Inflation-linked Bonds and Derivatives

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 10.15 General Introduction to Inflation-Linked Products

• Overview of Inflation-Linked Products, Markets, Issuers and Investors
  • Some typical products
  • Historical development
• The Rationale for Inflation-Linked Products
  • Why are inflation products currently so popular?
• A Closer Look at Inflation
  • Basic terminology (retail basket and seasonality)
  • Measuring inflation
  • Inflation indices (UK RPI, Eurozone HICP, US CPI)
  • Estimating forward inflation
  • Stochastic models of inflation (overview)

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