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Overview

This comprehensive course will cover a variety of issues relating to yield curves, their construction, and their use in a variety of analytical applications to assess risk and return.

The course consists of 19 lectures among 5 sections, including topics within:

  • Introduction to Yield Curves
  • Duration and its Applications
  • The Level of Rates and Shape of the Yield Curve
  • Spot Rates and Forward Rates
  • Total Return Analysis

Learning Outcomes

At the end of this course, you will be able to...

  • You'll be able to understand how yield curves depict fixed income instrument pricing and risk premiums
  • You'll be able to explain duration as a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates
  • You'll be able to describe the different types of duration, and how each is used in managing and/or quantifying risk
  • You'll be able to discuss alternative yield curves that are used to price or assess the value of fixed income instruments, including the current coupon yield curve, par coupon yield curve, spot rate curve, treasury strip curve and forward rate curve
  • You'll be able to apply total return analysis over a variety of interest rate scenarios to assess risk and return as an alternative to simply using yield to maturity as an estimate of future returns


Target Audience

  • Analysts and associates in commercial, corporate and investment banking.

Course curriculum

  • 1

    Introduction to Yield Curves

  • 2

    Duration and its Applications

    • Introduction to Duration FREE PREVIEW
    • Introduction to Duration (Slides)
    • Types of Duration
    • Types of Duration (Slides)
    • Modified Duration
    • Modified Duration (Slides)
    • Duration Illustration
    • Duration Illustration (Slides)
    • Duration of Callable Bonds
    • Duration of Callable Bonds (Slides)
  • 3

    The Level of Rates and Shape of the Yield Curve

    • Yield Curve Shapes and the Level of Interest Rates
    • Yield Curve Shapes and the Level of Interest Rates (Slides)
    • Yield Curve Theories
    • Yield Curve Theories (Slides)
    • Yield Curves and the Business Cycle
    • Yield Curves and the Business Cycle (Slides)
  • 4

    Spot Rates and Forward rates

    • Spot Rates and Spot Rate Curves
    • Spot Rates and Spot Rate Curves (Slides)
    • Calculation of Spot Rates
    • Calculation of Spot Rates (Slides)
    • Bond Valuation and Rich/Cheap Analysis
    • Bond Valuation and Rich/Cheap Analysis (Slides)
    • Treasury Strips and the Strip Rate Curve
    • Treasury Strips and the Strip Rate Curve (Slides)
    • Forward Rates
    • Forward Rates (Slides)
    • Calculating Forward Rates
    • Calculating Forward Rates (Slides)
    • Forward Rate Applications
    • Forward Rate Applications (Slides)
  • 5

    Total Return Analysis

    • Total Return Analysis
    • Total Return Analysis (Slides)
    • Total Return Analysis Illustration
    • Total Return Analysis Illustration (Slides)