If your knowledge of bonds is limited, you’ll be glad to know that this definition is the starting point for Interest Rate Mathematics course.

US$62 per 365 days


What is Interest Rate Mathematics:

The global financial crisis taught us many things, not least that the world has a voracious appetite for debt. Governments, firms, and individuals took on a sea of debt – many ultimately drowned in it, while some clung on thanks to unprecedented rescue operations.

Bonds are just one form of debt, but a crucial one. Largely shunned in the past by the mainstream media, which focused more on equity markets, the crisis catapulted fixed income markets onto the front pages. But while the ordinary person may not have known about the influence of debt markets on the global economy, the financial community was already well aware. Bonds have long been a critical source of finance for governments, corporations, and other borrowers. And the source of these borrowed funds is institutional and individual investors who are attracted to bonds for their huge array of risk and reward profiles.

Why it is important:

It's no surprise, then, that the global debt securities market is vast, estimated at around USD 100 trillion in terms of debt outstanding (nearly double that of global stock market capitalization). The scale and influence of the fixed income market are beyond dispute.

The bond market may be intimidating to some people, but – as this course will show – it doesn't have to be.

If you want to understand how the market works, then you need to begin with the fundamental concept of a bond. Reduced to its most basic level, a bond is merely a type of “IOU.” This rather banal statement lies at the heart of all the various bond markets. If your knowledge of bonds is limited, you’ll be glad to know that this definition is the starting point for our course. But for those of you with more experience and knowledge, there’s plenty in the course as well.

What will you learn:

  1. Know and understand mathematical concepts and results from the stochastic analysis in infinite-dimensional spaces
  2. Know and understand classical stochastic models for interest rates in connection with bond markets
  3. Learn how to build stochastic models for the dynamics of term structures of interest rates by using mathematical tools from infinite-dimensional stochastic analysis
  4. Learn and understand the advantages and deficiencies of the use of infinite-dimensional bond market models compared to classical ones from a practical and methodological point of view
  5. Learn and understand how to estimate bond market model parameters both in a classical and an infinite-dimensional setting by using empirical data.

Target audience:

Recruits to banking and financial institutions, fund managers, custodians, operations and support staff, institutional salespeople, legal and compliance executives, systems, and IT staff.


  1. Present Value and Future Value
  2. Discounting
  3. Nominal and Effective Rates of Interest
  4. Internal Rate of Return (IRR)
  5. Annuities and Perpetuities
  6. Bond Pricing Basics
  7. Yield to Maturity (YTM)
  8. Z-Spreads
  9. Bootstrapping a Zero-Coupon Curve
  10. Discount Factors
  11. Yield Curves
  12. Forward Interest Rates
  13. Clean and Dirty Prices
  14. Day Count and Accrued Interest Calculations
  15. Bond Sensitivities to Interest Rates
  16. Macaulay Duration
  17. Modified Duration and PV01
  18. Duration-Weighted Hedging
  19. Convexity
  20. Bond Portfolios Sensitivities
  21. FRN Calculations
  22. Interest Rate Swap Valuation
  23. Bond Portfolios Strategies and Immunization

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