Commodities, Derivatives and Structured Products

Yield Curves (2018)

Overview

This eCourse consists of two modules. Module 1 covers the major forms of yield curve and outlines the key theories that seek to explain how term structures arise.

Module 2 looks at how we generate theoretical spot curves from the observable prices of market instruments. We outline the problems associated with rate interpolation and describe some of the solutions. Finally, we show how Z-spread calculations can use spot curves to assess value.

Objective

On completion of this course, you will be able to:
- Recognize how a yield curve shows the term structure of interest rates
- Identify how short rate quotations compare with longer dated ones
- List the different yield curve shapes and variants
- Identify the difference between spot, par, and forward yield curves
- Recognize the major theories underlying interest rate term structures
- Recognize the importance of accurate yield curves in the pricing and valuation of fixed income and derivative instruments
- Identify the key stages involved in yield curve construction
- Determine simple spot and forward yield curves using the bootstrapping methodology
- Recognize the challenges involved in calculating interpolated values
- Calculate a Z-spread by discounting bond cash flows using a spot curve

Content

Module 1: Yield Curves – An Introduction
Topic 1: Overview of Yield Curves
Topic 2: Comparing Short & Longer-Dated Quotations
Topic 3: Yield Curve Types
Topic 4: Yield Curves & Forward Rates
Topic 5: Theories Underlying Interest Rate Term Structures

Module 2: Yield Curves – Construction
Topic 1: Overview of Yield Curves
Topic 2: Constructing the Yield Curve
Topic 3: Convexity
Topic 4: Methods of Interpolation
Topic 5: Z-Spreads

Details

Code
TEPDS18005601
Venue
ePlatform
Relevant Subject
Type 1 - Dealing in securities
Type 2 - Dealing in futures contracts
Type 3 - Leveraged foreign exchange trading
Type 4 - Advising on securities
Type 5 - Advising on futures contracts
Type 6 - Advising on corporate finance
Type 7 - Providing automated trading services
Type 8 - Securities margin financing
Type 9 - Asset management
Type 10 - Providing credit rating services
Type 11 - Dealing in OTC derivative products or advising on OTC derivative products
Type 12 - Providing client clearing services for OTC derivative transactions
Language
English
Level
Advanced
Hours
SFC:2.00, PWMA:2.00
Fees
Non-Member: HK$980
Staff of Corporate Member: HK$650
All Member: HK$650