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Inflation Derivatives and Index-Linked Bonds
The market for inflation derivatives and other index-linked products is constantly evolving. This 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. Seasonality and convexity when using these products is also analyzed.
More than half of the programme 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.
Recommend to a ColleagueThis course is also available in New York Time Zone and Singapore Time Zone
- 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
- Understand the mechanics of index-linked bonds and inflation derivatives
- Gain clarity on the fundamental issues raised when inflation exposure is being managed
- Analyze relative value in the index-linked and nominal bond markets through asset swaps
- Understand the impact of seasonality on inflation swaps and related products
- Learn how to use inflation derivatives for trading and managing risk
- Understand the similarities and differences between options on interest rates and inflation
- Gain familiarity with embedded inflation options
Basic understanding of bonds and interest rate derivatives, intermediate maths and Excel skills.
Preferably, delegates should have taken the LFS Interest Rate Derivatives and Swaps course or be completely familiar with the details of what is covered in that programme.
Dr David Cox has wide practical experience of the financial markets and an international reputation as a teacher of high-level short courses. His career includes ten years in banking, primarily with Bank of America Capital Markets. After leaving the City he joined the staff of London Business School, where he set up the financial markets seminar programme, did research and maintained an active external teaching and consultancy practice.
Dr Cox is the founding director of London Financial Studies and specializes in quantitative techniques, rates, inflation, risk management and derivative products. He was on the executive education faculty of ICMB in Geneva (now Swiss Finance Institute) for fourteen years and continues to run programmes for professionals and their clients at leading financial institutions as well as the US and UK governments.
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a Brochure with full details for Inflation Derivatives and Index-Linked Bonds
01-Sep-2017 - Libor: the long goodbye - globalriskregulator.com
The Building Blocks
- Measures of inflation
- Inflation and deflation drivers
- Market participants
- The mechanics of index-linked bonds
- Variations in index-linked bond structures and embedded optionality
- Break-even inflation from bonds
- The limitations of break-even inflation
- Building an accurate inflation curve from bonds with B-Spines and regression
Workshop: Building an accurate inflation curve from bonds
Introduction to Inflation Derivatives
- Zero Coupon, Revenue and Year on Year 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
- Inflation Sensitivity IE01, DV01 convexity, and correlation
Workshop: Pricing and using zero coupon and revenue swaps with seasonality
Inflation Derivatives in Use
- Sensitivity measures applied to index-linked bonds
- Asset swaps in general
- Par and proceeds asset swaps with index-linked bonds
- Residual swap risk
- Inflation derivatives in public project financing (PFI structure)
- Why zero coupon and year on year inflation are different
- Forward inflation and convexity corrections
Workshop: Further uses of inflation swaps: risk and valuation of revenue swaps with seasonality
Inflation Options and Related Products
- Inflation caps and floors
- LPI embedded options and path dependency
- Inflation volatility considerations
- Applying standard interest rate option models to inflation?
- Index-linked notes
- Hybrid products with inflation protection
- Inflation protection in retail products
Workshop: Embedded inflation options
I would summarize my experience with the "Inflation Derivatives and Index-Linked Bonds" course as a relatively short but productive expedition into the world of inflation derivatives. The course emphasizes the intuition behind different concepts with exercises demonstrating it. It covers all specifics of modeling the inflation to price inflation derivatives including options, ending with the review of SABR model.
(Valuations - The World Bank)
A really concise course on the inflation linked derivatives market. We covered a lot over a short space of time and it was all supported by interesting practical exercises.
(Head of Debit Origination, Investments - Pension Insurance Corporation)
Excellent course, well delivered in a perfect training environment. Recommended.
(Senior Dealer, Strategic Trading - Allied Irish Banks )
A very informative and helpful course with comprehensive detail and relevant examples delivered with impeccable style by David Cox.
(Head of XVA Traded Risk - Allied Irish Banks )
Excellent course. Well taught.
(Vice President - Santander UK)
I would highly recommend attending one of LFS's courses, irrespective of your level. Their complete breakdown makes the courses applicable to both beginners and advanced professionals.
(Junior Market Risk Analyst - M&G)
Great atmosphere to ask questions on and learn about implementing theoretical subjects in a practical framework.
(Portfolio Manager - AEGON)
Excellent course and instructor. Well worth the time (which is a high bar for a 2 day class). Hope to take another course with LFS in the future.
(Financial Economic Analyst - US Regulator)
A great course. I would recommend this to anyone who needs to understand Inflation Derivatives.
(Risk Manager - Mizuho Corporate Bank)
Excellent inflation course, would certainly recommend it. Very well paced, well structured and class size was small enough for it to be very interactive. David Cox is an excellent lecturer and has a good way of explaining complex ideas.
(Risk Management - Svenska Handelsbanken)
I am very happy with the inflation derivatives course I attended. Perfect match between theory and practical use of these products. Also very nice course venue.
(FX & Interest Rate Senior Sales - DnB NOR)
A colleague recommended LFS courses as being superior to other firms.
(IRD Sales - RBS)
Appealing knowledge and presentation. One of the few courses that put theory into practice; hands-on.
(Senior Risk Analyst - )
Very good teacher, small groups and good balance of theory and examples.
(Asset Manager - )
Course Details
This course is also available in New York Time Zone and Singapore Time Zone
- To run this course at your organisation, contact us.
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