Yield Curve Analysis
A comprehensive survey of the tools and techniques employed to construct, interpret and trade the term structure of interest rates.
CPE Credits: 7
This course is a component of the Fixed Income Professional Certificate.
Prerequisite knowledge:
- Intermediate MS Excel skills
- Elementary calculus
- Basic probability theory
- Some familiarity with fixed income instruments will be advantageous
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
Module 1: Introduction and Overview
- Yield Curve Fundamentals
- Financial and Economic Implications
- Interpreting the Shape of the Curve, Supply, and the Business Cycle
- Risk Free Curves
Module 2: A Taxonomy of Curves
- Spot rate curves
- Swap curves
- Corporate curves
- Mortgage curves
Module 3: Yield Curve Fitting
- Fitting a curve to the bond market
- Plotting bond yields against the fitted curve
- Yield spreads to the fitted curve
Module 4: Yield Curve Modeling
- Interpretation and forecasting yield curve movements
- Fiscal and monetary policy
- Parallel yield curve shifts
- Non-parallel curve shifts (steepening/flattening/barbell)
- Econometric forecasting models
- Understanding and interpreting yield curves
Module 5: Trading the Curve and Portfolio Applications
- Yield curve strategies
- Total return analysis for yield curve shifts