Module aim
The module outlines the main concepts of bond market risk.

Target audience

The target audience is anyone involved in fixed income market.
 
 

Download the Fixed Income Market Risk Course Outline here
 

Objectives

By the end of the module the participant will be able to:

• Calculate the clean and dirty price of a bond
• Define 6 key fixed income rules
• Calculate and interpret the Macaulay duration of a bond
• Calculate and interpret the modified duration of a bond
• Calculate and interpret the basis point value of a bond
• Calculate and interpret the convexity of a bond
• Calculate the impact on the price of a bond for a given change in yield allowing for convexity

Topics

• Clean and dirty prices
• Duration (Macaulay and Modified)
• Basis Point Value (DV01)
• Convexity

Course Presenter

Neil Schofield is the principal trainer for FMT Ltd.  He was previously global head of financial market training at Barclays Capital.  He teaches primarily on the rates business, covering all of the major asset classes and their respective derivative products from foreign exchange through to commodities. He is author of two books, Commodity Derivatives: Markets and Applications” and “Trading the Fixed Income, Inflation and Credit Markets”.

Course length

44 minutes 58 seconds
 
 
Prerequisites

A basic understanding of fixed income concepts would be useful