Programme Overview
 
This is an e-learning programme. 
Upon successful registration and payment, you will be notified via email within 3 working days on your login ID, password and user instructions to access this programme. 
(The programme is valid for 6 months from the date of purchase.)
 
A yield curve (or term structure) compares bond yields with their maturities – yields move upward and downward as maturities increase. However, the heterogeneous nature of various interest rate sensitive instruments complicates simple comparisons. Differing yield curves are used to describe differing instruments. This tutorial covers the major forms of yield curve and outlines the key theories that seek to explain how term structures arise.
 
Programme Objectives

 On completion of this tutorial, you should be able to:

• Recognize how a yield curve shows the term structure of interest rates
• Identify how short rate quotations compare with longer dated ones
• List the different yield curve shapes and variants
• Identify the difference between spot, par, and forward yield curves
• Recognize the major theories underlying interest rate term structures

Programme Outline

 
Topic 1: Overview of Yield Curves

• Yield Curves: An Overview
• Definition of a Yield Curve
• Attraction of Yield Curves
• Comparing Bonds
• Benchmark Bonds
• Other Benchmarks
• Consistency in Benchmarks

• Comparing Short- & Longer-Dated Quotations
• Days Basis
• Bond Equivalent Yield (BEY)
• Discount Yield
• Discount Yield & Bond Equivalent Yield: Example

• Yield Curve Types
• Shape of the Yield Curve
• Yield Curve Variants
• Zero-Coupon (Spot) Yield Curve
• Constructing the Zero-Coupon (Spot) Yield Curve Using Bootstrapping
• Discount Factors
• Calculating Discount Factors
• Discounting Cash Flows
• Par-Coupon Yield Curve
• Constructing a Par-Coupon Yield Curve Using Bootstrapping
• Zero Coupon Curve vs. Par Coupon Curve

• Yield Curves & Forward Rates
• Implied Forward Rates
• Forward Curve
• Zero Coupon Curve vs. Par Coupon Curve vs. Forward Coupon Curve

• The Major Theories Underlying Interest Rate Term Structures
• Yield Curve Theories
• Pure Expectations
• Liquidity Preference/Bond Risk Premium (BRP)
• Market Segmentation/Preferred Habitat

Intended For

All