### NCFM INTEREST RATE DERIVATIVES COURSE

### CHAPTER 1: Interest Rates and Time Value Of Money

- Introduction;
- Factors affecting the level of interest rate;
- Impact and classification of interest rate and Present value,
- Future value and Discount factor.

### CHAPTER: 2 Money and Fixed Income Markets

- Money markets and Fixed income markets.

### CHAPTER 3: Government Bonds

- Introduction to and Characteristics of Bonds;
- Concept of yield;
- Relationship between bond price and interest rate;
- Repo and cost of funding and other bond terminology.

CHAPTER 4: Interest Rate Derivative

- OTC Derivatives; Exchange traded contracts and key terminology of futures

### CHAPTER 5: Interest Rate Futures (IRF) in India

- Interest rate futures;
- Rationale;
- Contract specifications;
- Settlement and Risk Management.

### CHAPTER 6: An Explanation of Key Concepts in IRF

- Why a notional bond is being used as underlying;
- Conversion factor;
- Invoice price;
- Cheapest to deliver bond;
- Bond basis.

### CHAPTER 7: Applications and Trading of Interest Rate Futures

- Participants in the IRF market;
- Hedging applications of interest rate derivatives;
- Speculation and Arbitrage strategy.