Yield Curves & SWAP Curves: Interpolation & Analysis.

Detailed Course Agenda

Click here for a detailed PDF of the course.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 Yield Curves in extensive detail. The course covers everything from the different types of curves (including SWAP Curves and Blended curves), yield curve construction using different interpolation techniques as well as yield curve analysis. This is a “hands on” course and delegates will bootstrap and construct the different curves themselves using Excel. Furthermore, the concept of bond spreads and swap spreads is discussed in detail. 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.

We discuss the details of curves including:

  • Understanding par curves and their weaknesses.
  • The Zero /spot curve.
  • The forward curve.
  • Using spot rates and forward rates for valuations.
  • Bootstrapping the zero curve in reality using Excel.
  • Deriving the forward curve.
  • Best fit curves.
  • Regressions with Excel.
  • Polynomial functions with Excel.
  • Nelson-Siegel Term structure.
  • The Nelson-Siegel-Svensson model.
  • Interpolation methods using Excel (no VBA required).
  • Linear curves.
  • Quadratic curves.
  • Cubic splines.
  • The Hermite spline.
  • The Quartic spline.
  • The Monotone preserving method.
  • Strengths and weaknesses of the different interpolation methods.
  • Explanation of Swaps and FRAs.
  • The relationship between SWAPS, FRAs and Bonds.
  • Why the SWAP curve is a PAR curve.
  • Putting together a blended curve.
  • The SWAP curve anomaly.
  • Spread trading.
  • Spread trading quotes.
  • Swap spreads

Please refer to the pdf agenda attached for more info. You are welcome to customise the agenda for on-site training.

Price: R9500* + 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.