Inflation-Linked Bonds and Derivatives
In light of ongoing international concerns with respect to the Coronavirus (COVID-19) and in the interest of maintaining the health of our members, delegates and staff, we have made the decision to postpone the Inflation-Linked Bonds and Derivatives course in London on 2-3 April.

New dates will be announced in due course.

Please contact ICMA Education for more information.

Download brochure This training programme is primarily designed to increase the awareness of the concept of inflation as an investable asset class.

Beginning with the fundamentals of inflation, the syllabus goes on to explore the key aspects and benefits of inflation-links bonds and other structures such as swaps and options.

By completing the programme you will:
  • Understand the economics of inflation
  • Be able to calculate ILB cash flows
  • Have a thorough knowledge of inflation bonds, swaps and options
  • Be able to look at different types of trades for trading inflation

Who should attend?

This course is suitable for anyone with an understanding of the fundamental concepts of finance and fixed income.  An understanding of bond pricing and market risk (i.e. duration / DV01) is assumed.

Programme Recognition

Candidates who attend the Inflation-Linked Bonds programme and are CFA Charter Holders qualify for 13 credit hours which can be used towards study with the CFA Institute. CFA Institute members are encouraged to self-document their continuing professional development activities in their online CE tracker.

Course Trainer
Download brochureThe syllabus is divided into several topic areas, which are then broken down into multiple subtopics:

1. Inflation fundamentals
  • Defining key terms
    • Inflation
    • Deflation
    • Disinflation
    • Hyperinflation
  • Real vs. nominal frameworks
  • The Fisher equation
  • Factors that influence real yields
    • Negative real yields
  • A holistic analysis of breakevens
  • The composition of the main inflation-related indices
  • Sources of market demand and supply

2. Inflation-linked Bonds
  • Overview of sovereign issuance
  • Inflation maths
    • The Canadian model
    • ‘Old style’ UK linkers
  • The par floor
  • Seasonality
  • Adjusting ILB yields for seasonality

3. Inflation-linked Swaps

  • Zero coupon
    • Calculating a projected CPI curve
    • Revaluing a zero coupon inflation swap
  • Asset swaps
  • Real rate swaps
  • Year – on – year swaps
  • Total return swaps

4. Inflation-linked Options
  • Caps, floors, swaptions
  • Options on TIPS
  • Breakeven options
  • Inflation implied volatility
  • Total return swaps

5. Trading Inflation
  • Measures of inflation market risk
    • ‘Real’ modified duration and DV01
  • How do real and nominal rates move in relation to each other?
    • Beta
  • Carry in an inflation-linked context
  • Calculating forward prices
  • Example trades
    • Directional real yield trades
    • Breakeven inflation trades
    • Real yield curve trades
    • Breakeven curve trades
    • Forward trades
    • Intra-market transactions

Details of the next course


2-3 April 2020 - POSTPONED

New dates will be announced in due course.

For security reasons, delegates who have not registered in advance will not be admitted to this course. Delegates will be required to provide photo identification on arrival, to ensure entry.


ICMA Members: £1,650 + VAT if applicable
Non members: £1,950 + VAT if applicable


Should you have any queries, please contact
Simona Tomaselli Marzano

Organisation: Amundi Asset Management
Job title: Portfolio Manager

Describe what you do on a day to day basis in your job:
I manage bond portfolios for private clients, both benchmarked and “target-date” portfolios.  My Investment Universe includes Developed Government Bonds and Investment Grade Corporate Bonds.

Reasons for taking the course:

My main objectives for attending the course were to get a good understanding of the key concepts of inflation-linked instruments in order to implement successful investment strategies in our portfolios and to design new investment products linked to inflation.

Benefits of taking this course:
I achieved a clear comprehension of the main concepts that drive inflation and how to trade it with all the available financial instruments (both bonds and derivatives).  I also enjoyed sharing opinions with other participants belonging to different entities (Central Banks, Trading Desks, Risk Management, etc.).

This course represents a first important and “real” step towards the implementing of investment strategies based on inflation in our portfolios.

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