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Topic Name
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Content Outline
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Sample Links
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4.2 Yield Measures
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4.2.0 Learning Objectives
4.2.1 Current Yield, Nominal Yield, YTM, YTC, YTP, Horizon Yield
4.2.2 Yield-to-worst on Callables and Yield-to-best on Putables
4.2.3 Calculating Periodic Yield conversions - Annual to Semi-Annual etc.
4.2.4 Adjusted Current Yield - Significance
4.2.5 YTM - A simple iterative process SAMPLE
4.2.6 Coding Algorithm behind YTM Calculation explained
4.2.7 Yield Curve basics - Impact on Bond Valuation
4.2.8 Credit Ratings - Introductory Analysis
4.2.9 Shape of Yield Curve and Factors Affecting the Curve
4.2.10 Problems and Solutions
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1. Bond YTM Calc
2. Construct a Binomial-Tree
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4.3 Risk Metrics
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4.3.0 Learning Objectives
4.3.1 Bond Market Laws and Risk factors
4.3.2 Contextual reference of Credit, Market, Liquidity and Other risks
4.3.3 Duration - Conventional vs. Macaulay
4.3.4 How Bond Maturity Impacts Duration/Risk SAMPLE
4.3.5 Practical Viewpoints and Hints relating to Duration
4.3.6 Using Modified Duration on selected OTR bonds
4.3.7 PVBP and its Significance
4.3.8 Taylor Series Approximation Revisited
4.3.9 Convexity Measure
4.3.9 Duration + Convexity - Bond Price Relationship SAMPLE
4.3.10 Usage in Portfolio Creation and Hedging
4.3.11 Problems and Solutions
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1. Duration .vs. Maturity
2. Convexity and Duration
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8.1 Option Pricing - Introduction
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8.1.0 Learning Objectives
8.1.1 Revisiting Futures Fair Price mechanism
8.1.2 Foundation of Option Pricing - Hedging Cost
8.1.3 Edifice of Pricing Approach for Derivatives
8.1.4 Put-Call Parity
8.1.5 Analytic Models (Closed-form Solutions)
8.1.6 Volatility and Normal Distribution - Review
8.1.7 Historic Volatility and Implied Volatility
8.1.8 Black Scholes - Equity Model (Dividend and Non-Dividend Paying)
8.1.9 Computation of "Greeks" SAMPLE
8.1.10 Simulating Price Paths - Geometric Brownian Motion
8.1.11 Basics of Binomial Tree construction
8.1.12 Relevance of Simulation in Options Pricing Theory
8.1.13 Black Model for Options on Futures
8.1.14 Problems and Solutions
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Methodology of Option "Greeks" computation
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8.2 Equity Options - II
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8.2.0 Learning Objectives
8.2.1 Delta, Gamma and Vega Explained
8.2.2 Behaviour of Delta,Gamma and Vega Sensitivities SAMPLE
8.2.3 What makes Options Exotic? Compare with Conventional patterns
8.2.4 Is Chooser Option an exotic trade?
8.2.5 Package options (Spreads, Combinations, Straddles etc.) distinguished from Exotics
8.2.6 The One Rule that should Never be Ignored
8.2.7 Volatility Modeling - Detailed Analysis
8.2.8 Historic and Implied Volatility Curves
8.2.9 Stochastic Modeling of Volatility - Recent Framework Application
8.2.9 Skew and Smile - For Your Permanent Understanding only..
8.2.10 Application of Volatility Analysis in Equities, Fixed Income and Currency Markets
8.2.11 Further Study Reference Guide
8.2.11 Problems and Solutions
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Behaviour of Option "Greeks" in Changing Markets
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11.1 Yield Curve Strategies
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11.1.0 Learning Objectives
11.1.1 Yield Curve Plays and Market buzzwords
11.1.2 Yield Curve Construction SAMPLE
11.1.3 Positive Curve and Inverted Curve - Standard Game Practices
11.1.4 Economic Calendar and Yield Curve - Ubiquitous phenomena
11.1.5 Long and Short Curve - Premonitions and Strategies
11.1.6 Caveats while "Riding" or "Rolling-down" the Curve
11.1.7 Carry Trades - What to do when?
11.1.8 Dangers in ignoring Compounding and Day-Count conventions
11.1.9 How to outmaneuver during directional-shifts?
11.1.10 Problems and Solutions
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Methods of Yield Curve Construction
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11.2 Swap Markets
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11.2.0 Learning Objectives
11.2.1 Forward Rate Agreements
11.2.2 Interest Rate Swaps - Introduction SAMPLE
11.2.3 Quotation Conventions and Practical overview
11.2.4 Pricing a simple Interest Rate Swap
11.2.5 Swap Warehousing
11.2.6 Market Risk Analysis - Swap Curve
11.2.7 Trading Swap Spread - Basics
11.2.8 Swap Revaluation - Current practices
11.2.9 Payoff Calculation
11.2.10 Asset Swaps
11.2.11 Forward Swaps, LIA Swaps and similar Variants
11.2.12 Constant Maturity Swaps
11.2.13 Accreting, Amortizing and Roller-Coaster Swaps
11.2.14 Problems and Solutions
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Trade Pad for Swaps, Swaptions and CapFloors
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