Inflation-Linked Bonds and Derivatives - Livestreamed
New dates TBC
E-mail to register your interest


This course 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.

Course Outcomes

By completing this course you will be able to:
  • 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.

Course Trainer

Neil Schofield
The 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
  • 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 par floor
  • Seasonality
  • Adjusting ILB yields for seasonality

3. Inflation-linked Swaps

  • Zero coupon
  • 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
  • How do real and nominal rates move in relation to each other?
  • 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

Course Delivery

If you are taking the livestreamed course, you have six months to study the material.

If you’re taking the classroom-based course, the training is delivered on two consecutive days between Monday and Friday.

Livestreamed Course

ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.

The Inflation-Linked Bonds and Derivatives live sessions are delivered in four sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of six months. During these six months you will have the option to keep working through the course materials at your own pace.

Next dates TBC
Please email to register your interest for this course

Livestreamed course fees

Members: EUR 1,650 + VAT (if applicable)
Non-members: EUR 2,050 + VAT (if applicable)

Costs include full access to the online campus, associated learning materials and the examination fee. Please note that payment must be received before the start of the course.


Should you have any queries, please contact education@icmagroup.or

Test your knowledge

The rate at which prices increase
The rate at which prices decrease
The rate at which price increases, decrease
The rate at which prices increase exponentially
The return for forgoing consumption today to consume more goods and services tomorrow
The market clearing rate of return in excess of expected future inflation that ensures supply meets demand for a particular investment opportunity
Real rates signal how much today’s savings are worth in terms of future consumption
All of the above
A premium for unexpected inflation
A yield premium that reflects the relative illiquidity of inflation-linked bonds
A premium for those inflation-linked bonds that possess a ‘par floor’ to protect against the possibility of deflation
All of the above
An investor would be better off holding the ILB than the nominal bond
An investor would be worse off holding the ILB than the nominal bond
An investor would be indifferent between holding the ILB and the nominal bond.
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