Fixed Income Simulation - Bonds, Swaps & Credit
This course has been customised to meet the requirements of various market practitioners in the African and International fixed income markets. .
The emphasis of this course to guide delegates through the make-up of local and international cash and fixed income derivatives, with an eye to constructing structured products for various client groups. A cash bond typology is presented, followed by various pricing conventions followed by different global markets. A linchpin of the course is to direct delegates towards the risk metrics shared by all fixed income products, namely, duration, DV01 and convexity. We introduces vanilla interest rate derivatives, (primarily interest rate and basis swaps), which are presented in a relatively simple and intuitive manner, before progressing to more exotic rates products, such as Capped FRNs, Reverse Floaters and CMS Products. The facilitator also deals with interest rate option-related products such as swaptions, caps and floors, callable, convertible and contingent bonds. Market Risk and Counterparty Credit Risk issues and pricing influences are presented as factors that are an essential must for interbank traders, derivatives sales and structuring units, CVA traders and balance sheet managers. Each module’s material is reinforced by a period devoted to the simulation of pricing and managing individual products, as well as portfolios of rates products. Module Four consolidates what you’ve learned so far in practical simulation exercises. .