Event Agenda

View the full agenda for Fixed Income training

Speakers Include:

  • Emiliano Papa, Director and Head of Interest Rates, FX, and Hybrids, Deutsche Bank
  • David Saab, Managing Director, Aperture Investors 
  • Suman Datta, Head Portfolio Quantitative Research, Lloyds Banking Group
  • Dr Jan De Spiegeleer, Co-Founder, RiskConcile
  • Rutger Olthof, Principal Trader, NN Investment Partners
  • Valérian Branco, Co-Founder, GOLDBAUM
  • Carlos Martin, FRM MSc BBA, Risk Director, RBS NatWest Markets

Day 1 - Wednesday 28th November

08:30

Registration and Refreshments

09:00

Overview of Bond Market

  • MiFID II and what that means for bonds
  • Bond and full bond quotes
  • Spreads – levels of liquidity
  • Quotes based on yield – what is yield to maturity?
  • Bond market quote conventions

Rutger Olthof, Principal Trader, NN Investment Partners

10:30

Morning Break

11:00

Bond Curves

  • How to fit a bond curve
  • Calibrating a yield curve and estimating value-at-risk for fixed income portfolios
  • Nelson- Siegel approach Vs Svensson adapted approach
  • Fixing the shape parameter - Problems in estimating the Nelson-Siegel/ Svensson model
  • Bootstrapping a curve

Suman Datta, Head Portfolio Quantitative Research, Lloyds Banking Group

12:30

Lunch

13:30

Pricing Fixed Bonds

  • Bond calculation types
  • Determining appropriate interest rates
  • Pricing a fixed coupon
  • Notation, credit risk and collateral

David Saab, Managing Director, Aperture Investors 

15:00

Afternoon break

15:30

Pricing Floating Rate Bonds – Case study

  • Considering credit concerns
  • Determining the floating rate
  • Using Libor to determine floating payments
  • Market convexity adjustments
  • Valuation

Carlos Martin, FRM MSc BBA, Risk Director, RBS NatWest Markets

17:00

End of Day One

Day 2 - Thursday 29th November

08:30

Morning Refreshments

09:00

Callable Bonds and Bermudian Swaptions

  • Pricing callable bonds - Volatility model
  • Hedging callable bonds
  • Factors affecting the pricing of Bermudian Swaptions
  • Choosing the right model for Bermudian Swaptions
  • Calibration choices

Valérian Branco, Co-Founder, GOLDBAUM

10:30

Morning Break

11:00

Convertible Bond Pricing and Modelling – Case study

  • Purpose of convertible bonds
  • Equity price, maturity, coupon, volatility and spread
  • Binomial Models
  • Multi-factor Monte Carlo and Longstaff-Schwartz models
  • Conversion ratio
  • Forced conversion
  • Firm value and equity models

Dr Jan De Spiegeleer, Co-Founder, RiskConcile

12:30

Lunch

13:30

Pricing Interest Rate Derivatives

  • Fundamental risk-neutral pricing framework and banks’ unsecured funding rates
  • Introduction to CSA funding options
  • Yield curve construction
  • Convexity and its effects – zero coupon and unsecured swaps

Emiliano Papa, Director and Head of Interest Rates, FX, and Hybrids, Deutsche Bank

15:00

Afternoon Break

15:30

Interest Rate Derivative Volatility Modelling

  • OTC IR options: Caps, swaptions
  • Volatility smile modelling
    • Local volatility
    • Stochastic volatility
  • SABR – the workhorse of IR options modelling

17:00

End of Course