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1. Introduction
2. Presentation outline
3. Types of government securities
4. What are government securities?
5. Treasury bills
6. Fixed rate bonds (1)
7. Fixed rate bonds (2)
8. Inflation indexed bonds (1)
9. Inflation indexed bonds (2)
10. Inflation indexed bonds (3)
11. Floating rate bonds
12. Other types of bonds
13. Strips
14. Strippable gilts
15. Introduction to bond mathematics
16. Accrued interest
17. Ex dividend
18. The price of a bond
19. Compound interest
20. Net present value
21. How should an investor value a bond?
22. Redemption yield
23. Example of computing price from yield
24. Using redemption yields
25. Duration (1)
26. Duration (2)
27. Factors influencing duration
28. Modified duration (1)
29. Modified duration (2)
30. Modified duration example
31. Macaulay duration of 10% 2008
32. Duration of inflation-indexed bonds
33. Duration of over time
34. Price/yield relationship (1)
35. Price/yield relationship (2)
36. Estimated price error
37. Convexity (1)
38. Analysing the price/yield relationship (1)
39. Analysing the price/yield relationship (2)
40. Yield curve modelling
41. Zero coupon rates (1)
42. Zero coupon rates (2)
43. UK government bond zero-coupon curve
44. How to derive a zero coupon curve
45. Complications with using coupon bearing bonds
46. Choosing a yield curve model
47. Fitting a yield curve model
48. Transforms of the yield curve (1)
49. Transforms of the yield curve (2)
50. Transforms of the yield curve (3)
51. UK government bond discount function 2008
52. Different transforms of the gilt yield curve
53. Nelson and Siegel yield curve model
54. Estimating a real yield curve
55. Which bonds should be used for estimation?
56. Uses for the yield curve (1)
57. Uses for the yield curve (2)
58. Uses for the yield curve (3)
59. Using the DMO par yield curve to fix the coupon
60. Lending rates derived from the par yield curve
61. Theoretical curve versus actual strip yields
62. Relative value analysis
63. Cheap-dear yield spread for conventional gilts
64. References

Topics Covered

• What are government securities?
• Fixed rate bonds
• Inflation indexed bonds
• Floating rates bonds
• Other types of bonds
• Accrued interest
• How should an investor value a bond?
• Using redemption yields
• Duration
• Price/yield relationship
• Yield curve modeling
• Which bonds should be used to estimate yield curve?
• Uses of the yield curve

Links

Series:

• Government Debt Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on May 12, 2009