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FINANCIAL MARKET COURSES

Yield Curves

Courses In This Course

The yield curve is a key concept of the money, bond, and interest rate derivatives markets. It plots the yields of similar quality instruments against their maturities, and shows whether short-term interest rates are higher than long-term rates. A yield curve is constructed by looking at observable market rates and performing any necessary transformations. A sound understanding of yield curve construction and knowledge of forwards, as described in this course, provides the basis for interest rate derivatives pricing.

Objectives

In this course, you will explore:

The bootstrapping method for building a yield curve

The fundamentals of FRAs

The settlement and valuation of FRAs

The pricing of FRAs from both the cash and futures market

The use of futures to build a yield curve

Prerequisite Knowledge

An understanding of the Introduction to Derivatives course is required.

Learner Profile

This course is designed for:

New or recent recruits to banking and financial organizations

Dealers/traders

Portfolio managers

Treasury department staff

Sales and marketing executives

Finance and accounting staff

Compliance and regulatory staff

  •    BUILDING A YIELD CURVE

    Overview

    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.

    Course Duration

    60 mins

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    Prerequisite Knowledge

    Interest Calculations

    Time Value of Money

  •    FUTURES - BUILDING A YIELD CURVE

       (EVEN PERIODS)

    Overview

    A swap is a series of forward contracts. This course will illustrate how, based on this concept, it is possible to generate swap rates using futures prices. The course assumes that we are dealing with even periods (an exact number of months). For example, we assume exactly three months between a spot date and a nearby futures contract date.

    Course Duration

    60 mins

    Prerequisite Knowledge

    Interest Calculations

    Time Value of Money

    Building a Yield Curve

    Forwards & Futures – An Introduction

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  •    FUTURES - BUILDING A YIELD CURVE

       (ACTUAL DATES)

    Overview

    This course extends the concepts described in the Futures – Building a Yield Curve (Even Periods) course and will enable you to confidently generate interest rate swap rates using a strip of futures, whether for even periods or actual dates.

    Course Duration

    60 mins

    Prerequisite Knowledge

    Futures – Building a Yield Curve (Even Periods)

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