Inflation Derivatives and Index Linked Bonds

London Financial Studies
En London (Inglaterra) yNew York (Estados Unidos), Singapore (Singapur)


Información importante

Tipología Short course
Inicio En 3 sedes
Duración 2 Days
Inicio clases 02/10/2017
otras fechas

The market for inflation derivatives and other index linked products is growing rapidly. The programme covers the mechanics of the instruments, their valuation and how they can be used to take or hedge inflation exposure alone or embedded in other structures.

More than half of the programme is devoted to practical small group sessions. These intensive exercises include simulations using Microsoft Excel or other industry standard software. Participants will be able to take away worked examples including a number of Excel functions and macros.

This course is also available remotely via LFS Live.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Risk managers
Fund managers
Project finance and structured finance practitioners
Accountants, auditors, consultants, and anyone interested in the use and operation of index linked securities and their derivatives

Requisitos: Basic understanding of bonds and interest rate derivatives, intermediate maths and Excel skills.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
02 octubre 2017
34 Curlew Street, se12nd, London, Inglaterra
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A elegir
New York
New York, Estados Unidos
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A elegir
The Finexis Building, Singapore, Singapur
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Inicio 02 octubre 2017
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Inicio A elegir
New York
New York, Estados Unidos
Ver mapa
Inicio A elegir
The Finexis Building, Singapore, Singapur
Ver mapa

¿Qué aprendes en este curso?

Microsoft Excel
MS Excel
Inflation Derivatives
Deflation drivers
Inflation swaps


Day One

Introduction and Course Outline
The Building Blocks
  • The nature of inflation
  • Inflation and deflation drivers
  • Market participants
  • The mechanics of index linked bonds
  • Break even inflation from bonds
  • The limitations of break even inflation
  • Building an accurate inflation curve from bonds with B Spines and regression
Workshop: Building an accurate inflation curve from bonds

Introduction to Inflation Derivatives
  • Inflation futures
  • Zero coupon inflation swaps
  • Revenue inflation swaps
  • Inflation swap mechanics and the market
  • Building an inflation curve from swaps
  • X11 seasonality adjustments for pricing derivatives
  • Relationship between the market for inflation linked bonds and inflation derivatives
Workshop: Pricing and using zero coupon and revenue swaps with seasonality

Day Two

Inflation Derivatives in Use
  • Asset swaps
  • Par and proceeds asset swaps with index linked bonds
  • Inflation derivatives in public project financing (PFI structure)
  • Year on year inflation swaps
  • Why zero coupon and year on year inflation are different
  • Forward inflation and convexity corrections
Workshop: Further uses of inflation swaps

Inflation Options and Related Products
  • LPI and embedded options
  • Inflation caps and floors
  • Inflation volatility considerations
  • Index linked notes
  • Hybrid products with inflation protection
  • Inflation protection in retail products
Workshop: Embedded inflation options
Este curso está en español. Traducir al inglés