Course description
This course is primarily designed to increase the awareness of the concept of inflation as an investable asset class.
Beginning with the fundamentals of inflation, the syllabus goes on to explore the key aspects and benefits of inflation-links bonds and other structures such as swaps and options.
Upcoming start dates
Suitability - Who should attend?
This course is suitable for anyone with an understanding of the fundamental concepts of finance and fixed income. An understanding of bond pricing and market risk (i.e. duration / DV01) is assumed.
Outcome / Qualification etc.
By completing this course you will be able to:
- Understand the economics of inflation
- Be able to calculate ILB cash flows
- Have a thorough knowledge of inflation bonds, swaps and options
- Be able to look at different types of trades for trading inflation
Training Course Content
1. Inflation fundamentals
- Defining key terms
- Inflation
- Deflation
- Disinflation
- Hyperinflation
- Real vs. nominal frameworks
- The Fisher equation
- Factors that influence real yields
- A holistic analysis of breakevens
- The composition of the main inflation-related indices
- Sources of market demand and supply
2. Inflation-linked Bonds
- Overview of sovereign issuance
- Inflation maths
- The par floor
- Seasonality
- Adjusting ILB yields for seasonality
3. Inflation-linked Swaps
- Zero coupon
- Asset swaps
- Real rate swaps
- Year–on–year swaps
- Total return swaps
4. Inflation-linked Options
- Caps, floors, swaptions
- Options on TIPS
- Breakeven options
- Inflation implied volatility
- Total return swaps
5. Trading Inflation
- Measures of inflation market risk
- How do real and nominal rates move in relation to each other?
- Carry in an inflation-linked context
- Calculating forward prices
- Example trades
- Directional real yield trades
- Breakeven inflation trades
- Real yield curve trades
- Breakeven curve trades
- Forward trades
- Intra-market transactions
Course delivery details
Livestreamed Course
ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.
The Inflation-Linked Bonds and Derivatives live sessions are delivered in four 3.5 hour sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of three months from the first live session. During these three months you will have the option to keep working through the course materials at your own pace.
Expenses
Livestreamed course fees
- Members: EUR 2,100 + VAT (if applicable)
- Non-members: EUR 2,400 + VAT (if applicable)
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International Capital Market Association
For close to 50 years, ICMA’s educational offering has played a major part in its mission to raise standards in the international capital market. Our courses are designed and delivered by industry professionals for industry professionals. The offering comprises a...