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    This document provides an overview of the contents and topics that will be covered in the training program. It includes sections on interest rate futures, bond market calculations, zero-coupon rates and yield curves, and foreign exchange. The foreign exchange section will cover topics such as spot and forward exchange rates, cross-rate forwards, short dates, calculation summaries, value dates, forward-forwards, time options, and long-dated forwards.

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    39993884-Finance.9

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    This document provides an overview of the contents and topics that will be covered in the training program. It includes sections on interest rate futures, bond market calculations, zero-coupon rates and yield curves, and foreign exchange. The foreign exchange section will cover topics such as spot and forward exchange rates, cross-rate forwards, short dates, calculation summaries, value dates, forward-forwards, time options, and long-dated forwards.

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    7 views1 page

    4 Interest Rate Futures

    Uploaded by

    Anonymous QvIxEazXGd
    This document provides an overview of the contents and topics that will be covered in the training program. It includes sections on interest rate futures, bond market calculations, zero-coupon rates and yield curves, and foreign exchange. The foreign exchange section will cover topics such as spot and forward exchange rates, cross-rate forwards, short dates, calculation summaries, value dates, forward-forwards, time options, and long-dated forwards.

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    © All Rights Reserved
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    of 1

    Contents

    Interest Rate Futures


    Overview
    Exchange structure and margins
    Futures compared with FRAs
    Pricing and hedging FRAs with futures
    Trading with interest rate futures
    Exercises

    Bond Market Calculations


    Overview of capital markets instruments
    Features and variations
    Introduction to bond pricing
    Different yield measures and price calculations
    A summary of the various approaches to price / yield
    Duration, modified duration and convexity
    Bond futures
    Cash-and-carry arbitrage
    Exercises

    6 Zero-Coupon Rates and Yield Curves


    Zero-coupon yields and par yields
    Forward-forward yields
    Summary
    Longer-dated FRAs
    Exercises

    63
    64
    66
    67
    69
    74
    79
    81
    82
    84
    86
    95
    105
    107
    114
    121
    130
    135
    136
    140
    142
    143
    146

    Part 3: FOREIGN EXCHANGE


    7

    Foreign Exchange
    Introduction
    Spot exchange rates
    Forward exchange rates
    Cross-rate forwards
    Short dates
    Calculation summary
    Value dates
    Forward-forwards
    Time options
    Long-dated forwards
    Synthetic agreements for forward exchange (SAFEs)
    Arbitraging and creating FRAs
    Discounting future foreign exchange risk
    Exercises

    viii

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