Fixed Income Masterclass

This course is an introduction to Fixed Income markets.

Participants will learn about the fundamentals of bonds and yield curves and how bonds are priced. Next to this they will learn about the concepts of duration and DV01 and how to trade bonds.

Lastly in this module participants will learn about the fundamentals credit markets. This includes concepts like credit risk, credit ratings, credit spreads and securitisation.


This course is suitable for anyone new to Fixed Income.

Learning Outcomes

  • What bonds are and how they work
  • The key elements of a bond
  • Differences between bonds and loans
  • Price a bond in Excel long hand
  • Price a bond in Excel using the PV function
  • Price a bond in Excel using the PRICE function
  • Calculate the accrued interest of a bond
  • Calculate the clean price of a bond
  • Calculate the dirty price of a bond
  • What a yield curve is
  • Why a normal yield curve is upward sloping
  • The different parts of the yield curve
  • The various yield curve shapes
  • Curve steepening
  • Curve flattening
  • When curves steepen
  • When curves flatten
  • How to trade curve steepening and flattening
  • Bonds positions have carry
  • The P&L effect of bonds rolling down the curve
  • How to calculate carry and roll
  • The difference between yield-to-maturity, spot rates and forward rates
  • How to calculate spot rates from forward rates
  • How to calculate forward rates from spot rates
  • What bootstrapping is
  • How to bootstrap a yield curve to get the spot curve
  • How to bootstrap a curve in Excel
  • What the duration of a bond is
  • What the modified duration of a bond is
  • How to use duration
  • What the DV01 of a bond is
  • How to calculate DV01
  • How DV01 is used
  • How the maturity of a bond has an impact on the duration and DV01 of a bond
  • How the cash flow profile of a bond has an impact on the duration and DV01 of a bond
  • How the level of yields has an impact on the duration and DV01 of a bond
  • Bond prices have a convex relationship to yields
  • What the convexity of a bond is
  • How to use convexity
  • How to use DV01 when trading the yield curve
  • How to construct DV01 neutral curve trades
  • How to construct curve trades with an outright view incorporated
  • What credit risk is
  • What factor have an impact on credit risk
  • On what level credit risk is evaluated
  • What corporate bonds are
  • The yield components of a corporate bond
  • The drivers of the corporate bond market
  • What a credit rating is and what it isn’t
  • The different type of credit ratings
  • Difference between investment grade and high yield credit
  • What credit spreads are
  • Credit curve terminology
  • The different definitions of credit spreads
  • How credit spreads drive bond prices
  • How credit spreads can be traded
  • What products give investors exposure to credit risk
  • The basics of securitisation
  • What assets can be securitised
  • The advantages and disadvantages of securitisation
  • How debt tranches can be created from a pool of assets
  • What the risk/ return profile of those tranches looks like
  • How the loss waterfall structure works

Course Content

Fixed Income Fundamentals

Unit 1 – What is a bond

Unit 2 – Bond price and yield

Unit 3 – Pricing a bond

Unit 4 – Clean and dirty pricing

Yield Curves

Unit 5 – What is a yield curve

Unit 6 – How does the yield curve change

Unit 7 – What moves the yield curve

Unit 8 – Carry and roll

Spot and Forward Rates

Unit 9 – Spot and forward rates

Unit 10 – Bootstrapping

Risk Management and Trading

Unit 11 – Duration

Unit 12 – DV01

Unit 13 – What drives duration and DV01

Unit 14 – Convexity

Unit 15 – Trading the yield curve

Credit Markets

Unit 16 – Credit risk

Unit 17 – Corporate bonds

Unit 18 – Credit ratings

Unit 19 – Credit spreads

Unit 20 – How to trade credit spreads

Unit 21 – Intro to securitisation

Unit 22 – Risk tranching

This Course Includes

  • Learn: 22 micro-learning on-demand videos
  • Check: 22 knowledge checks to validate understanding
  • Apply: 22 hands-on practical exercises and projects
  • Requirements: Access to a computer with an internet connection
  • Accessibility: Access on PC, mobile or TV
  • Certification: Certificate of completion with CPD record


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