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Financial Data and Interest Ratess

The seminar in English language will be agreed later during the year.

Section 1: Basics of the financial instruments

Presenter: Ing. Radim Kotrouš, CFA

  • Types of actives covering liabilities
  • Main world-wide financial data providers (Bloomberg, Reuters, Murex, Sophis)
  • Principles, forms and sources of valuation
  • Bid – Offer spreads
  • Real time data versus End of the day data
  • Yield curves and its sources
  • Derivatives and data sources
  • Financial data quality

Section 2: Introduction into interest rates and fixed income instruments

Presenter: Ing. Martin Matějka, Ing. Kamil Kladívko, Ph.D.

  • Yield Curve Basics I: Discount factors, Compounding, Spot rates. Coupon bonds (clean and dirty price, coupon effect), Par rates, Bootstrapping.
  • Yield Curve Basics II: Duration, Convexity, Forward rates, The concept of no-arbitrage (static no-arbitrage pricing), Days count conventions.
  • Yield Curve Fitting: Estimating spot rates from coupon bond prices by Nelson-Siegel-Svensson model.
  • Empirical evidence on interest rates: Means, Volatilities, Holding period bond returns, Level, slope and curvature (principal components).
  • Expectation hypothesis and risk premium.

 

   
 
   
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e: info@tools4f.com

Martin Janeček
t: +420 604 294 866
e: janecek@tools4f.com

 
 
 
 

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