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Central Bank Webinar Series 2020

IMPLEMENTATION STREAM: FUNDAMENTALS OF FINANCE — WEBINAR REPLAY

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FIXED INCOME MATHEMATICS

With Charles Thomson, Senior Fund Manager

WEDNESDAY 30 SEPTEMBER 2020 : 1200-1300 Hours BST

FUNDAMENTALS OF FINANCE: Fixed Income Mathematics

Applying Fundamentals in Abnormal Markets

Senior Fund Manager Charles Thomson will present Fundamentals of Finance: Fixed Income Mathematics. This session will be useful as an introduction for newer staff, as a refresher for more experienced employees, and as a vehicle for exploring how traditional assumptions may need to be reevaluated in an environment where negative interest rates are prevalent. This webinar will serve as a foundation for the more advanced topics we plan to cover in coming weeks and months, and will feature interactive examples and Q&A.

Topics to be covered will include

  • Time value of money
  • Present value of cashflows
  • Price versus yield calculations
  • Sensitivity analysis
  • Yield curves

We will explore the implications of negative interest rates on these fundamental principles of finance and how they present themselves in the world of fixed income.  To highlight just two examples: how do we reconcile zero coupon bonds being issued at a premium and modified duration being greater than the final maturity of a bond?

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