valuation of investments 10th - 11th nov 2010

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





Fax: 022-22017095



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)





Fax: 022-22017095



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:





Fax: 022-22017095



( 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





Fax: 022-22017095



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





Fax: 022-22017095



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valuation of investments 10th - 11th nov 2010

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