Fixed Income: Bond Pricing and Interest Rate Derivatives London
This course will deliver teaching on how to fit and bootstrap a curve, price a variety of bonds and model Bermudian swaptions and interest rate derivative volatility for Quant professionals.
Fixed Income:
Bond Pricing and Interest Rate Derivatives
London, 28-29 November 2018
This course will give delegates knowledge of how to price fixed bonds, floating rate bonds, callable bonds and interest rate derivatives. It will look at how to price and manage conversions and model them. Furthermore, challenges surrounding bond curves such as, fitting, calibrating a yield curve and bootstrapping a curve will be covered. Teaching on factors affecting the pricing of Bermudian swaptions and modelling them whilst ending with modelling interest rate derivative volatility will close the course.
What will you learn?
To fit a bond curve with Nelson- Siegel and Svensson approaches
To price fixed, floating rate and callable bonds
Pricing and modelling for Bermudian swaptions
How bond optionality is modelled
Calibration of interest rate derivatives to swaptions, cap and floors
How the volatility smile modelling of interest rate derivatives effects the prices provided by each model
Who Should Attend?
Relevant departments may include but are not limited to:
You are brilliant. My team are outsourcing most if not all of our training to you at the moment.
Mizuho
One of the best seminars I have attended. I liked the way actual experiences with products discussed were integrated into the presentations
BNY Mellon
Very dynamic. Nice to have various different speakers. Very good to have full-time presence from Risk Training logistics staff. Speakers were all very technical and worthwhile
European Central Bank
Excellent industry history and in-depth knowledge
Barclays
Knowledgeable speakers and thoughtful presentations
Accenture
The speakers were very good and the topic was very interesting to me
