NCFM INTEREST RATE DERIVATIVES COURSE

CHAPTER 1: Interest Rates and Time Value Of Money 

• Introduction;
• Factors affecting the level of interest rate;
• Impact and classification of interest rate and Present value,
• Future value and Discount factor.

CHAPTER: 2 Money and Fixed Income Markets 

• Money markets and Fixed income markets.

CHAPTER 3: Government Bonds 

• Introduction to and Characteristics of Bonds;
• Concept of yield;
• Relationship between bond price and interest rate;
• Repo and cost of funding and other bond terminology.

CHAPTER 4: Interest Rate Derivative

• OTC Derivatives; Exchange traded contracts and key terminology of futures

CHAPTER 5: Interest Rate Futures (IRF) in India 

• Interest rate futures;
• Rationale;
• Contract specifications;
• Settlement and Risk Management.

CHAPTER 6: An Explanation of Key Concepts in IRF 

• Why a notional bond is being used as underlying;
• Conversion factor;
• Invoice price;
• Cheapest to deliver bond;
• Bond basis.

CHAPTER 7: Applications and Trading of Interest Rate Futures 

• Participants in the IRF market;
• Hedging applications of interest rate derivatives;
• Speculation and Arbitrage strategy.