Inflation Derivatives and Index Linked Bonds

3.3 bueno 3 opiniones
London Financial Studies
En New York (Estados Unidos)

3001-4000 €

Información importante

Tipología Short course
Lugar New york (Estados Unidos)
Duración 2 Days
Inicio 16/04/2018
  • Short course
  • New york (Estados Unidos)
  • Duración:
    2 Days
  • Inicio:

The market for inflation derivatives and other index-linked products is constantly evolving. This program 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. Seasonality and convexity when using these products is also analyzed.

More than half of the program 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?

- Understand the mechanics of index-linked bonds and inflation derivatives
- Gain clarity on the fundamental issues raised when inflation exposure is being managed
- Analyze relative value in the index-linked and nominal bond markets through asset swaps
- Understand the impact of seasonality on inflation swaps and related products
- Learn how to use inflation derivatives for trading and managing risk
- Understand the similarities and differences between options on interest rates and inflation
- Gain familiarity with embedded inflation options

¿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
16 abr 2018
New York
New York, Estados Unidos
Ver mapa
Inicio 16 abr 2018
New York
New York, Estados Unidos
Ver mapa


Valoración del curso
Lo recomiendan
Valoración del Centro

Opiniones sobre este curso

Former Student
Lo mejor: The course was excellent and very well taught. I recommend it.
A mejorar: .
Curso realizado: Octubre 2016
¿Recomendarías este centro?:
Former Student
Lo mejor: The course was informative and very helpful with relevant and detail examples.
A mejorar: Nothing.
Curso realizado: Octubre 2016
¿Recomendarías este centro?:
Former Student
Lo mejor: The course was excellent, also the training environment was perfect. I strongly recommend it.
A mejorar: Nothing.
Curso realizado: Octubre 2016
¿Recomendarías este centro?:

¿Qué aprendes en este curso?

Microsoft Excel
MS Excel
Inflation Derivatives
Deflation drivers
Inflation swaps


Day One

Introduction and Course Outline
The Building Blocks
  • Measures of inflation
  • Inflation and deflation drivers
  • Market participants
  • The mechanics of index-linked bonds
  • Variations in index-linked bond structures and embedded optionality
  • 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
  • Zero Coupon, Revenue, and Year on Year 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
  • Inflation Sensitivity IE01, DV01 convexity, and correlation
Workshop: Pricing and using zero coupon and revenue swaps with seasonality

Day Two

Inflation Derivatives in Use
  • Sensitivity measures applied to index-linked bonds
  • Asset swaps in general
  • Par and proceeds asset swaps with index-linked bonds
  • Residual swap risk
  • Inflation derivatives in public project financing (PFI structure)
  • Why zero coupon and year on year inflation are different
  • Forward inflation and convexity corrections
Workshop: Further uses of inflation swaps: risk and valuation of revenue swaps with seasonality

Inflation Options and Related Products
  • Inflation caps and floors
  • LPI embedded options and path dependency
  • Inflation volatility considerations
  • Applying standard interest rate option models to inflation?
  • 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