Fixed Income Mathematics: Pricing and Valuation of Bonds

New York Institute of Finance

ITEM FIPR0408

08 Jul 2024 - 09 Jul 2024

09:00 AM - 04:30 PM

$1,549.00

23 Sep 2024 - 24 Sep 2024

09:00 AM - 04:00 PM

$1,549.00

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In-person (NY Campus)

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language

English

school

Professional

08 Jul 2024 - 09 Jul 2024

09:00 AM - 04:30 PM

$1,549.00

23 Sep 2024 - 24 Sep 2024

09:00 AM - 04:30 PM

$1,549.00

videocam

Virtual (Full-time)

update

2

language

English

school

Professional


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17

Fixed Income Mathematics: Pricing and Valuation of Bonds

Learn how to determine fair values, yields and risk measures for fixed income securities. The course emphasizes conceptual understanding, but maintains a level of rigor suitable for the development of an effective fixed income toolkit.

CPE Credits: 7

This course is a component of the Fixed Income Professional Certificate.

Prerequisite knowledge:

  • Intermediate MS Excel skills
  • Elementary differential calculus
  • Basic probablility and statistics
  • Basic familiarity with fixed income instruments

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Module 1: Essential Mathematics

  • Geometric series
  • Derivatives
  • Taylor series
  • Logarithmic and exponential functions
  • (Easy) integrals

Module 2: Basic Instruments

  • Zero coupon bonds
  • Annuities
  • Perpetuities
  • Coupon Bonds: Bullets and amortizers
  • Par coupon rates
  • Floating rate bonds

Module 3: Measures of Yield and Return

  • Discount rates
  • Yields
  • Interest rates
  • Rates of return: Expected, contractual and realized
  • Yield-to-maturity: What it does and does not mean

Module 1: Term Structures of Rates and Yields

  • Forward rates
  • Bootstrapping zeros
  • Desirable properties of term structures
  • Interpolation techniques
  • Splines
  • Yield curve fitting

Module 2: Measures of Risk

  • Taylor series and 'sensitivity' measures
  • Macaulay duration
  • Yield duration: Macualay and modified
  • Dollar duration
  • Key rate duration
  • Macaulay convexity
  • Yield convexity

Module 3: Elements of Fixed Income Portfolio Risk Management

  • Duration of a portfolio
  • Convexity of a portfolio
  • Immunization
  • Computing Value at Risk for fixed income portfolios

Module 4: Corporate Bonds

  • Credit risk
  • Inferring (risk-neutral) default probabilities from bond prices
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Fixed Income Mathematics: Pricing and Valuation of Bonds

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