Quality Seal Emagister EMAGISTER CUM LAUDE

Inflation Derivatives and Index Linked Bonds

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

£ 2.490 - (2.926 )
+ IVA

Información importante

Descripción

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.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Traders
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
27 marzo 2017
London
34 Curlew Street, se12nd, London, Inglaterra
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New York
New York, Estados Unidos
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Singapore
The Finexis Building, Singapore, Singapur
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¿Qué aprendes en este curso?

Excel
Market
Swaps
Options
Microsoft Excel
Mechanics
Accountants
Derivatives
MS Excel
auditors
Mechanics
Inflation Derivatives
Deflation drivers
LPI
Hybrid
Inflation swaps

Temario

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