Plan du cours :
1. Bond Prices and Yields (Present value formula / Price yield relationship)
1. Yield as a discount rate
2. Pricing the cash flows of a bond
3. Zero-coupon and coupon bonds / Re-investment risk
4. Coupon rate and current yield
5. Yield to maturity
6. Yield curves (different shapes and types)
7. Forward rate
8. Bond par yield
2. Bond Price Sensitives
1. Overview on measuring price sensitivity
2. Duration, modified duration
3. Convexity
4. Immunization
3. Interest rate risk (Risk measures and hedging)
1. Nature of interest risk
2. What is interest risk?
3. Types of risk?
4. Interest rate exposure policy
5. Measure of interest rate risk (maturity gap analysis/duration analysis)
6. Hedging, Speculating and Arbitrage
4. Managing interest rate risk
1. FRA
2. Futures
5. Interest rate options
6. Interest rate swaps