8/8/2019 Valuation of Investments 10th - 11th Nov 2010
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Regd. Office: “The International”2nd Floor, 16, Maharishi Karve Rd,
Churchgate, Mumbai – 400 020Ph No: 022-22017089/91/94
Fax: 022-22017095
E-mail: [email protected]
FIXED INCOME MONEY MARKET AND DERIVATIVES ASSOCIATION OF INDIA
FIMCIR/2010-11/46
October 13, 2010
To All FIMMDA Members/ Non Members
Dear Sir / Madam,
Training Programme – Valuation of Debt Securities
FIMMDA in co-ordination with Dun & Bradstreet Information Services (India) Pvt Ltd isconducting a two-day training programme on “Valuation of Debt Securities” on November10th & 11th, 2010.
The purpose of the programme is to give the participants an in depth knowledge of themothodology to value debt securities.
The brief details of the programme are as under:
Programme title : Valuation of Debt Securities
Course handled by : Faculty from D&B
Course Fee : Members: Rs. 11,000Non Members: Rs. 13,000
Period : Nov 10th – 11th, 2010.
Timing : 10.00 am to 5.00 pm including lunch break
Venue : Fixed Income Money Market & Derivatives Association of India(FIMMDA)2nd Floor, “The International”16 Maharishi Karve Road, Churchgate,Mumbai – 400020Ph no: 022-22017089/91/94Fax: 022-22017095
8/8/2019 Valuation of Investments 10th - 11th Nov 2010
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Regd. Office: “The International”2nd Floor, 16, Maharishi Karve Rd,
Churchgate, Mumbai – 400 020Ph No: 022-22017089/91/94
Fax: 022-22017095
E-mail: [email protected]
FIXED INCOME MONEY MARKET AND DERIVATIVES ASSOCIATION OF INDIA
A tentative time - table (Annexure I) of the course is enclosed for your perusal.
Please send your registration forms by phone/fax, mentioning number of candidates you aresponsoring, followed by your detailed letter.
As the program is highly subsidized, we can take trainees only on a first come first servedbasis, and maximum 24 candidates.
For further queries you can contact FIMMDA at 022-22017089/91/94 or mail [email protected]/ [email protected]
Yours faithfully,
Chief Executive Officer
Encls:
Registration FormAnnexure I (Program Schedule for Basics of Bond Mathematics Course)
8/8/2019 Valuation of Investments 10th - 11th Nov 2010
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Regd. Office: “The International”2nd Floor, 16, Maharishi Karve Rd,
Churchgate, Mumbai – 400 020Ph No: 022-22017089/91/94
Fax: 022-22017095
E-mail: [email protected]
FIXED INCOME MONEY MARKET AND DERIVATIVES ASSOCIATION OF INDIA
REGISTRATION FORM
Valuation of Debt Securities (Nov 10th & 11th 2010)
Details of Participant
Name :
Designation :
Organization :
Department :
Office Address :
Telephone Number :
Fax Number :
E-mail ID :
SIGNATURE : ___________________ Date:
8/8/2019 Valuation of Investments 10th - 11th Nov 2010
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Regd. Office: “The International”2nd Floor, 16, Maharishi Karve Rd,
Churchgate, Mumbai – 400 020Ph No: 022-22017089/91/94
Fax: 022-22017095
E-mail: [email protected]
FIXED INCOME MONEY MARKET AND DERIVATIVES ASSOCIATION OF INDIA
( Annexure 1 )
Valuation of Debt Securities
Course Structure (Duration – 2 days)
Debt Securities/Investments ValuationBond Mathematics
Yield to MaturityBond Prices and Discount Factors
Bond Prices, Spot and Forward RatesDeriving ZCYCCalculate forward rates from spot ratesCalculate the price of a bond using discount factors, spot rates and forward ratesMeasures of Price SensitivityDV01Effective Duration, Modified duration and Macaulay durationConvexity
Valuation of investments
Valuation of government securitiesValuation of bonds and debentures other than government securities (rated and
unrated)Valuation of bonds and debentures having special featuresValuation of perpetual bondsValuation of tax free bonds
Yield Curve InterpolationTerm structure of Interest RatesQuadratic Splines
Cubic SplinesNelson Siegel Model as used by FIMMDA and published in the CCIL website forGoiSec ZCYC
Interest Rate Swaps
Introduction to Interest Rate Swapsbackground, reading swap screens, market conventions, swap spreadsMIBOR, MIFOR, OIS swap pricing and valuation
8/8/2019 Valuation of Investments 10th - 11th Nov 2010
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Regd. Office: “The International”2nd Floor, 16, Maharishi Karve Rd,
Churchgate, Mumbai – 400 020Ph No: 022-22017089/91/94
Fax: 022-22017095
E-mail: [email protected]
FIXED INCOME MONEY MARKET AND DERIVATIVES ASSOCIATION OF INDIA
Forward Starting Swaps
Cross Currency Swaps & Currency Basis SwapApplication of Swaps to Debt Capital Markets: Pre-issuance and post-issuance
hedging
Fixed Income DerivativesInterest Rate Futures as traded on NSEOption pricing basicsSwaptions, Caps and FloorsPricing Caps, Floors and Swaptions using Black’s model
8/8/2019 Valuation of Investments 10th - 11th Nov 2010
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Regd. Office: “The International”2nd Floor, 16, Maharishi Karve Rd,
Churchgate, Mumbai – 400 020Ph No: 022-22017089/91/94
Fax: 022-22017095
E-mail: [email protected]
FIXED INCOME MONEY MARKET AND DERIVATIVES ASSOCIATION OF INDIA
Route Map for FIMMDA