Yield Curve Trading

Yield Curve Trading is a one day course that provides participants with a framework to formulate yield curve trading strategies. It considers the fitting of the yield curve, theories of the term structure, and the behaviour of the yield curve through the economic cycle. It also outlines the strategies typically used to anticipate changes in the shape of the yield curve. Some knowledge of bond market cash and derivative products is assumed.

Available for in-house delivery. Call +44 (0)1483 573150.
Duration: One day (9.00am to 5.00pm)
Location: Apex City of London Hotel – London, UK
Trainer: Stephen Aikin
Please contact us for a quotation

Course Outline

The Yield Curve

+ Real and nominal interest rates
+ Real interest rates and economic growth
+ Nominal interest rates and inflation expectations
+ Par yields, spot rates and forward rates
+ Bond yields as the expected path of short rates plus a risk premium
+ How central banks set short-term interest rates
+ Market-based measures of policy expectations
+ Interest rates in an open economy
+ Fiscal policy and the term premium
+ Fitting the yield curve - bond selection
+ Linear and cubic interpolation
+ Introduction to cubic splines
+ Regression-based techniques
+ Nelson-Siegel and Svensson models
+ Pure Expectations theory of the curve
+ Market Segmentation - risk and liquidity premiums
+ Empirical behaviour of the yield curve
+ WORKSHOP: Spot rates and forward rates

Instruments and Analysis

+ Spot and forward interest rates
+ Long-dated forwards
+ Horizon return analysis
+ 'Carry' and 'roll-down' analysis
+ Bond price sensitivity measures
+ Duration-weighting of yield curve trades
+ WORKSHOP: Bond pricing and return analysis

Strategies

+ Riding the curve
+ Trading the slope of the curve
+ Curve trades using swaps
+ Constant Maturity Swaps
+ Butterfly-barbell trades
+ Box Trades
+ Current views