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Description

Inflation-Linked Products: Indexation, Valuation and Liability Hedging

Value inflation-linked bonds and swaps by mastering indices and reference lags

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

Inflation-linked products rely on indices that are published with a delay and are sometimes revised. Indexation is anchored to reference dates that do not coincide with cash flow dates, the redemption floor alters the risk profile, and seasonality distorts short-horizon readings. Valuation therefore requires far more than a nominal curve.

This is a short expert-level format dedicated exclusively to inflation-linked instruments. You break down indexation mechanics and the reference lag. You build an inflation curve from quoted instruments. You value inflation-linked bonds and inflation swaps, then measure break-even risk.

Learning objectives

  • Describe indexation mechanics and the reference lag
  • Build an inflation curve from quoted instruments
  • Value an inflation-linked bond and its redemption floor
  • Price an inflation swap and its main variants
  • Measure a portfolio's sensitivity to the inflation break-even

What makes this programme different

The indexation ratio is calculated step by step on a live security
Index seasonality is addressed in full rather than dismissed as a detail
A portfolio combining nominal and linked securities supports all measurements

Programme

1Indexation Mechanics

Understanding what is being indexed

  • Distinguish between the reference indices used across markets
  • Calculate an indexation ratio at a given date
  • Handle the lag between index publication and cash flow dates
  • Identify the impact of seasonality on short-horizon readings

2Inflation-Linked Bonds and Swaps

The instruments and their clauses

  • Value an inflation-linked bond and its coupons
  • Handle the redemption floor on the principal amount
  • Price a zero-coupon inflation swap
  • Review inflation options and their use in hedging

3Inflation Curve and Risk Management

From break-even to hedging

  • Build an inflation curve from quoted instruments
  • Interpret the inflation break-even rate and its limitations
  • Measure a portfolio's sensitivity to expected inflation
  • Hedge an inflation-linked liability using market instruments

Who is it for

Fixed income portfolio managers · market operators · asset-liability managers and risk controllers.

Prerequisites

Sound command of bond valuation and of nominal yield curve construction.

Dates & locations

36 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.