Bond Math: 2-Day Intensive Bootcamp

  • Date TBA
  • Level: Intermediate to Advanced
  • 14 CPE Credits
  • Group-Live
  • Prerequisite: none
  • US $1,695
  • Group discounts available


Douglas C. Carroll    Read bio

course overview

The Bond Math Boot Camp program will be a two-day training program delivered via interactive lecture format. The BootCamp will be facilitated in a fashion that encourages group participation with numerous leading/rhetorical questions to draw the audience into focused discussions.

The course concepts and methodologies discussion will be supplemented by in-class hands-on exercises as well as optional homework.  This seminar will provide an in-depth exposure to yield, pricing and interest rate conventions for fixed income securities. The session begins with an introduction to such fundamental concepts as time value of money, interest/discount rates as well as the compounding and day count conventions upon which market measures are based.

The balance of the class will be devoted to exploring how these concepts are applied to the determination of price, yield, interest/discount rates, rates of return, accrued interest, etc. The presentation will incorporate the mechanics of the calculation: formula or methodology for determining a numeric value; source and nature of inputs into formula; implicit or explicit assumptions being used. This discussion of conventional calculations will be augmented by an introduction to the interpretation and application of the numbers - how market participants use the numbers for investment/market insights. We strongly recommend that you bring an HP12c calculator or a similar model to ensure you get the benefit of the hands-on activities during this two-day class.

Concepts and measures will be addressed in a pertinent fixed income market context, illustrating these ideas with a discussion of their use by bond traders and portfolio managers when assessing risk and return. The approach taken to address each of the major topics:

  • First, explain the concept and the related market intuition, what does the concept/number attempt to quantify and how do market participants interpret the number regarding any insight into market conditions/securities valuation
  • Second, review the specific methodology by which the measure/concept is quantified, what is the structure of the computation or process by which the number is determined, what are the inputs for the computation/process and how are they obtained as well as any implicit assumptions used in the calculation
  • Third, illustrate the computation/process using current market data, taking values/rates/contract details of treasury, corporate and mortgage-backed securities. To the extent possible the presentation will be guided by participant questions.

Detailed TOPICS


  • What Is An Interest Rate?
    • Definitions
    • Interest rates, yields and rates of return compared
  • Interest Conventions
    • Simple interest
    • Compound interest


  • Time Value of Money
    • Significant issues
    • Future value
    • Present value


  • Bond Prices
    • Present value of the cash flows to maturity (first call date)
    • Pricing zeros/strips and coupon bonds
    • Bond pricing versus bond valuation
    • Pricing discount securities (T-bills)
  • Bond Yields
    • Types of yields
    • Calculation and interpretation
    • Yield to maturity versus rate of return
  • Expected Risks Versus Expected Returns
    • Sources of return
    • Risks of fixed income securities
    • Yield to maturity reconsidered


  • Fundamentals
    • Terms and definitions
    • Types of yield curves by security type
    • Yield curve construction methodologies
  • Yield Curves Theory and Practice
    • Interest rate levels and shape of the yield curve
    • Yield Curve Movements And The Real Economy
  • Yield Curves And Securities Valuation
    • Spot rates and the spot rate curve
    • Construction/determination
    • Analytic applications
    • Treasury strip market
  • Forward Rates – Pricing and Analytic Applications
    • Forward rates
    • Riding the yield curve
    • Pricing derivative contracts


  • Factors Determining Sensitivity of Price to Change in YTM
    • Non callable bonds
    • Callable bonds - embedded options
  • Quantifying Price Sensitivity to Changes In Market Yields
    • Modified duration
    • Effective duration
    • Dollar duration
    • Impact of convexity
  • Non Callable Bonds
    • Price behavior
    • Modified duration and convexity
  • Callable Bonds
    • Price behavior
    • Effective duration and convexity
  • Applications of duration
    • Portfolio management
    • Hedging


In-house instruction is available.  Contact us to inquire.

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