Fixed Income Fundamentals
1h 34mBeginner2024-11-01
Authors
Corporate Finance Institute (CFI)
Course details
Explore the basic products and players in fixed income markets. Learn about key bond features such as par value, coupon, yield curves, and credit spreads. Find out how to calculate the price of a bond using discounted cash flows and the relationship between a bond’s price and its yield, as well as the fundamentals of clean prices, dirty prices, accrued interest, and day count. Along the way, learn about price sensitivity and bond risk measures, including Macaulay duration, modified duration, dollar duration, and convexity.
This course uses real market data and examples of some of the most common Refinitiv screens for bonds. A wide range of exercises and case studies are incorporated into the course materials to help you practice applying your new skills on the job.
Learning objectives
Define the key concepts of the basic fixed income instrument: bonds.
Explain who buys bonds, who issues bonds, and the basic structure of the bond market.
Examine the concepts of yield, coupon, day count, curve, credit spreads, and price.
Measure the yield sensitivity of a bond by using duration and convexity.
This course uses real market data and examples of some of the most common Refinitiv screens for bonds. A wide range of exercises and case studies are incorporated into the course materials to help you practice applying your new skills on the job.
Learning objectives
Define the key concepts of the basic fixed income instrument: bonds.
Explain who buys bonds, who issues bonds, and the basic structure of the bond market.
Examine the concepts of yield, coupon, day count, curve, credit spreads, and price.
Measure the yield sensitivity of a bond by using duration and convexity.
Skills covered
Personal FinanceProfessional DevelopmentOne-Off
Concepts
0. Introduction
- 01 - Course introduction
1. Fixed Income Overview
- 02 - What is fixed income
- 03 - Introduction to bonds
- 04 - Who invests in bonds
- 05 - Who issues bonds
- 06 - Risks of investing in bonds
- 07 - Example of a bond
- 08 - Example of a bond - Refinitiv
- 09 - Bond market
- 10 - The lifecycle of a bond
2. Coupon and Yield
- 11 - Accrued interest and day count conventions
- 12 - Day count - Actual actual
- 13 - Day count - 30 360
- 14 - Day count - Actual 365
- 15 - Yields
- 16 - Nominal, effective, and real yield
- 17 - Yield curves
- 18 - Credit spreads
- 19 - Fixed income fundamentals - Midway check-in
- 20 - Credit rating
- 21 - Yield curve and the economic cycle
- 22 - Yield curve shapes - Demonstration
3. Bond Prices and Yields
- 23 - Bond price
- 24 - Bond price - Excel demonstration
- 25 - Clean price and dirty price
- 26 - Price fluctuations and drift-to-par
- 27 - Bonds prices and yields
4. Bond Risk Measures
- 28 - Duration definition
- 29 - Duration with zero-coupon bonds
- 30 - Macaulay duration - Definition
- 31 - Macaulay duration - Calculation
- 32 - Macaulay duration - Excel demonstration
- 33 - Macaulay duration - Summary
- 34 - Modified duration
- 35 - Dollar duration
- 36 - Other measures of yield sensitivity
- 37 - PVBP - Refinitiv example
- 38 - How to use yield sensitivity
- 39 - Convexity
- 40 - Convexity - Excel demonstration
- 41 - The effect of convexity on bond price
- 42 - Price change - Excel demonstration
- 43 - Key points about convexity
- 44 - Key points about convexity on Refinitiv
- 45 - Bond summary exercise
Conclusion
- 46 - Course summary