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

Bonds and interest rate swaps

What is covered?

This two-day course reviews the nature, pricing and risk features of the major types of bond, how they are used in asset and liability matching, how trades are funded and hedged, relative value analysis and basic barbell and butterfly trading strategies.
There is extensive use of financial calculators (e.g. HP12, HP 17, TI BA2), Excel and also Bloomberg examples, to help bring the class examples alive and make them practical.

Who will benefit?

Participants working in credit or swaps looking for a deeper understanding of bonds and how trades are made and funded.  The revision of bond basics session is designed to be a quick reminder, so some previous understanding of bond valuation would be useful.

Course content

Revision  of bond basics
    • Why are bonds issued and why do clients buy them?
    • Review of DES screen for a number of bonds
    • Review of bond market statistics
Bond pricing and yield
    • Bond price is the NPV of future cash flows
    • Yield to maturity is the IRR of all cash flows
    • The relationship between different yield measures - coupon, interest yield and yield to maturity – as price changes
Using a financial calculator to do bond calculations
    • Clean and dirty bond pricing
    • Coupon interest
    • Day count conventions for the major markets
    • Clean and dirty prices
The yield curve
    • The term structure of interest rates/Yield curve theories
    • Analysing current yield curves
Government bond markets
    • Key features of government markets/
    • Liquidity and benchmarks
The spot and forward curves
    • Spot and forward rates
    • Bootstrapping the yield curve
Corporates, FRNs and the Eurobond markets
    • Corporate credit bonds/ FRNs/The Eurobond market
The money markets
    • Bills of exchange and bankers acceptances
    • Commercial paper
    • T-Bills
    • The interbank market
    • Fed funds
    • The repo market
Interest rate swaps
    • Derivative recap
    • Vanilla swaps
    • More complex swaps - accreting, amortising, forward start and roller-coaster swaps
    • Asset swaps – synthetic FRNs


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