The Bond Market and Bond Futures
In-house
Description
This course gives a detailed examination of the government bond market focusing on bond futures and the relationship with bond repos and the swap market.
The course will start with explaining types of bonds and existing market terminology associated with an underlying market. Delegates will be taken through the latest techniques for bond pricing and learn to analyse factors affecting price sensitivity. It will closely examine the construction process for bond futures contracts and the use of this instrument.
Participants will also learn how bond futures and swaps are valued and priced and explore types of repo transactions and swaps trades.
This course will equip you with invaluable knowledge about current bond market and skills to use this instrument in your daily investment strategy.
Course Level: Intermediate to Advanced
You may be interested in our public programme Repo Market course in London or Understanding Derivatives - Managing FX and Interest Rates Exposures.
Main Topics Covered During This Training
- Types of bonds
- Examining bond terminolgy
- Latest techniques for bond pricing
- Analysing different bond's price sensitivities
- Constructing bond futures contracts
- Uses of bond futures
- Pricing methods for government bond futures
- Types and uses of bond repos
- Analysing the relationship with repo and swap market
- Review of repo transactions and swaps trades
- Calculating a swap price with futures
Who Should Attend
From Banks, Corporates and Financial Institutions Professionals from:
- Treasury Departments
- Corporate Treasury
- Analysts
- Fund and Investment Managers
- Risk Managers
- Bond Sales
- Trading Desks
- Government Agencies
Teaching Method
This is a very interactive course with many exercises, classroom discussions and case studies.
You will benefit from comprehensive take away course documentation.
In order to help us establish your individual and business concerns, you will be asked to fill pre-course questionnaire.
Because of the nature of the course the number of places is limited and will be filled on first come, first accepted basis. We advise to book in advance in order to avoid disappointment.
Course Level: Intermediate to Advanced
A Two Day Programme.
Day 1: The Bond Market and Bond Pricing
Day 2: Bond Futures, Repos and Swaps
Day 1
BOND MARKET
This section is designed to explain the different types of bonds and all the jargon and terminology associated with the underlying market.
Bond types
- Basic bond definition
- Government and corporate bonds
- Fixed and floating coupons
Zero coupon, discount bonds
- Terminology
- Yield, maturity, value
- Dirty and clean price
BOND PRICING AND SENSITIVITY MEASURES
The following section looks at how a bond’s price is calculated based upon latest techniques.
Pricing bonds
- Yield to maturity
- Zero coupon curve
- Discount rates, discount functions
Bond price sensitivities
- Price yield relationship
- Duration, modified duration
- PV01 (BPV or risk)
Day 2
BOND FUTURES, REPOS AND SWAPS
This section looks at how bond futures contracts are constructed and their different applications and relationship with the underlying market.
Bond futures contracts
- Swapnote contract specification
- Contract definition
- Invoice amount formula
- Price factors
- Defining the cheapest to deliver
Pricing government bond futures
- Cost of carry relationship
- Basis types
- Cash and carry arbitrage
- Implied repo rate and CTD
Uses of bond futures
- Hedging and spread trading
Bond repos
- Types of repos
- Users and uses
Relationship with the repo and swap market
- Review repo transactions and swaps trades
- Calculating a swap price with futures
Paul North
Paul has over 20 years experience of working and teaching in the financial and derivatives industry. Paul joined the London International Financial Futures and Options Exchange (LIFFE) in 1988, spending several years on the exchange trading floor before transferring to LIFFE’s Business Development Department.
During his time at LIFFE, Paul worked in the fields of broker relations, product research and development, marketing, market automation and education. Paul was Head of Education at LIFFE, before leaving in Dec 1998 to pursue a freelance career in financial education and consultancy.
Paul is also a qualified teacher and has extensive speaking experience both in the UK and abroad, covering all the major aspects of financial markets. Paul has taught delegates from virtually all of the worlds leading investment banks, funds and trading houses. The list of clients includes JP Morgan, Goldman Sachs, Deutsche Bank, Barclays Capital, Morgan Stanley and Merrill Lynch among others.
