Intermediate to Advanced Bonds: Valuation, Risk & Bond Portfolios

Detailed Course Agenda

Click for a detailed PDF of the course content.pdf

Brief Course Overview

This course is intended for practitioners in the financial markets who already understand the Bond Market and would like to learn more about the bond formulae of both vanilla and non-vanilla bonds and want to understand the details of delta, duration and convexity from first principles. The course is very “hands on” in that all delegates will learn to use Excel (without VBA) to precisely price vanilla bonds, FRNs, CPI bonds and Repos. Furthermore, delegates will use excel to calculate delta and convexity of a bond and a portfolio of bonds. Thus, it is strongly recommended that delegates bring their own laptops.

Please note that laptops are encouraged but are not compulsory - delegates who don’t bring their own laptops will be able to follow along quite easily as all spreadsheets and data are provided on a DVD. Some of the key details that are discussed are:

  • Decomposing yield to maturity into its components and credit spreads.
  • Traditional bond valuation incorporating broken periods versus the annuity formula.
  • Full explanation of the Bond Pricing Formula as per the BESA \ JSE specification.
  • International Comparisons of bond formulas for different countries and Accrued interest conventions e.g. 30(E)/360, Act/365 L, Act/ Act, ISMA method etc.
  • Implications of the South African Bond pricing formula.
  • Deriving yield from price in Excel as well as using a host of techniques such as Newton Raphson etc.
  • Understanding approximations and deriving Macaulay’s duration, modified duration, delta & convexity from first principles (with reference to the JSE specification.)
  • Pricing inflation linked bonds in Excel.
  • Pricing FRNs in Excel.
  • Pricing vanilla Repos and inflation linked Repos.
  • A look at bond portfolios incorporating bullets, barbells and ladders etc.
  • Bond Indices and an overview of some Portfolio Management techniques.

Please refer to the agenda for more info.

Price: R11,500* + vat per person

*Please contact us for a firm price as we offer discounts for regular clients, long term contracts and large delegations. All prices below refer to on-site / in-house training (i.e. at your premises) in the major cities in South Africa. The minimum number of delegates is 8. This price is valid up to 2020/11/23.

Please contact us for a firm quote.

We also offer training outside of South Africa, again please contact us for a firm quote.