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Inflation Derivatives and Index-Linked Bonds

The market for inflation derivatives and other index-linked products is constantly evolving. This program covers the mechanics of the instruments, their valuation, and how they can be used to take or hedge inflation exposure alone or embedded in other structures. Seasonality and convexity when using these products is also analyzed.

More than half of the program is devoted to practical small group sessions. These intensive exercises include simulations using Microsoft Excel or other industry standard software. Participants will be able to take away worked examples including a number of Excel functions and macros.

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  • Date:
  • Venue:
  • This course is only available via LFS LiveLFS Live
  • Fee:
  • US$2000 per day
    US$4000 total

This course is also available in London Time Zone and Singapore Time Zone

Who The Course is For
  • Traders
  • Risk managers
  • Fund managers
  • Project finance and structured finance practitioners
  • Accountants, auditors, consultants, and anyone interested in the use and operation of index linked securities and their derivatives
Learning Objectives
  • Understand the mechanics of index-linked bonds and inflation derivatives
  • Gain clarity on the fundamental issues raised when inflation exposure is being managed
  • Analyze relative value in the index-linked and nominal bond markets through asset swaps
  • Understand the impact of seasonality on inflation swaps and related products
  • Learn how to use inflation derivatives for trading and managing risk
  • Understand the similarities and differences between options on interest rates and inflation
  • Gain familiarity with embedded inflation options
Prior Knowledge

Basic understanding of bonds and interest rate derivatives, intermediate maths, and Excel skills.

Preferably, delegates should have taken the LFS Interest Rate Derivatives and Swaps course or be completely familiar with the details of what is covered in that program.


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