ACF Academy
Markets Training Training
 Markets Training
Targeted Audience:
 Anyone working in the fixed income market.
CPE Credits:
 7 hours
Course Level:
Date  DurationCostVenueRegister
14 Aug 2018  1 day£975.00London
17 Oct 2018  1 day£975.00London

Bond Math

The principal objectives of this intensive one-day seminar are:
  For delegates to become completely familiar with the concepts of bond maths.
  For delegates to be completely comfortable in applying these concepts in practice.
  To explain the theory underlying the pricing and valuation of fixed income and related products.
  To consolidate delegates’ understanding by providing first-hand experience of each area through interactive workshops, case studies, intensive simulations, and powerful computer analytics – using the HP17BII calculator, and ACF’s Global Trader system.

In our experience, many of those working in the financial markets are ill-at-ease with the mathematics underlying the products they are handling, and unsure how to apply even basic concepts like discounting, compounding, and present-value methods. Even if people are working with these products regularly, they may be uncomfortable about the way in which prices are derived, how sensitive these prices are to market forces, and how they should properly deal with variations to standard products.

After attending this first-class seminar, delegates will have mastered the concepts, theory, and practices of bond mathematics, be confident in pricing and valuing a diverse range of fixed income and related financial products, and understand exactly what makes these products tick.

Course Outline
 Time Value of Money
Using a financial calculator and RPN
Time value of money
Present and future values
Interest and discount factors
Simple vs. compound interest
Discounting and compounding
Discounted cash flows
Net present value
Internal rate of return
Partial interest periods
Discrete vs. continuous compounding
Nominal vs. effective interest yields
TVM workshop
 Understanding the Yield Curve
Definition of the yield curve
The normal yield curve
Liquidity and expectations hypotheses
Up and downward sloping yield curves
Yield curve strategies and plays
Riding and trading the yield curve
 Market Mathematics: Money Market Instruments
Discount vs. coupon securities
Pricing discount instruments (e.g. bills, BAs, CP)
Discount quotations
Add-on yield quotations
360- and 365-day bases
Pricing interest-bearing instruments
Money-market and bond-equivalent yields
Frequency of compounding
Compound effective yield
Holding-period return
Money-market workshop
 Market Mathematics: Fixed Income Securities
Pricing coupon securities
Price and yield
Gross and net redemption yields
Day-count conventions
Accrued income
Clean and dirty prices
Current yield vs. yield-to-maturity
Re-investment of coupons
Holding-period return
Price sensitivity concepts
Duration, volatility, and convexity
Calculating duration and convexity
Modified duration
Using duration to measure bond price sensitivity
Applying convexity for large yield shifts
Using duration to manage investment returns within a given horizon
Duration and convexity of a bond portfolio
Characteristics of bullet and barbell portfolios
Using duration to design portfolio hedges
Fixed income workshop
 Market Mathematics: Corporate Bonds
Corporate bonds
Bond rating and rating agencies
Corporate bond spreads
High-yield bonds
Sinking funds and other provisions
Bonds with embedded options
Floating rate notes (FRNs)
Corporate bonds workshop


NB All practical sessions are highlighted like this:
means a Workshop or Simulation
means a Case study


"Very interesting material – excellent instructor."

– Jason S.