Description
Schedule and Course Outline:
Module I. Basics of Financial Math – September 27, 2019
1. Concept of Time Value of Money
2. The Conventions: Day Count and Accrual Calculations
3. Adjustment to Bases
4. Accumulated Value
5. Present Value
6. Nominal and Effective rate of return
7. Frequency Adjustments
Module II. Basics of Fixed Income Securities – September 28, 2019
1. Fixed Income Investment Products
2. Types of Financial Markets
3. Bonds: Characteristics and Features
4. Bond Pricing/Quotes: Conventions
5. Types of Debt Instruments
6. Yield to Maturity Concept
7. Bond Mathematics
– Bond pricings calculations (T-Bills, FXTNs, RTBs, Zero Coupon Bond)
– Corporate Fixed Rate Commercial Notes (FXCN)
– ROPs
8. Risks
Module III. Bond Duration; Other Fixed Income Securities (Tier 2, Long Term Negotiable Certificate of Deposit) and Preferred Shares – October 5, 2019
• Bond Duration
1. Bond Value and Price Sensitivity
2. Duration of a Bond or DMAC
3. Modified Duration or DMOD
4. Applications: Bond Duration
• Tier 2
1. What? BASEL Accord
2. Bank Capital: Importance, Elements and Regulatory Capital Requirements
3. Tier 2 Capital or Subordinated Debt
4. Sample terms of an Issuance
• Long Term Negotiable Certificate of Deposit (LTNCD)
1. What? LTNCDs
2. Definition and Features
3. Sample terms of an Issuance
• Preferred Shares
1. What? Preferred Shares
2. Definition and Types
3. Features/Rights
4. Sample terms of an Issuance
• Duration and Convexity
1. What? Convexity
a. Comparing two (2) similar bonds
b. Calculating Convexity
2. Importance of Convexity
a. Convexity and Cash flow dispersion
b. Effect of Convexity
c. Convexity as a Predictor of price change
Module IV. Foreign Exchange Contracts -Spot, Forwards and FX Swaps – October 12, 2019
1. Definitions
2. Mechanics: Spot and Forward Exchange Contracts
3. FX and Liquidity Position
4. Pricing of Forwards
5. Foreign Exchange Swaps
6. Revaluate
Module V. Interest Rate Swaps/Currency Swaps – October 18, 2019
• Interest Rate Swaps
o Definition
o Basic Swap Pricing
o Basic Principles
o OTC Swaps
o Basis Swaps
o Trading/Positioning/Market Making
o Philippine IRS Conventions
• Currency Swaps
o Definition
o Market
o Currency Swaps – Fixed or Floating
o Swap Pricing concepts
Module VI. Bootstrapping/ Forward Rate Agreements – October 19, 2019
• Bootstrapping
o Pricing and Valuation of IRS
o Computing Forwards and Zero Rates
o Deriving Forward rates from Zero Rates
• Forward Rate Agreements
o Definition
o Mechanics and Terminologies
o Computing Forward rates
o Uses and Benefits of FRAs
o FRA: broken date pricing
o FRA: mark to market
Module VII. Interest Rate Option, Eurodollar Futures – October 26, 2019
• Interest Rate Option
1. FRA’s vs Interest Rate Option
2. Definition and Types
3. Price Quotes – Convention
4. Samples/Exercises
• Eurodollar Futures
1. What? Futures
2. Futures vs Forward Contracts
3. Key Players
4. Trade Mechanics
5. Price Quote – Convention
6. Samples/Exercises
Module VIII. Financial Options – November 9, 2019
A. Financial Options
a. Definitions
b. Basic Terminologies
c. Mechanics of an Option contract
d. Basic Risks
e. Uses and Benefits
f. Option pricing models
Duration:
8:30 A.M. to 5:00 P.M.
Venue:Dusit Thani Manila, Ayala Center, Makati City.