Description
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Andrew Loo – CFI Education – Advanced Fixed Income
Advanced Fixed Income
Learn advanced technical and mathematical concepts within fixed income capital markets
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Overview
Advanced Fixed Income Course Overview
This Advanced Fixed Income course will explore some more advanced topics within fixed income capital markets. This course will use more technical and mathematical concepts to teach you not only to understand these advanced concepts but also to be able to calculate how we get them.
We will explore what bootstrapping is and how we can use it to construct hypothetical yield curves. Then, we will look at using the forward curve to value derivatives. We will also discuss constructing and fitting yield curves and using the cheap-rich analysis to see if a bond is rich or cheap.
Finally, we will look at the bond futures contract and calculate the implied repo rate to determine which bond is the most cost-efficient in the deliverable basket to deliver physically.
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Advanced Fixed Income Learning Objectives
Upon completing this course, you will be able to:
Understand different variations of yield curves (e.g., par, spot, and forward yield curves)
Construct hypothetical yield curves using bootstrapping
Fit yield curves based on a series of yield observations
Learn how to tell if a bond is rich or cheap using cheap-rich analysis
Understand bond futures and how to determine which bond is the most economical to deliver
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Who Should Take This Course?
This Advanced Fixed Income course is perfect for anyone who wants to have a deeper analytical understanding when using market-data providers such as Refinitiv Workspace. The individual wants to gain more breadth in fixed income or desires to cover some more advanced topics within fixed income.
This course is designed to equip anyone who desires to begin a career in the capital markets on a fixed income desk or prepare for career advancement from junior to more senior fixed income trading or sales positions.
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What you’ll learn
Introduction
Course Introduction
Downloadable Files
Constructing Yield Curves
Yield Curves
Zero-Coupon Yield Curve
Interactive Exercise 1
Par Yield Curves
Coupon Yield Curves
Significance of Hypothetical Curve
Significance of Hypothetical Curve Continued
Interactive Exercise 2
Bootstrapping
Bootstrapping Example
Bootstrapping a Swap Curve
Bootstrapping Spot0X6
Bootstrapping Spot0X9-Spot0X12
Bootstrapping Exercise
Discount Factors
Discount Factors Continued
Forward Yield Curve
Proving Spot vs. Spot and Forward
Interactive Exercise 3
Using the Forward Curve to Value Derivatives
Value Derivatives
Interactive Exercise 4
Fitting Yield Curves and Cheap-Rich Analysis
Fitting
Purpose of Fitted Curve
Relative Value–Cheap/Rich Analysis
Relative Value–Cheap/Rich Analysis Continued
Cheap/Rich Reports Limitations
Interactive Exercise 5
Bond Futures and The Cheapest-to-deliver
Government Bond Futures Contract
Interactive Exercise 6
Delivery
Conversion Factor
Invoice Amount
Comparing Principal Invoice Amounts
Futures/Cash Basis
Interactive Exercise 7
Implied Repo Rate
Implied Repo Rate Example
Net Basis
Basis Optionality
Cheapest to Deliver Exercise
Qualified Assessment
Qualified Assessment
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This Course is Part of the Following Programs
Why stop here? Expand your skills and show your expertise with the professional.
All Capital Markets & Securities Analyst (CMSA)® Courses
Advanced Fixed Income is part of the Capital Markets & Securities Analyst (CMSA)®, which includes 41 courses.
Skills Learned
Trading strategies used in the finance and capital markets
Career Prep
Work in capital markets, whether on the buy-side or the sell-side
