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Description

Financial Mathematics for Interest Rate Products: Discounting, Valuation and Hedging

Master the calculations behind the pricing and sensitivity of interest rate instruments

  • 2 days — 14 h
  • In-person or virtual
  • Intermediate
  • Up to 6 participants

Valuation tools display a price, a yield and a sensitivity figure, yet the outputs are often taken at face value without verification. A poorly chosen day count convention, an overlooked accrued coupon or confusion between a proportional rate and an actuarial yield is enough to distort a comparison. Discrepancies tend to surface late, at reconciliation stage.

Over two days, these calculations are rebuilt step by step. Participants set the market conventions, value a fixed rate bond and a floating rate note, build discount factors and forward rates from the curve, then measure the sensitivity of a position and size a simple hedge.

Learning objectives

  • Apply day count conventions and annual basis rules
  • Convert a periodic rate into an equivalent rate and an actuarial yield
  • Value a fixed rate bond and calculate its accrued coupon
  • Build discount factors and implied forward rates
  • Calculate modified duration and the basis point value of a position
  • Size the hedge of a simple bond position

What makes this programme different

Every formula is rebuilt in a workbook that participants take away
The valuation differences arising from the choice of convention are quantified
Calculations are systematically checked against a given market price

Programme

1Market Conventions and Core Calculations

Setting the building blocks before valuing

  • Compounding and discounting with simple and compound interest
  • Day count conventions and annual basis rules
  • Proportional rate, equivalent rate and actuarial yield
  • Payment schedules and amortisation tables
  • Moving from a periodic rate to an annual rate

2Valuation of Interest Rate Instruments

Bringing future cash flows back to today's date

  • Price of a fixed rate bond and discounting of cash flows
  • Accrued coupon, clean price and dirty price
  • Yield to maturity and the inverse relationship between price and yield
  • Floating rate notes and the indexation mechanism
  • Money market instruments and discount calculations

3Yield Curve and Discount Factors

Building the reference used in every valuation

  • Zero coupon rates and discount factors
  • Extracting the curve from market instruments
  • Implied forward rates and how to read them
  • Interpolation between curve points
  • Curve shifts and their effect on valuations

4Sensitivity and Hedging of a Position

Quantifying the effect of a rate movement

  • Duration and modified duration
  • Sensitivity and basis point value
  • Convexity and the limits of linear approximation
  • Application to a simple interest rate swap
  • Sizing a hedge and monitoring its effectiveness

Who is it for

Middle and back office staff, risk controllers, financial markets IT specialists and analysts working on interest rate instruments.

Prerequisites

Comfort with standard algebraic calculation and working knowledge of a spreadsheet.

Dates & locations

24 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.