Fixed Income Options - Livestreamed
New dates TBC - e-mail to register your interest



This course is available on request. Contact us as at to find out how we can deliver this training.

Over the years, a significant proportion of bank and investor losses have been caused by the extension of credit to entities who are subsequently either unwilling or unable to repay.  This credit risk can often be hedged or could prove to be beneficial for investors who wish to seek an enhanced return.  
The ICMA’s credit derivative course captures different perspectives from the credit asset class.  The main product building blocks are analysed and inevitably, the credit default swap market features prominently.  
Having understood the dynamics of default swaps, their trading applications are outlined as well as how they could be used within investment structures such as credit – linked notes (CLNs).  Despite a somewhat unfavourable perception, structured credit solutions have begun to re-emerge.  The course considers one such variation - index tranches which offer investors an enhanced return albeit with some degree of risk.  
Fixed income remains one of the dominant asset classes for issuers and investors.  This course focuses on the main concepts of optionality within the asset class.  
Although the course will cover the definitions of the key building blocks, it is not designed as a general introduction to options.  It will assume some basic understanding of option terminology such as calls, puts, ITM/OTM/ATM, European & American.  It is also useful if the participant was also conversant with the fundamentals of interest rate swaps.  

Course Outcomes

By completing this course you will be able to: 
  • Outline the characteristics of the key fixed income option product suite
  • Explain the intuition of how interest rate options are valued
  • Distinguish between historical, implied, and forward volatility
  • Define and apply the main measures of option risk management  
  • Identify how, empirically, implied volatility deviates from the pricing model assumptions
  • Explain the main ways in which yield curves move
  • Identify how the options could be used to hedge fixed income exposures
  • Construct a series of strategies that could be used to express views on how yield curves are expected to move
  • Construct strategies that will benefit from movements in implied and forward volatility
  • Explain the mechanics of structured products with embedded interest rate options

Who should attend?

The course has been designed to cover a wide variety of topics and so may attract different types of attendees.  Some examples are:
  • Junior fixed income traders looking to deepen their understanding of fixed income options
  • Middle office and settlement staff seeking to understand the structure and risks of the various structures
  • Compliance staff looking to understand the mechanics and applications of the different products
  • Investment managers who are looking to understand the risks and returns of the different elements of the product suite
  • Quantitative analysts who are less interested in the maths of options but seeking to understand the ways in which the instruments are applied.  

Certification and Programme Recognition

This course is certified by ICMA and the ICMA Centre, Henley Business School, University of Reading.

ICMA recommends that 20 learning hours can be associated with this course, based on attended/undertaken hours of study required to successfully complete the learning outcomes.

A Certificate of Attendance will be awarded to those who meet the minimum attendance requirements for this course.

ICMA is a member of the CPD® Certification Service and approved by the Securities & Futures Commission of Hong Kong as provider of Continuous Professional Training (CPT).

Please note that your course certificate of attendance or completion should be sufficient to satisfy any professional development requirements – if you require further evidence, please contact us at

Course Trainer

Neil Schofield

The syllabus is divided into several topic areas, which are then broken down into multiple subtopics:

Credit derivative building blocks
Total return swap cash flows and motivations
Single name default swaps
Quoting conventions – par spreads vs. fixed coupons
Features of single name structures: reference entity, reference obligations, events of default, settlement in the event of default.  
Index default swaps – index construction, rolling of contracts, what happens in the event of default.  
Credit swaptions – features and common applications
Trading applications – curve structures, forward trades, spread trades
Hedging a bond portfolio using index default swaps
Embedding single name and index default swaps into credit-linked notes 
Relative value approach to valuation: default swaps vs. FRNs vs. bonds vs. asset swaps vs. loans
Key valuation issues: why present value of a 01 and dollar value of a 01 are not the same thing  
Structured credit
Intuitive approach to credit correlation
First and ‘Nth’ to default basket swaps
Tranching of indices – combining index default swaps, tranching and credit correlation
Yield-enhanced credit-linked notes referencing index tranches
  • Fixed income options – a review of the building blocks
    • Review of interest rate swaps (spot and forward starting swaps)
    • Caps and floors
    • Swaptions (European, American, and Bermudan structures)
    • Mid-curve swaptions (options on forward starting swaps)
    • Callable bonds

  • Valuation and risk management
    • Valuing interest rate options – the intuition 
      • Black 1976
      • Put call parity
        • Cap floor parity
        • Swaption parity
    • Interest rate volatility
      • Realised volatility
      • Implied volatility
        • Lognormal
        • Normalised
    • Option risk management
      • Delta
      • Gamma
      • Vega
      • Theta
    • Characteristics of implied volatility
      • Skews, smiles, smirks
      • Term structures

  • Applications
    • How do yield curves move?  The empirical evidence
    • Using options to hedge a fixed income exposure
      • Extendible / Cancellable swaps
      • Swaptions and mortgage-backed securities
    • Expressing views on the yield curve
      • Directional strategies
      • Slope trades
        • Cap spreads
        • Conditional curve trades
        • Spread options
      • Curvature trades
        • ‘Vertical’ ‘flies
    • Expressing views on volatility
      • Swaption straddles
      • Volatility triangles (swaptions; caps and floors)
    • Expressing views on forward volatility
      • Defining forward volatility
      • Forward volatility agreements
    • Embedding options into structured solutions
      • Range accruals
      • Inverse floaters

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 Fixed Income Options live sessions are delivered in four 3.5 hour 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 three months from the first live session. During these three months you will have the option to keep working through the course materials at your own pace.

Livestreamed course fees

Members: EUR 1,850 + VAT (if applicable)
Non-members: EUR 2,390 + VAT (if applicable)

For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.

Please note:
  • All payments must be made in Euro.


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

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