Fixed Income Professional Certificate
Develop a complete set of desk-ready skills for fixed income market participants. You will learn how to determine fair values, yields and risk measures for a wide variety of instruments including government bonds, corporate bonds, mortgage securities and fixed income derivatives. Understand the structure and trading conventions of fixed income markets, and learn how to construct, interpret and trade the term structure of interest rates.
CPE Credits: 35 - The complete list of CPE courses can be found here.
Prerequisite knowledge:
- Intermediate MS Excel skills
- Elementary differential calculus
- Basic probability and statistics
- Basic familiarity with fixed income instruments
This Professional Certificate comprises the following courses:
- Fixed Income Mathematics: Pricing and Valuation of Bonds (Days 1 and 2)
- Fixed Income Instruments and Markets (Days 3 and 4)
- Yield Curve Analysis (Day 5)
Click here to download course curriculum
Watch our Fixed Income taster video to learn more about the course:
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
Module 1: Essential Mathematics
- Geometric series
- Derivatives
- Taylor series
- Logarithmic and exponential functions
- (Easy) integrals
Module 2: Basic Instruments
- Zero coupon bonds
- Annuities
- Perpetuities
- Coupon Bonds: Bullets and amortizers
- Par coupon rates
- Floating rate bonds
Module 3: Measures of Yield and Return
- Discount rates
- Yields
- Interest rates
- Rates of return: Expected, contractual and realized
- Yield-to-maturity: What it does and does not mean
Module 1: Term Structures of Rates and Yields
- Forward rates
- Bootstrapping zeros
- Desirable properties of term structures
- Interpolation techniques
- Splines
- Yield curve fitting
Module 2: Measures of Risk
- Taylor series and 'sensitivity' measures
- Macaulay duration
- Yield duration: Macualay and modified
- Dollar duration
- Key rate duration
- Macaulay convexity
- Yield convexity
Module 3: Elements of Fixed Income Portfolio Risk Management
- Duration of a portfolio
- Convexity of a portfolio
- Immunization
- Computing Value at Risk for fixed income portfolios
Module 4: Corporate Bonds
- Credit risk
- Inferring (risk-neutral) default probabilities from bond prices
Module 1: Structure of Fixed Income Markets
- Primary markets
- Treasury auctions
- Interdealer brokers
- Secondary markets
- Electronic trading platforms
Module 2: US Government Bonds
- Treasury bills
- Treasury notes and bonds
- Yield conventions
- Risk parameters
- Accrued Interest: Clean and invoice (dirty) prices
- Bloomberg YAS screens for bills, notes and bonds
- TIPS: Treasury inflation-protected securities
Module 3: Sovereign Debt Instruments and Markets
- Canada
- United Kingdom
- Europe
- Japan
Module 4: Repurchase Agreements
- Structure of Repo and Reverse Repo contracts
- Haircuts
- Repo arithmetic
- General and special collateral
- Repo fails
Module 1: Interest Rate Derivatives: Forwards and Swaps
- Forward rate agreements
- Forward contracts on bonds
- Structure of a swap contract
- Swap rates and curves
- Swap spreads
- Overnight index swaps
- Libor-OIS spreads
- Forward swaps
Module 2: Interest Rate Derivatives: Futures and Options
- Treasury futures
- SOFR futures
- Deriving swap rates from SOFR futures
- Options on SOFR futures
- Swaptions
- Interest rate caps and floors
Module 3: Corporate Bonds and Credit Derivatives
- Yields and credit spreads
- Risky floating rate notes
- Asset Swaps
- Credit default swaps
Module 4: Mortgages and Mortgage-Backed Securities
- Types of mortgages
- Prepayments and negative convexity
- Federal agency debt securities
- The TBA market
- Securitization
- Agency MBS
Module 1: Introduction and Overview
- Yield Curve Fundamentals
- Financial and Economic Implications
- Interpreting the Shape of the Curve, Supply, and the Business Cycle
- Risk Free Curves
Module 2: A Taxonomy of Curves
- Spot rate curves
- Swap curves
- Corporate curves
- Mortgage curves
Module 3: Yield Curve Fitting
- Fitting a curve to the bond market
- Plotting bond yields against the fitted curve
- Yield spreads to the fitted curve
Module 4: Yield Curve Modeling
- Interpretation and forecasting yield curve movements
- Fiscal and monetary policy
- Parallel yield curve shifts
- Non-parallel curve shifts (steepening/flattening/barbell)
- Econometric forecasting models
- Understanding and interpreting yield curves
Module 5: Trading the Curve and Portfolio Applications
- Yield curve strategies
- Total return analysis for yield curve shifts
Module 6: Desk Ready Skills Knowledge Check