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Bond Markets & Yield Curve Analytics - Asia Training Course

This training course guides you through present yields and market conditions, complex yield curve mathematics, modelling yields and distributions of rates and more.

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Bond Markets Course Overview

Do you deal with bonds, fixed income, money market intruments and other yield products in your job?

If so, you may be concerned with the following issues:

How do I effectively create new yield products?
How do I model the yields of my products?
How do I model and value my bond products?

You will be able to answer those questions and more within three days in this workshop.

Have a question? Email us at:

or call us at: (+852) 2273-4393

Bond Markets & Yield curve Analytics Training Course Agenda

Module 1: Present Yields and Market Conditions

Overview of various international and important local Asian yield curves, using relevant Bloomberg screens
Definitions of various types of yield curves including cash flow pattern (e.g., current coupon v. zero coupon) cash flow timing (e.g., spot v. forward), and underlying instrument (e.g., government bonds, corporate bonds, high yield bonds, swaps, etc.)
Definitions and examples of benchmark and “on-the-run” government curves, using relevant Bloomberg screens
Finding and interpreting yields on Bloomberg WB, YA, and YAS pages
Determining generic benchmark yields using Bloomberg functions GT, FMC, and other screens
Measuring the steepness of yield curves, using Bloomberg HS and other techniques
Short history of the jumps and twists of interest rates in major currencies and how this history has set the present stage for expected changes
Review of monetary policies and the actions of major market regulators around the world that are impacting yields
Comparison and contrast of recent events and trends – and the implications of these – in various yield curves

Module 2: Yield Curve Mathematics

Calculating yield curves as internal rates of return of scheduled bond cash flows, using the Excel function =IRR
Review and practice using the Excel function=Yield
Yield curve conversions for variations in cash flows (e.g., annual coupons, semi-annual coupons, zero coupons, etc.)
Explanation of various types of yield curve interpolation, including linear, log exponential, and cubic spline techniques, using Excel practice problems
Constructing and interpolating par and spot yield curves
Using various types of interpolation and extrapolation techniques for completing the yield curve
Bootstrapping zero coupon discount factors from spot yield curves, using Excel and Bloomberg
Converting zero coupon discount factors into zero coupon rates (and rates into factors), using Excel
Calculating implied forward rates from spot yield curves, using Excel and Bloomberg
Discussion of apparent historical biases embedded in yield spot and forward curves and the potential impact of these biases on the ability to predict “expected” rates in the future

Module 3: Modeling Yields and Distributions

Overview of models that capture changes in interest rates and yield term structures
Expectations for yield movements in a no-arbitrage or risk-neutral world compared to real-world probabilities
Use of traditional drift and shock factors in interest rate modeling
Review of important statistical concepts and distributions necessary to understand interest rate risks and interest rate modeling, using Excel exercises
Interpreting important moments (including the mean, variance, standard deviation, and skewness) in probability distributions for interest rates
Understanding statistical tools in the analyses of interest rate movements, using Excel exercises and Bloomberg screens
Defining, calculating, interpreting, and using volatility estimates of interest rates
Potential impact of mean reversion and jump diffusion factors on yield movements
Building no-arbitrage binomial trees to develop estimates of probability distributions for yields in the future, using Excel exercises
Using Monte Carlo simulations to develop estimates of probability distributions for yields in the future, using Excel exercises

Module 4: Money Market Instruments and Yields

Overview of money market rates and instruments, using various Bloomberg screens
Review and explanation of various day count conventions for international and local Asian money market yields
Understanding the use of discount rates in various money markets and the relationship of discount rates to yields
Understanding and using repo rates and techniques in various markets
Comparison and explanation of discount rates and yields for various money market instruments using Bloomberg DE and other screens
Understanding the definition, history, and present uses of various major Libor rates
BBA definitions for Libor fixings and examples of differences in bank Libor quotations
Understanding the differences between Euro Libor and Euribor
Examples and applications of other interbank rates from various markets around
the world
Review of Fed Funds as interbank “NYibor” rates that are guided by the U.S. Federal Reserve but NOT under direct control of the government
Review of various banks Fed Funds rates and explanations for differences
Explanation of how repos and reverse repos are structured and used in markets
Understanding Fed open market operations and their impact on money supply
Other money market instruments and yields

