more mathematical and technical concepts in order to help you understand them as well as how to calculate their value.

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Advanced Fixed Income

Advanced Fixed Income

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