About the Event
More about Fixed Income: Bond Pricing and Interest Rate Derivatives London
Day one of this course will start with an overview of the bond market and how MiFID II will effect it whilst looking at bond quote conventions. The day will continue with a session on how to fit bond curves, calibrate yield curves and bootstrap a curve. The first day will finish with two sessions on pricing fixed bonds and floating rate bonds in a case study style.
Day two will start with pricing callable bonds and modelling Bermudian swaptions. There will be further sessions on convertible bond pricing and modelling including looking at the purpose of them and what happens when forced conversion occurs. Day two will end with two sessions on interest rate derivatives; pricing and modelling the volatility.