Module 5: Understanding and Using Traded Libor Futures

Review of Libor futures contracts and trading markets, using Bloomberg screens
Comparison of characteristics of Libor futures and forward markets
Tradeoffs between forwards and futures: specification or design flexibility, perceptions of market liquidity, certainty timing of cash flows, and counterparty credit exposure
Comparing implied forward rates calculated from spot yield curves to traded futures rates
Impact of daily mark-to-market and margin requirements on futures pricing
Convexity adjustments to convert futures rates to forward rates

Module 6: Modeling and Valuing Bonds

Modeling known and certain cash flows of bonds
Review and explanation of various day count conventions for bond yields
The accrual of coupons between contractual payment dates and how various yield basis conventions impact quoted yields
Calculating accrued interest, dirty prices, and invoice prices, using Bloomberg screens and Excel =ACCRINT function
Stripping and reconstituting the cash flow components of bonds, using Excel techniques
Valuing bonds using market yields, zero coupon discount factors, zero coupon rates, and forward rates
Price risk measures, including the present value of a basis point (PVBP), and their practical applications and limitations
The concepts and uses of Macauley duration, modified duration, and convexity – as well as their practical applications and limitations, using Bloomberg screens
and Excel =DURATION and =MDURATION functions
Valuing bonds using no-arbitrage binomial trees of future interest rates
Determining relative value opportunities amongst comparable interest rate products
Analyzing and exploiting arbitrage opportunities in interest rate markets
Value-at-Risk techniques in bond markets

Module 7: Spread Products and Credit Risks in Yields

Overview of spread products and their yields versus government benchmarks in major markets around the world, including government agency paper, development institutions, high-grade corporates, and high-yield bond markets
Determining and using spreads from various Bloomberg screens
Explanations for spreads over government benchmarks, including discussions of liquidity risks, credit risks, uncertainty, and beta correlation with the market portfolio
Understanding the major components of credit risks, including probability of default and loss given default, and how these impact credit spreads in yields
Overview of credit derivatives yields and their relationship to risky bond yields

Module 8: Standard and Structured Interest Rate Swaps

Terminology, conventions, and quotations in major interest rate swap markets
Modeling swaps as portfolios of fixed – floating bonds or portfolios of forwards
Relationship of swap spreads and bond spreads over government benchmarks and the pull to equilibrium for AA- rated issuers
Valuing interest rate swaps using market yields, zero coupon discount factors, zero coupon rates, and forward rates
The market risk hedges executed by dealers for interest rate swaps using appropriately “tailed” Libor futures positions or using long/short bond positions – and how these hedge strategies impact deal structure and pricing
Modeling and valuing structured swap solutions, including forward start, step-
up coupon, off- market coupon, amortising, stub period, and other products
Review of basis swaps, constant maturity swaps, and other markets

Module 9: Creating New Yield Products in Emerging Asian Markets

Limiting characteristics and constraints in emerging Asian markets that must be overcome
Building and extending yield curves in markets with limited product availability
Mark-to-market and mark-to-model in illiquid markets
Creating new markets through brokered interest rate forwards and swaps
Alternative pricing, risk management, and hedging techniques
Pricing new products to generate acceptable returns on risk
Regulatory issues in approvals for new product offerings

What do past attendees of the Bond Markets courses say?

"The instructor did an excellent job of suplementing the course material with relevant market information and illustrations." - S.A.H., ABN Amro Bank, Hong Kong

"It gives a good insight in Fixed Income products and their valuation." - J.E., ABN Amro Bank, Hong Kong

"Practical. Handled situations in relation to actual market conditions/situations well." - A.B., AVP, ABN Amro Bank, Singapore

"This was exactly what I was looking for...The 3 biggest benefits of attending this training course were the take away materials, clear presentation and the up-to-date market focus." - BC, Loan Exposure Management Group, Deutsche Bank, Singapore

Who should attend?

For treasury sales, dealers, capital market professionals, investment bankers, specialised debt and equity sales professionals as well as finance staff in corporations and market regulators

Bond Markets Course Level

This is an intermediate to advanced level course.

What will you need?

You will need to bring a laptop computer with a full installation of MS Excel installed including these add-ins:

Analysis Tool Pack
Solver

Please ensure these are installed on your laptops prior to attending the course to avoid interruptions in the class.

In order to save you money, we encourage you to bring your own laptop computer to the course. However, if you don't have access to a laptop, we'll be more than happy to arrange a computer for you to use at the course. You'll only be charged at cost for rental of the equipment. Simply let us know on the registration form.

