- Recap of Fixed – Income and Derivatives
- Yield and total return
- Options and option premiums
- Bond sensitivities, duration, convexity
- Derivatives sensitivities, delta, gamma,
theta, vega, rho
- Structured MTN Product Motivation
- Directional market viewpoints
- Volatility viewpoints
- Relative value comparisons
- Issuer funding arbitrage
- Structured MTN Products
- Path-dependent and non-path dependent
products
- Principal-protected and non-principal-protected
- Callable, puttable and early repayment
features
- Duration and convexity impact of callability
- Callable range accrual notes
- Variable coupon formulae
- Credit-linked products
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- Investment Profile of Structured MTNs
- Enhanced yield
- Estimated total return
- Yield curve and forward curve trades
- Risk combinations, duration and coupon,
volatility and yield curve
- Market liquidity and resale feasibility
- Valuation of Structured MTNs
- Concept of option-adjusted spread (‘OAS’)
- OAS duration and convexity
- The impact of volatility
- Relative value and mark to market examples
- Model estimation of effective duration
and effective convexity
- Using Monte Carlo simulation for valuation
of complex products
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