Fixed Income - Part 6

Fixed Income - Part 6

Overview

This eCourse consists of two modules. Module 1 provides knowledge of bond structure and pricing that helps understand how the capital markets perform their role. It also helps you become familiar with the bond pricing and yield to maturity concepts. Module 2 covers “duration and convexity”, important concepts used in measuring the price volatility of a bond, or its price sensitivity with respect to a change in its yield. These concepts help investors to protect themselves from bond price risk.

Objective

On completion of this course, you will be able to:
- Calculate the price of a bond given the yield to maturity of the bond
- Calculate the yield to maturity of a bond given the price of the bond
- Use the Taylor approximation formula to estimate the change in the price of a bond for a small change in yield
- Measure the price volatility of a bond using the concept of duration and modified duration
- Employ the properties of duration to construct a portfolio of bonds to immunize future obligations against interest rate risk
- Calculate the degree of non-linearity of the price-yield curve by means of the convexity equation

Content

Module 1: Bond Prices & Yields
Topic 1: Bond Pricing
Topic 2: Bond Yields

Module 2: Duration & Convexity
Topic 1: Taylor Approximation Formula
Topic 2: Duration 
Topic 3: Convexity
Topic 4: Risk Immunization

Details

Code
TEPFD17000601
Venue
ePlatform
Language
English
Level
Intermediate
Hours
SFC:2.5, PWMA:2.5
Fees
All Member: HK$700
Non-Member: HK$975
Staff of Corporate Member: HK$700