Course outline: The Bond Market & Bond Futures

In-house Training

Capital Markets & Derivatives Training specialise in developing and delivering bespoke in-house training courses and programmes. This sample course outlines the content and structure of a typical course.

Objective: This course is a detailed examination of the government bond market focusing on bond futures and the relationship with bond repos and the swap market.
Course aims:
  • Review bond terminology
  • Study the main methods for calculating a bond's price/yield
  • Analysing a bond's different sensitivity measures
  • Explain how bond futures and swaps are valued and priced
  • Uses of bond futures

Bond Market

This section is designed to explain the different types of bonds and all the jargon and terminology associated with the underlying market.

  • Bond types
    • basic bond definition
    • government and corporate bonds
    • fixed and floating coupons
  • Zero coupon, discount bonds
    • Terminology
    • yield, maturity, value
    • dirty and clean price

Bond Pricing and Sensitivity Measures

The following section looks at how a bond's price is calculated based upon latest techniques.

  • Pricing bonds
    • yield to maturity
    • zero coupon curve
    • discount rates, discount functions
  • Bond price sensitivities
    • price yield relationship
    • duration, modified duration
    • PV01 (BPV or risk)

Bond Futures, Repos and Swaps

This section looks at how bond futures contracts are constructed and their different applications and relationship with the underlying market

  • Bond futures contracts
    • Swapnote contract specification
    • contract definition
    • invoice amount formula
    • price factors
    • defining the cheapest to deliver
  • Pricing government bond futures
    • cost of carry relationship
    • basis types
    • cash and carry arbitrage
    • implied repo rate and CTD
  • Uses of bond futures
    • hedging and spread trading
  • Bond repos
    • types of repos
    • users and uses

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