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.
- 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
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