PURPOSE

To provide modern techniques for assessment of just price for major securities traded in the Brazilian market. The theory of price assessment and price calculation will be presented and discussed in a practical form, for fixed income instruments and their derivatives.

 MAIN TOPICS

. Alternatives of calculation with the paper curve
. Arbitrage, market-to-market (MTM) and paper curve
. Risk assessment
. Liquidity impact
. Bradies and global bonds
. Classes of assets
. Dirty and clean coupons
. Convertible and special debentures
. Design of the preset and foreign exchange curve and IGP-M
. Term structure of interest rates
. Extraction of data, bootstrapping and fitting of term structure
. Extrapolation of the ET
. Sources of information in Brazil
. Foreign exchange hedge with FRA
. Local indexes and currencies
. Fixed income instruments and plain vanilla derivatives
. Linear interpolation, flat forward, and exact C-spline
. Legislation for investment funds, pension funds, banks and companies
. Mortgage-backed bills, Rotten Currency and TDA
. Marking to market: regulation and recent problems in Brazil
. Nelson-Siegel model and cubic regression
. Pricing models for preset and indexed securities
. Brazilian ET movements and their effects on the MTM
. Price of securities with credit risk
. Price of federal securities: LTN, LFT, NTND and NTNC
. Market risk: duration, convexity, and teta
. Preset Swap x Interbank Deposits (DI) x future contracts for DI
. Swaps, futures for DI and FRA
. Types of interest rates and conventions