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12 - 16 May 2025, Live in Central London
8 - 12 September 2025, Live in Central London
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Government Bond Strips
- Flat yield curve versus positive yield curve
- Tigers, Lions, Cats and Dogs
- Separate Trading of Registered Income and Principal of US government Securities (STRIPS)
- Principal only (PO)
- Interest only (IO)
Bond Pricing Revisited
- Mathematical Refresher
- Zero-Coupon Pricing applied
- Bond Stripping
- Bootstrapping
Term-structure of Interest Rates Part 1
- Yield Curve
- Par Curve
- Zero Curve
- Forward Curve
Case Study
CASE STUDY:
Constructing Yield Curves for Bond Markets
- Boot-strapping and Zero-Coupon Pricing
- Problems
- Applications
Credit Curves
- Sovereign Credit Curves
- Municipality Credit Curves
- Supranational Credit Curves
- Credit Curves for Banks and Financial Institutions
- Corporate Credit Curves
- Swap Curves
- CDS Curves
Introduction Swaps
- Funding a Bond with Deposits
- The Swap Mechanism
- Definitions
Types of Swaps
- Coupon Swaps
- Basis Swaps
- Exotic Swaps
- Credit Default Swaps
- Interest Rate versus Currency Swaps
- Variations on Currency Swaps
- Overnight-Index Swaps
Uses of Swaps
- Speculation
- Hedging
- Asset and Liability Management
- Market Making
- Risk Management
- Asset Swaps and Synthetics
- Liability Swaps and Debt Origination Arbitrage
- Hedging a Bond Issue with CDS
- Using CDS’s to improve performance
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