Bond Mathematics

This course explores and analyzes the mathematics of bond prices and yields as well as a variety of quantitative analytical methodologies. The course begins with an in-depth investigation of the industry conventions for calculating price and yield applied to plain vanilla bonds, including the exploration of implicit assumptions and interpretation of resulting numbers.

Subsequently, the course turns to a variety of tools used in the pricing, valuation and quantification of the risk of fixed income securities and portfolios. These tools are applied to a variety of other fixed income instruments: bonds with embedded options, mortgage-backed securities and interest rate futures.

08-Jul-2008 -- 08-Jul-2008New YorkUSD$1475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Tue Level: Intermediate
CPE Credits: 7.0

29-Jul-2008 -- 29-Jul-2008StamfordUSD$1475
NY Institute of Finance - Stamford, CT9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ William Addiss; ] Tue Level: Intermediate
CPE Credits: 7.0

16-Sep-2008 -- 16-Sep-2008New YorkUSD$1475
NY Institute of Finance - Downtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Tue Level: Intermediate
CPE Credits: 7.0

04-Nov-2008 -- 04-Nov-2008New YorkUSD$1475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Tue Level: Intermediate
CPE Credits: 7.0

18-Nov-2008 -- 18-Nov-2008StamfordUSD$1475
NY Institute of Finance - Stamford, CT9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ NYIF Instructor; ] Tue Level: Intermediate
CPE Credits: 7.0

Portfolio managers, institutional sales staff, and research analysts, back office professionals, financial analysts, cash/money managers, auditors, and compliance staff.
No advance preparation required.
Students will be able to:
  • Calculate price, yield and accrued interest following industry conventions
  • Discuss yield to maturity as a measure of price versus rate of return
  • Identify by security appropriate interest compounding and day count conventions
  • Describe the various types of duration (Macualey's, modified, dollar, effective), and their application in quantifying and managing interest rate risk
Fixed Income Markets I or equivalent knowledge. Financial calculator required.
"Instructor had great knowledge on the subject matter"
"Teacher's knowledge and clarity"
"Very detailed and covered a broad range of topics"
"Instructor's knowledge. Relation of subject matter to real world."
  • Fixed Income Markets II - Day
  • Fixed Income Markets II - Evening
  • Yield Curve Analysis
    • Fixed Income Math

    Fundamental Concepts in Fixed Income Mathematics

    • Interest rates: yields, prices, discount rates and rates of return
    • Simple versus compound interest and compounding conventions
    • Time value of money: present value and future value

    Fixed Income Price, Yield and Interest Conventions

    • Pricing of coupon and zero coupon bonds and discount securities
    • Accrued interest calculations and day count conventions
    • Yields, nominal, current, to maturity and to call: calculation and interpretation

    Fixed Income Analytics

    • Total return (horizon) analysis
    • Types of yield curves
    • Spot rates and spot rate curves: determination and applications
    • Forward rates: determination, interpretation and applications
    • The Fed, the yield curve and the bond market

    Bond Price Volatility

    • Duration as a measure of interest rate risk
    • Types of duration (modified, effective and dollar) and their application
    • Duration and convexity of non callable bonds
    • Duration and convexity of callable bonds

    Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process, and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

    Lunch included for all students taking day classes.