Advanced Fixed Income Products: Convertibles, Inflation-Linked and Option-Embedded Bonds

09.15 - 12.00 Convertible Bonds

General Introduction to Convertible Bonds
Convertible Bond Markets
Convertible Structures
Convertible Terms and Ratios
- Conversion Price and Conversion Ratio
- Parity and Conversion Premium
Small Exercise
Financing with Convertible Bonds
Pricing and Risk Analysis
- Valuing the Bond and Equity Components Separately
- An Integrated Model for Convertible Bond Valuation
- Sensitivities to Risk Factors
Investing in Convertible Bonds
Convertible Arbitrage
Small Exercises

What Are Inflation-Linked Securities and Derivatives?
Inflation-linked Bonds
- Capital Indexed Bonds
- Interest Indexed Bonds
- Current Pay Bond
- Indexed Annuity Bond
- Indexed Zero Coupon Bond
- Case Study: Investing in Treasury Inflation Protected Securities (TIPS)
Inflation Swaps
- Mechanics, Pricing and Hedging
- Using Inflation Swaps to Hedge Pension Liabilities
- Inflation-guaranteed and Inflation-linked Retail Products
Inflation Options
- Mechanics, Pricing and Hedging
- Using Inflation Options for Trading and Hedging

General Introduction to Bonds with Embedded Interest Rate Options
Callable and Putable Bonds
- Building Blocks
- Valuation Models
- Option Adjusted Analysis
- Hedging Call and Put Risk with Swaptions
Small Exercise
Bonds with Pre-Payment Options
- Mortgage-Backed Securities
- REMICs, CMOs and other Mortgage Derivatives
- Contraction and Extension Risk
- Prepayment Analysis
- Valuation Using BDT Model
- Valuation Using Monte Carlo Simulation
- Hedging Prepayment Risk
Small Exercise

Capped and Collared Floaters
- Standard Capped/Floored Floaters
- Leveraged Capped/Floored Floaters
- Superfloaters
- Multi-Callable Capped Floater
Step-Up and Step-Down Notes
- Ratchet and Cliquet Structures
Inverse Floaters
Callable Snowball Notes
CMS Floaters
Targeted Redemption Notes
Range Accrual Notes
Other Types of Option-embedded Bonds and Notes
Small Exercise

Site Map Policy Statements