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This two-day course covers the mechanics and applications of inflation-linked bonds and derivatives.
This two-day course reviews essential concepts, including nominal vs. real rates and breakeven inflation, and looks at the operation of the index-linked bond market. Case studies provide a practical understanding of cash flows and pricing of the markets.
We address risk management of inflation-linked bonds and seasonality in the underlying consumer price indices. We also explain the operation of inflation derivatives and derivative structures. Participants practice structuring and pricing common risk management solutions using inflation swaps and options.
- Understand nominal and real yields and the calculation of breakeven inflation.
- Calculate cash flows on inflation-linked bonds.
- Calculate the inflation curve from bonds and swaps.
- Understand breakeven trades.
- Compute the duration of a linker, and compare to non-indexed duration.
- Discuss and analyze index seasonality.
- Understand the principles and mechanics of inflation swaps.
- Construct effective hedges using inflation derivatives.
- Price inflation derivative structures.
- Hedge inflation derivative structures.
- Portfolio managers who invest in inflation-linked securities
- Corporate treasurers with inflation-linked assets and liabilities
- Pension fund managers
- Risk managers
- Bankers who need to understand the inflation markets