Illustrative course outlines

At OTC we believe in tailoring our courses to meet each client’s specific requirements.  The illustrative course outline below gives an indication of the type of course content that we’ve been asked to deliver. For more information call us on +44 20 7700 3330 or email

Strategy & Leadership Finance & Commerce Investment Banking

Bond market maths

What is covered?

An overview of the key mathematical principles underlying the pricing and evaluation of bond instruments, relating these back to live examples illustrated using the Bloomberg information system.  The concepts covered include: simple, compound, nominal and effective interest rates; Macaulay and modified duration; convexity; spot and forward rates; and bond futures/price adjustment factors.

Who will benefit?

Participants needing some support with the mathematical principles used in the finance industry, particularly interest rate manipulations.  No prior knowledge is assumed.

Course content

Review of interest calculations
    • Simple interest and accrued coupon interest
    • Compound interest
    • Nominal and effective rates
    • Review of Bloomberg yield and spread measures
Understanding interest rate risk
    • Macaulay duration
    • Modified duration
    • Convexity
The drivers of duration and convexity
    • Review of Bloomberg duration and convexity measures
Understanding spot and forward rates
    • Bootstrapping the curve to derive spot rates
    • Deriving implied forward rates
Understanding bond futures
    • Futures pricing
    • The price adjustment factor
    • Cheapest to deliver bonds
    • Implied repo rate
    • Review of Bloomberg CTD information


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