19 August, 2019.
21 August, 2019.
This training course aims to introduce the fundamental mechanisms and the main instruments of the interest rate market: monetary market, bond market, cash and derivatives. Practical applications and tests will illustrate the tackled notions.
To equip capital market operators with a general skill required for success in this volatile market
Interest rates - calculation rules and methods
- Interest rate types: proportional, discounted, continuous
- Interest rate calculation conventions: monetary basis, discounted basis, bond basis
- Introduction to the yield curve: zero coupon, forward
Cash and derivatives products market
- Role of the Central Bank and monetary policy instruments
- Organization of the monetary market: players, instruments, contracts
- Monetary cash products: treasury bonds, TCN, commercial paper
- Repo Market (Repurchase Agreement)
Cash and derivatives bond products
- Primary bond market and secondary bond market
- Bond characteristics: nominal rate, discounted rate, maturity, convexity, duration, sensitivity
- Valuation of a bond with accrued interest
- Interest rate swap: plain vanilla swap, basis swap, exotic swaps
- Bond spread and reference swap rate
Hedging the interest rate risk and managing positions
- Hedging the interest rate risk through various types of interest rate derivatives (fixed/optional): swaps and FRAs, caps/floors/collars, swaptions
- Managing interest rate positions according to the yield curve : flattening, steepening, barbell, butterfly