Have a question? Email us at:

or call us at: (+852) 2273-4393

Why Ethan Hathaway training courses?

Practical. Learn from experienced and active industry practitioners and what's being practiced by your peers.
Applicable. Apply what you learn in your job and your career
Specially designed courses by industry active experts for industry practitioners
Quality Control. Each expert instructor is interviewed and vetted through our senior management and our 5-point instructor criteria.
Valuable. Earn more revenue or save your organisation from monetary loss. You and your organisation will quickly earn back your investment on the course fee and more
Enjoyable. Speakers who have a passion for their topic
Clear. Turning complex concepts into easy to understand concepts
Limited seats - each session is limited to between 18-25 seats

What do you receive from an Ethan Hathaway training course?

You gain knowledge and skills that make you valuable to your company and your career
Instruction by industry experts
Course notes and reference package
Daily lunch, snacks and refreshments
Certificate of completion
Meeting your industry peers
Ask questions relevant to your job

Download the course brochure to learn more

Your course instructor

William Allan: Mr Allen is the founder and executive managing director of a capital markets consulting firm, with offices in California, New York, Ireland, and other locations worldwide, providing consulting and executive education in the areas of derivatives, corporate finance, structured finance, mergers and acquisitions, capital markets, risk management, investment management, and asset/liability management for a number of major banks, securities firms, multinational corporations, and institutional investors around the world.

Mr Allen is recognised as a leading senior training consultant in the global financial arena, having dedicated the last 15 years to promoting education in these areas. He has trained and consulted for most large financial institutions and many large corporates and investors in major markets around the world.

He has published over 30 articles, notes, and books on various finance, capital markets, derivatives, and risk management topics.

Before consulting, Mr Allen worked with J.P. Morgan in various capital markets, risk management, securities and derivatives trading, arbitrage, hedging, and marketing activities in London and New York. He was a principal in a boutique M&A firm covering specialised industries. He worked as a portfolio manager and then Chief Investment officer of a university endowment. Mr Allen is a private advisor to a hedge fund manager for market-neutral and derivatives strategies. He actively trades his proprietary portfolio of securities and derivatives in order to test and refine new strategies.

Mr. Allen pursued MBA and Doctoral studies in capital markets at the Harvard Business School and was involved in various research and teaching roles in academia. He received the Elijah Watts Sells Award and the John S. Glenn Gold Medal for outstanding performance on the Certified Public Accountants (CPA) examination while with Ernst and Whinney (now Ernst and Young). Mr Allen was awarded the Robert Beyer Bronze Medal for outstanding performance on the Certified Management Accounting (CMA) examination. And he earned the professional designation of Chartered Financial Analyst (CFA) while a buy-side portfolio manager and then chief investment officer of a university.

William is a member in the Professional Risk Manager's International Association (PRMIA) and the Global Association of Risk Professionals (GARP), as well as participating in their respective continuing professional education and certification programmes.

Dates & Locations & Fees

Date	Location	Venue	Course Fee	Early Bird Fee	Register
1 Nov - 3 Nov, 2010	HK, Hong Kong	Marco Polo Prince Hotel	US$4598	See Brochure

Early Bird Savings Early Birds Save Up To 30% Off the Regular Fee, download the brochure to learn more

Limited seats - Email us: for availability.

* Venue, dates, course fees, promotions, course content, course instructor are all subject to change

Can't find a session in a city near you?

If there's no session scheduled in a city near you, you have the following options:

In-house training: If you have a group of 8 or more, consider having us run this course in-house for you
Co-sponsored training: Between 5-7 people, consider a co-sponsored course - you agree to send this set number of people to the course if we run it in a city near you and Ethan Hathaway sells the remaining seats to other companies
Distance learning: Less than 5 people, consider distance training format: live trainer presents over phone lines/web at pre-scheduled times (available only for select courses)
Just tell us where you want the course: Let us know which city you'd like us to run this course in - we'll plan it if there's enough demand

Email us at: for more information regarding the above options.

Register for the course

You may book your place on the course by any of these methods:

Online booking - simply click on the "Register Me" button next to the course date you wish to register and it will take you through our quick online registration procedure.
Email us at: - please include your full contact details.
Fax us the booking form (included in the brochure) to: +852 3014-0721
Or call: +852 2273-4393 during normal office hours

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