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You are here: Global Markets Training » Yield Curve Trading Workshop


YIELD CURVE TRADING WORKSHOP

This two-day in-person workshop provides participants with the essential
framework to formulate yield curve trading strategies and presents the
analytical tools to apply them in a practical trading context. The course
discusses term structure, relative value (RV) methods to detect value along the
curve (such as principal component analysis (PCA)), and macro economic impacts
on the yield curve. It also considers trading strategies along a single yield
curve and between two yield curves, including swap spreads and basis swaps.
Advanced curve fitting methods are presented, enabling delegates to assess the
value of individual bonds. Some knowledge of bond market cash and derivative
products is assumed. Practical trading examples will be explored in a workshop
setting. Each delegate will be equipped with a PC and Microsoft Excel.

September 27 to September 28, 2022 Duration: Two days (9.00am to 5.00pm)
Location: The Tower Hotel – London E1, UK Trainer: Christian Schaller Course
fee: £1990 + VAT – Register online



COURSE OUTLINE

APPROACHES TO YIELD CURVE TRADING

+ Fundamental: Forecasting yields through economic knowledge and expectations
+ Statistical: Analysing time series using universal tools, such as mean
reversion models
+ Adding value with sophisticated models and incorporation of relationships
between yield curves

REVISION OF BASIC CONCEPTS

+ Zero, par and forward rates
+ Carry and roll-down; The impact of repo rates

BASIC FUNDAMENTAL ANALYSIS

+ Bond yields as a combination of real yields, inflation and a risk premium
+ Real yields and economic growth
+ Nominal yields and inflation expectations
+ Risk premium and fiscal policy
+ Supply and demand

TRADING SPREADS ALONG THE YIELD CURVE

+ Flatteners/Steepeners, butterflies, condors
+ Weighting
+ Directionality

STATISTICAL ANALYSIS

+ Basic: Z-scores
+ Medium: Add information about the speed of mean reversion
+ Advanced: Non-parametric models; Bucketing techniques
+ Assessing the impact of targets, stops and scaling on the expected Sharpe
ratio
+ Finding the optimal execution strategy (e.g., target)

FINDING RELATIVE VALUE ALONG THE YIELD CURVE: PCA

+ Factor models: Nelson-Siegel and PCA
+ Gaining insights into the market mechanisms behind yield curve moves
+ Decomposing the yield curve moves into uncorrelated factors
+ Identifying and excluding the impact of the direction on yield curve trades:
generating alpha
+ Hedge ratio calculation
+ PCA as a monitor for trades
+ PCA as an asset selection tool
+ PCA for curve reconstruction and forecasting

MODELS FOR THE YIELD CURVE

+ Vasicek model: Modeling the expected path of short term rates
+ Shadow rate model: Assessing the impact of negative interest rates on the
shape of the yield curve
+ Pitfalls

FITTED CURVES: ASSET SELECTION FOR YIELD CURVE TRADES

+ Different methods for fitting a yield curve through a number of bonds
+ Incorporating external information, such as benchmark status
+ Analytical value of fitted curves: Constant maturity zero and par rates
+ Practical value of fitted curves: Finding the best individual bonds for yield
curve trades

TRADING SPREADS BETWEEN CURVES

+ Nominal versus real yields: Breakeven inflation
+ Risk premium versus CDS: Basis trades
+ Bonds versus swaps: Asset swaps
+ Yield curves of different issuers: Credit spreads; Eurozone spreads
+ Yield curves in different currencies: Basis swaps
+ Linking the bond, swap, basis swap and CDS curves
+ Understanding their mutual impacts and incorporating them into yield curve
analysis


AVAILABLE COURSES

 * Algorithmic Options Strategies
 * Cryptocurrencies and Blockchain
 * ESG Reporting for Listed Companies
 * ESG and Corporate Governance
 * ESG and Sustainable Investing
 * Financial Modelling for Renewables
 * Fixed Income Relative Value Trading
 * Machine Learning for the Markets
 * Quantitative Momentum Strategies
 * Short-Term Trading Workshop
 * Supply Chain Sustainability
 * Technical Analysis: Introduction
 * Technical Analysis: Advanced
 * Yield Curve Trading Workshop




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