Bond Trading

New York Institute of Finance


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Bond Trading

This course is no longer being offered. It has been replaced with the following:

Learn now pay later with

To make it even easier to learn, you can finance your program through Affirm.

Loans offered through Affirm are available in the U.S. and Canada.

  • Easy monthly payments

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  • Flexible payments

    Pay your monthly bill using a bank transfer, check, or debit card.

Module 1: Introduction

  • Why bonds?
  • Fundamental characteristics/ Features of bonds
  • Risk and return characteristics; comparison to other asset classes
  • Bond types:
  • Government and Agency bonds
  • Corporate bonds
  • Domestic and offshore bonds
  • Bond Structures:
  • Fixed and floating rate bonds
  • Option embedded bonds (callable, puttable, convertible)
  • Asset backed securities (RMBS, CMBS, CDOs)
  • Structured Products

Module 2: Bond Pricing and Measures of Return

  • IRR-Discounted cash flow analysis
  • Yield to Maturity (YTM) as a measure of return
  • Shortcomings of YTM as a standard measure of return
  • Alternative measures of return:
  • Current Yield/Nominal Yield
  • Total return, yield to call/put/worst
  • Portfolio return. Estimation of bond portfolio yield

Module 3: Bond risk characteristics

  • Measures of interest rate risk
  • Duration, DV01 – measures of price risk
  • Interest Rate Risk: Differentiating price risk, re-investment risk, rollover risk
  • Duration properties of fixed and floating rate bonds

Module 4: Trading Applications of duration:

  • Measuring position and portfolio risk
  • Hedging – calculating hedge ratios
  • Calculation of position ratios for relative value strategies

Module 5: Convexity

  • Calculating and interpreting convexity
  • Estimating the value of convexity and the relationship to interest rate volatility
  • Positive and negative convexity: impact on bond values and yields
  • Convexity in active portfolio management
  • Calculating portfolio convexity (absolute and benchmark relative)

Module 1: Yield Curves – Modelling, Analysis and Forecasting

  • Understanding and interpreting yield curves
  • Yield curve theories
  • The relationship of yield curves to the global macro-economic environment:
  • Economic activity
  • Fiscal and monetary policy
  • Interpretation and forecasting yield curve movements:
  • Parallel yield curve shifts
  • Non-parallel curve shifts (steepening/flattening/barbell)
  • Econometric forecasting models
  • Benchmark yield curves
  • Swap and government (risk-free) yield curves
  • Yield curve modelling and construction
  • Constructing spot rate (zero coupon) yield curves

Module 2: Active vs Passive Management: Fixed Income Benchmark Indices

  • Fixed income market benchmarks
  • Benchmark providers
  • Benchmark types:
  • Government and Sovereign bond indices
  • Corporate indices
  • ABS/MBS indices
  • Emerging market bond indices
  • Basics of Index construction (weighting/re-investment and index changes)
  • Alpha – generating active (excess) returns:
  • The active management decision set for fixed income portfolios:
  • Interest rates
  • Yield curve
  • Cross country
  • Credit
  • Sector analysis/Rotation

Module 3: Current Trading Technology – Executing the Trade

  • “Buyside” sponsored trading Platforms
  • Characteristics of convertible
  • Brokers Market
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