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Bond Analysis

Level I

Agenda Program
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Místo
Praha, hotel NH Prague
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Cena
N/A
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Lektor
N/A
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Jazyk
Angličtina
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Hodnocení
N/A
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Bonds and Bond Markets
Cash Flow Analysis
Price and Yield Analysis
Duration and Convexity
Yield Curve Analysis
Portfolio Analysis
Horizon Analysis
The objective of this seminar is to give the participants a good understanding of bonds, of the functioning of global bond markets, and of the risk/return characteristics of bonds. We start with an overview of the World's bond markets, and we give examples of the various types of bonds that are traded in these markets. We discuss their major characteristics and we explain how they are traded in the primary (new issues) and secondary markets. Next, we explain how the cash flows of various bond types are derived and how these cash flows are valued using generic "Time Value of Money" analysis tools. We show how these tools are used to calculate future value, present value and realized compound return. We then explain how key ratios such as clean price, dirty price, yield, duration, modified duration and convexity are calculated in accordance with various conventions. We also explain how these key ratios should be interpreted and illustrated by a number of practical examples. Among other things, we show how yield expectations and duration can be combined to obtain quick estimates of the expected return and risk of bond investments. We also explain how the key ratios can be calculated at the portfolio level, using exact cash flows and approximation techniques. Next, we explain the concept of a "Yield Curve" and we show how yield curves are used in bond pricing and for break-even analysis when assessing alternative bond investments. Finally, using a "Horizon Analysis", we explain how expected return and risk can be quantified based upon explicit assumptions about reinvestment rates and horizon yields, including scenarios for non-parallel shifts in the yield curve.

Program semináře: Bond Analysis

Seminář probíhá podle středoevropského času (CET).

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Bonds and Bond Markets

  • Types of Bonds
  • A Sightseeing Tour of World Bond Markets
  • How Bonds are Traded
  • Issuer and Investor Perspectives

Cash Flow Analysis

  • Cash Flows for Typical Bond Structures
  • Time Value of Money
  • Future and Present Value
  • Simple and Compound Return
  • Annuities
  • Examples and Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Price and Yield Analysis

  • The Price/Yield Relationship
  • Clean and Dirty Price
  • Accrual Conventions
  • Types of Yield
    • YTM
    • Realized yield
    • Horizon yield
    • Yield to call
  • Yield Calculation
  • Yield Conventions
  • Yield Decomposition
    • Current yield
    • Interest upon interest
    • "Pull-to-maturity"
  • Examples and Exercises

09.00 - 09.15 Brief recap

09.15 - 12.00 Risk Analysis

  • Price Volatility and Interest Rate Volatility
  • Sources of Interest Rate Volatility
  • Key Ratios for Interest Rate Sensitivity
    • Duration
    • Modified Duration
    • Dollar Duration
    • BPV
    • Convexity and Relative Convexity
  • Portfolio Key Ratios
  • Calculation of Expected Return Using "Babcocks Formula"
  • Examples and Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Yield Curve Analysis

  • The Coupon Yield Curve and the Spot Curve
  • Interpretations of the Yield curve
  • Pricing Bonds Using the Yield Curve
  • Calculating Forward Rates

Total Return Analysis (Horizon Analysis)

  • Purpose of Total Return Analysis
  • "Total Return" Defined
  • Assessing Reinvestment Risk
  • Assessing Principal Risk
  • Calculating Expected Return
  • Sensitivity Analysis
  • Bond Switching Strategies
  • Exercises

Evaluation and Termination of the Seminar

Katalog seminářů v PDF
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