Inflation-linked Bonds and Derivatives
Duration:
1 day
1 day
Location:
Prague, Mövenpick Hotel
Prague, Mövenpick Hotel
- General Introduction to Inflation-Linked Products
- Measures of Inflation and Inflation Indices
- Inflation-Linked Bonds and Notes
- Inflation-Linked Bond Investing Strategies
- Inflation Swaps, Caps and Floors
- Using Inflation-Linked Bonds in ALM
- Practical Trading and Hedging Applications
The objectives of this seminar are to give you an introduction to the mechanics, pricing and applications of inflation-linked bonds and inflation-linked derivatives.
We start with a general introduction to inflation and inflation-linked products. We explain why and how inflation (or deflation) arises and we discuss possible impacts of inflation (deflation) on the returns of various types of investment instruments. We also explain various measures of inflation, forward inflation, and we give an overview of stochastic models for inflation.
We then take a closer look at inflation-linked bonds. We explain the mechanics of TIPS, French OATIs, UK Index-Linked Bonds etc. We give examples of the nominal and real cash flows of these bonds and we explain and demonstrate how real yield and real interest rate sensitivities are calculated. We also give examples of investment and trading strategies with inflation-linked bonds.
Further, we give an overview and explain the mechanics and applications of inflation-linked derivatives such as inflation futures, inflation swaps and inflation caps, floors and options. We also give examples of their applications in risk management.
Finally, we present and discuss case studies of how inflation-linked products can be used for managing inflation risk in asset-liability management context, for constructing inflation linked structured products and for trading purposes.
We start with a general introduction to inflation and inflation-linked products. We explain why and how inflation (or deflation) arises and we discuss possible impacts of inflation (deflation) on the returns of various types of investment instruments. We also explain various measures of inflation, forward inflation, and we give an overview of stochastic models for inflation.
We then take a closer look at inflation-linked bonds. We explain the mechanics of TIPS, French OATIs, UK Index-Linked Bonds etc. We give examples of the nominal and real cash flows of these bonds and we explain and demonstrate how real yield and real interest rate sensitivities are calculated. We also give examples of investment and trading strategies with inflation-linked bonds.
Further, we give an overview and explain the mechanics and applications of inflation-linked derivatives such as inflation futures, inflation swaps and inflation caps, floors and options. We also give examples of their applications in risk management.
Finally, we present and discuss case studies of how inflation-linked products can be used for managing inflation risk in asset-liability management context, for constructing inflation linked structured products and for trading purposes.
10.30 - 12.00 Inflation-Linked Bonds and Notes
- Mechanics and Concepts
- US TIPS, UK Inflation-Linked Gilts, French OATis
- Yield Calculations, Break-even Inflation and Sensitivity Analysis
- Inflation-Linked Bond Trading Strategies
- Small Exercise
12.00 - 13.00 Lunch
13.00 - 14.30 Inflation-Linked Derivatives
- Inflation Swaps, Caps and Floors
- TIPS Options
- Inflation Swaptions
- Inflation Futures
- Pricing and Valuation of Inflation-Linked Derivatives
- Small Exercise
14.45 - 15.45 Inflation Derivatives Applications
- Managing Inflation and/or Deflation Risks in Asset-liability Management Context
- Constructing Inflation Linked Structured Products
- Index linked guaranteed performance notes
- Inflation volatility considerations
- Practical Trading Applications
- Post-crisis approaches to trading inflation derivatives
15.45 - 16.00 Summary, Evaluation and Termination of the Seminar
