Connect with us on: LinkedIn



Location and Duration 

Johannesburg; 3 days


This is an intermediate level workshop providing a practical explanation of the instruments and mechanics of the South African bond and interest rate derivative markets.

Learning Outcomes

  • An understanding of the issues involved in the use of a benchmark curve as a pricing mechanism for the capital markets.
  • An in-depth review of the calculations underpinning the prices of the benchmark constituents.
  • An understanding of bond repurchase agreements and forward bond pricing.
  • An awareness of the bootstrapping process used to generate a zero-coupon yield curve.
  • A sound knowledge of the theory and practical limitations of no-arbitrage pricing in the capital markets.
  • A sound knowledge of the theory and practices of the local interest rate derivative markets.
  • An ability to price different interest rate swap structures and to compute cash flows for interest rate swaps.
  • An ability to hedge bonds with swaps and vice versa.
  • An ability to create and evaluate asset swaps.
  • An understanding of the pricing and use of cross-currency basis swaps and overnight index swaps.
  • An awareness of the risk measures used in the fixed income markets.
  • An understanding of inflation-linked cash and derivative instruments.


ZAR 13 950 + VAT

BOOK NOW: Provisionally reserve your place now, by downloading this form