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FINANCIAL MARKET COURSES

Building a Yield Curve

The yield curve is the backbone of the money, bond and interest rate derivative markets. It provides a benchmark against which all other interest rates are measured.

 

This course outlines the process of bootstrapping a zero-coupon yield curve from par coupon rates and explains how forward rates can be derived from the spot yield curve.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Differentiate between a par-coupon yield curve and a zero-coupon yield curve

    Bootstrap a zero-coupon yield curve using deposit and swap rates

    Plot par-coupon and zero-coupon forward yield curves

  • COURSE OUTLINE

    Topic 1: Types of Yield Curve

    Par-Coupon & Zero-Coupon Yield Curves

    o Par-Coupon Yield Curves

    o Weaknesses of Par-Coupon Yield Curves

    o Zero-Coupon Yield Curves

    Positive & Negative Yield Curves

    Topic 2: Bootstrapping Zero-Coupon Rates

    Stages of Bootstrapping

    o Building a Par-Coupon Curve-Deposit Rates

    o Building a Par-Coupon Curve- Par Swap Rates

    o Calculating Zero-Coupon Discount Factors

    o Bootstrapping Zero-Coupon Rates

    Comparing Zero-Coupon & Par-Coupon Curves

    Topic 3: Forward Yield Curve

    Types of Forward Yield Curves

    Forward Yield Curve – Same Rates at a Series of Forward Dates

    Forward Yield Curve –Entire Curve at a Series of Forward Dates

    Forward Periods

    Calculating Zero-Coupon Forward Rates

    Calculating Par-Coupon Forward Rates

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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