Fixed Income Calculations & Principles

The Fixed Income Calculations & Principles Seminar is designed to give the attendee an in-depth knowledge of all the fundamentals that apply to this vast securities marketplace. The massive holding of all types of fixed income products has greatly increased the demands on accounting, operations and systems professionals. This seminar will help the attendee gain a thorough and deep understanding of all the calculations and concepts that apply to the bond markets, why they are important to portfolio management, as well as the accounting and systems concerns that pertain to them.

The Fixed Income Calculations & Principles Seminar will begin with an introduction to fundamental concepts such as the time value of money, interest/discount rates and compounding conventions upon which market conventions are based. After the preliminaries are secure, the group will move through the myriad of concepts which are applied during class, such as the calculation of price, yield, rate of return, interest accruals, duration, weighted average life, convexity and more. There will also be an examination of how all the topics covered during the session apply to treasuries, corporates, municipals, mortgage and asset backed securities, including both pass through securities and collateralized mortgage obligations.

This seminar is ideal for any accounting, audit, operations, systems and technology staff who need a deep and vivid knowledge of all the calculations and principles necessary to understand the fixed income marketplace.

DAY ONE

• Fundamentals of Fixed Income Calculations
  • Interest Rates, Yields and Rates of Return Compared
  • Interest Rate Conventions – Simple Versus Compound
  • Time Value of Money – Present and Future Values
• Fixed Income Pricing and Yield Conventions
  • Pricing Coupon and Zero Coupon Bonds
  • Various Types of Yield Calculations
  • Day Count Conventions
  • Interest Accruals
  • Pricing Money Market Instruments

DAY TWO

• Fixed Income Analysis and Comparisons
  • Duration and Weighted Average Life Calculation
  • Modified and Option Adjusted Duration
  • Convexity
  • Total Rate of Return
  • Amortization and Accretion
• Yield Curves
  • Types of Yield Curves (Treasury/Corporate/Swap)
  • Applications to Fixed Income Pricing and Analysis
• Mortgaged and Asset Backed Securities
  • Pass Through Security Pricing and Yield Conventions
  • Prepayment Speed Determinations and Applications
  • Monte Carlo Modeling
  • Option Adjusted Spread (OAS)
• The Various Bond Indexes