Using Inflation Derivatives in Today s Market
Training
Provided by London Financial Studies
Course Outline
The market for inflation derivatives and other index-linked products is growing rapidly. The programme covers the mechanics of the instruments, their valuation and how they can be used to take or hedge inflation exposure alone or embedded in other structures.
Traders, risk managers, fund managers, project finance and structured finance practitioners, accountants, auditors, consultants and anyone interested in the use and operation of index linked securities and their derivatives.More than half of the seminar is devoted to practical small group sessions. These intensive exercises include simulations using Microsoft Excel or other industry standard software. Participants will be able to take away worked examples including a number of Excel functions and macros.
Who the Course is for
Traders, risk managers, fund managers, project finance and structured finance practitioners, accountants, auditors, consultants and anyone interested in the use and operation of index linked securities and their derivatives.
Prior Knowledge
Basic understanding of bonds and interest rate derivatives, intermediate maths and Excel skills
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Using Inflation Derivatives in Today s Market
Day One
Introduction and Course Outline
The Building Blocks
* The nature of inflation
* Inflation and deflation drivers
* Market participants
* The mechanics of index linked bonds
* Break-even inflation from bonds
* The limitations of break-even inflation
* Building an accurate inflation curve from bonds with B-Spines and regression
Workshop: Estimating the inflation term structure from bonds
Introduction to Inflation Derivatives
* Inflation futures
* Zero coupon inflation swaps
* Revenue inflation swaps
* Inflation swap mechanics and the market
* Building an inflation curve from swaps
* X11 seasonality adjustments for pricing derivatives
* Relationship between the market for inflation linked bonds and inflation derivatives
Workshop: Zero coupon and revenue swaps with seasonality
Day Two
Inflation Derivatives in Use
* Year on year inflation swaps
* Why zero coupon and year on year inflation are different
* Forward inflation and convexity corrections
* Index linked asset swaps
* Par and proceeds asset swaps with index linked bonds
* Public project financing example (PFI structure)
Workshop: Using inflation swaps
Inflation Options and Related Products
* Inflation caps and floors
* Inflation volatility considerations
* Inflation protection in retail products
* Index linked guaranteed performance bonds
* Examples of hybrid products with inflation protection
Workshop: Embedded inflation options
Introduction and Course Outline
The Building Blocks
* The nature of inflation
* Inflation and deflation drivers
* Market participants
* The mechanics of index linked bonds
* Break-even inflation from bonds
* The limitations of break-even inflation
* Building an accurate inflation curve from bonds with B-Spines and regression
Workshop: Estimating the inflation term structure from bonds
Introduction to Inflation Derivatives
* Inflation futures
* Zero coupon inflation swaps
* Revenue inflation swaps
* Inflation swap mechanics and the market
* Building an inflation curve from swaps
* X11 seasonality adjustments for pricing derivatives
* Relationship between the market for inflation linked bonds and inflation derivatives
Workshop: Zero coupon and revenue swaps with seasonality
Day Two
Inflation Derivatives in Use
* Year on year inflation swaps
* Why zero coupon and year on year inflation are different
* Forward inflation and convexity corrections
* Index linked asset swaps
* Par and proceeds asset swaps with index linked bonds
* Public project financing example (PFI structure)
Workshop: Using inflation swaps
Inflation Options and Related Products
* Inflation caps and floors
* Inflation volatility considerations
* Inflation protection in retail products
* Index linked guaranteed performance bonds
* Examples of hybrid products with inflation protection
Workshop: Embedded inflation options
About The Training Provider: London Financial Studies
London Financial Studies - London Financial Studies is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
Our business is driven by a distinct philosophy and clear values:
* Practical Application
* Intellectual Clarity
* Personal Approach
*...
