NCFM INTEREST RATE DERIVATIVES COURSE
CHAPTER 1: Interest Rates and Time Value Of Money
- 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;
- 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.