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