Fixed Income Securities - Pricing, Hedging & Strategies


This program will give the participant thorough understanding of the fixed income securities used in the market. Bond market and pricing is explained in detail using spreadsheet modeling. Concept of swap valuation is also explained comprehensively. This is a one stop course for fixed income market and securities.


On successful completion of the program, you would be awarded the professional certification in “FIXED INCOME SECURITIES - PRICING, HEDGING & STRATEGIES” by Moody’s Analytics and EduEdgePro.


  • Pricing Models for Fixed Income Securities in Excel-VBA
  • Comprehensive coverage on various credit derivatives
  • Exhaustive reading material covering detailed sections outlined below
  • Pre-requisite material on mathematics for Finance


  • Understand and implement pricing of various fixed income securities and identify hedging strategy for the same
  • Understand the Forward Rate Agreement & Swaps and their application in management of interest rate risk
  • Build deep understanding of Bond Market
  • Calibrate the model using market data


TThis course is aimed at those with a solid financial background who wish to explore the more advanced aspects of Equity Research, financial modelling and valuation methodologies, including:
  • Global financial services industry (as a provider, user, regulator or advisor of product/services, marketplace/exchange) would benefit from innovative solutions
  • Financial Institutions
  • Commercial Banks
  • Investment Banks
  • Financial Controllers
  • Accountants and Auditors

Fast Facts

  • Certified by : Moody’s Analytics and EduEdgePro
  • Broad Coverage:
  • Bonds and Money-Market and their Instruments
  • Fixed Income Products & Features
  • Bond Pricing, Bond Yield, Spot Rates and The Yield Curve
  • Duration and Convexity
  • Term Structure of Interest Rates & Modeling
  • Interest Rate Modeling
  • Inflation indexed bonds
  • Swaps & Valuations
  • Hedging Interest Rate risk
  • Hedging through fixed income


    This section introduces the bond market and money market to the participant. Structures of various fixed income products like forward rate agreements, interest rate swaps, coupon only swaps etc. are explained in detail.

    Bonds and Money-Market and their Instrume
    • Characteristics of fixed income markets
    • Characteristics of Bonds
    • The Role of the Central Bank
    • T-Bills
    • Certificates of Deposit
    • Bankers’ Acceptances
    • Commercial Papers
    • Interbank Deposits
    • Repo and Reverse Repo Market Instruments
    Fixed Income Products & Features
    • Forward Rate Agreements (FRAs)
    • Interest Rate Swap (IRS)
    • Currency Swaps
    • Cross Currency Swaps (CCS)
    • Coupon Only Swap(COS)
    • Interest Rate Caps/Floors
    • Swaptions
    • Interest Rate Spreads
    • Interest Rate Collars
    • Exotic Interest Rate Structures

    This section is designed to introduce bond market. The participants will understand yield, yield curve, bond pricing. The course comprehensively explains concept of Macaulay duration, modified duration and convexity.

    Categorization of Bonds
    • Categorization by Issuer
    • Categorization by Coupon and Maturity
    Characteristics of Bonds and Interest Rates
    • Present Value, Price and Yield
    • Relationship between Price and Yield
    • Yield Curves
    • Behaviour of Market Interest Rates
    • Characteristics of Spot and Forward Term Structures
    Bond Prices and Yields
    • Introduction to Bond Pricing
    • Present Value Formula
    • Time-Value of Money
    • The Mathematics of Discounting
    • Nominal versus Real Interest Rates
    • Time Basis and Compounding
    • Frequency Conventions
    • Continuous Compounding
    The Yield Curve, Bond Yield, and Spot Rates
    • Practical Uses of Redemption Yield and Duration
    • The Concept of Yield
    • Yield Comparisons in the Market
    • Measuring a Bond’s True Return
    • Implied Spot Rates and Market Zero-Coupon Yields
    • Spot Yields and Coupon-Bond Prices
    • Implied Spot Yields and Zero-Coupon Bond Yields
    • Determining Strip Values
    • Strips Market Anomalies
    • Strips Trading Strategy
    Duration and Convexity
    • Macaulay Duration
    • Modified Duration
    • Convexity
    • Duration–Convexity Approximations to Bond Price Change

    This section is a buildup on the previous section. It focuses on term structure of interest rates, PV01 hedge etc. Modeling of term structure of interest rate is also covered. Interest rate modeling is explained using Short-Rate Processes, Ito’s Lemma, One-Factor Term-Structure Models, Two-Factor Interest Rate Model.

    Term Structure of Interest Rates
    • Definition and Properties of the Term Structure
    • Bootstrapping spot rates and forward rates
    • The Pure Expectations Theory
    • The Pure Risk Premium Theory
    • The Market Segmentation Theory
    • The Biased Expectations Theory
    Present Value of Basis Point
    • PV01 and Value Duration
    • Approximations to PV01
    • Understanding Interest Rate Risk
    Modeling The Term Structure Of Interest Rates
    • Modeling the Yield Curve Dynamics
    • The Binomial Interest-Rate Tree Methodology
    • Continuous-Time Models
    • Arbitrage Models
    Interest Rate Modeling
    • Basic Concepts
    • Short-Rate Processes
    • Ito’s Lemma
    • One-Factor Term-Structure Models
    • Two-Factor Interest Rate Model
    • Vasicek Model
    • Hull-White Model
    • Cox-Ingersoll-Ross (CIR) Model
    • Brennan-Schwartz Model
    • Extended Cox-Ingersoll-Ross Model
    • Heath-Jarrow-Morton (HJM) Model
    • The Multifactor HJM Model
    Inflation-Indexed Bonds
    • Basic Concepts
    • Choice of Index
    • Indexation Lag
    • Coupon Frequency
    • Type of Indexation
    • Index-Linked Bond Cash Flows and Yields
    • TIPS Cash Flow Calculations
    • TIPS Price and Yield Calculations
    • Assessing Yields on Index-Linked Bonds
    • Which to Hold: Indexed or Conventional Bonds?
    • Analysis of Real Interest Rates
    • Indexation Lags and Inflation Expectations
    • An Inflation Term Structure
    Convertible Bonds
    • Characteristics of Convertible Bonds
    • Pricing Models for Convertible Bonds

    This section is aimed at explaining the concept of swaps. Concepts of The Key Principles of an Interest Rate Swap Generic Swap Valuation, Zero-Coupon Swap Valuation, Calculating the Forward Rate from Spot-Rate Discount Factors are some of the many concepts covered.

    • Interest Rate Swaps
    • Market Terminology
    • Swap Spreads and the Swap Yield Curve
    • Generic Swap Valuation
    • Intuitive Swap Valuation
    • Zero-Coupon Swap Valuation Calculating the Forward Rate from Spot-Rate Discount Factors
    • The Key Principles of an Interest Rate Swap
    • Valuation Using the Final Maturity Discount Factor
    • Non–Plain Vanilla Interest Rate Swaps
    • Swaptions
    • Valuation
    • Interest Rate Swap Applications
    • Corporate and Investor Applications
    • Hedging Bond Instruments Using Interest Rate Swaps
    Forward Rate Agreements and Interest Rate Swaps
    • Forward Rate Agreements
    • Interest Rate Swaps
    • Cash Flows on Vanilla Swaps
    • Cross-Currency Swaps
    Hedging through Fixed Income
    • Hedging Bond Instruments Using Interest Rate Swaps
    • Hedging INR Floating-rate Liability
    • Hedging USD Floating-rate Liability
    • Managing Rates and Currency Risk
    • Hedging through Cross Asset products
    Hedging Interest Rate Risk
    • Caps
    • Floors