Inflation Derivatives & Index Linked Bonds

Description

Overview

A 1-day course on inflation-linked bonds and derivatives, focusing on the UK market in particular.

We examine how inflation is defined and quantified, the choice of index (RPI vs. CPI), and the most common cash flow structures for index-linked securities.

We look in detail at Index-linked Gilts, distinguishing between the old-style and new-style quotation conventions, and how to calculate the implied breakeven rate.

Corporate bond market in the UK, and in particular the role of LPI in driving pension fund activity.

Inflation swaps and other derivatives, looking at the mechanics, applications and pricing of inflation swaps and caps/floors.

The convexity adjustment for Y-o-Y swaps is derived intuitively.

Who the course is for

Front-office sales

product control

research

Traders

Risk managers

Fund managers

Project finance and structured finance practitioners

Accountants, auditors, consultants

Course Content

To learn more about the day by day course content please request a brochure.

To learn more about schedule, pricing & delivery options speak to a course specialist now