The programme starts by reviewing essential concepts: nominal vs. real rates and breakeven inflation, and continues by looking at the operation of the index-linked bond market.Excel based case studies are designed to give participants a very practical understanding of the cash flows and pricing of the markets.We will look at the pricing and risk management of inflation linked bonds and consider the impact of seasonality in the underlying CPI indices. Participants will then be taken through the operation of inflation derivatives, where derivative structures are explained and the participants will structure common risk management solutions using inflation swaps and options. The final session involves the pricing of the risk management solutions in an Excel framework.
Moody's Analytics Professional Development
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