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Yield Curve Dynamics

Covers a variety of issues relating to yield curves, their construction, and their uses to assess risk and return.
4.5 (18 ratings)
Instead of using a simple lifetime average, Udemy calculates a course's star rating by considering a number of different factors such as the number of ratings, the age of ratings, and the likelihood of fraudulent ratings.
317 students enrolled
Created by Paul Siegel
Last updated 3/2014
$15 $50 70% off
30-Day Money-Back Guarantee
  • 3 hours on-demand video
  • Full lifetime access
  • Access on mobile and TV
  • Certificate of Completion
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This comprehensive course will cover a variety of issues relating to yield curves, their construction, and their use in a variety of analytical applications to assess risk and return.

The course consists of 19 lectures among 5 sections, including topics within:

  • Introduction to Yield Curves
  • Duration and its Applications
  • The Level of Rates and Shape of the Yield Curve
  • Spot Rates and Forward Rates
  • Total Return Analysis
Who is the target audience?
  • Analysts and associates in commercial, corporate and investment banking.
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What Will I Learn?
You'll be able to understand how yield curves depict fixed income instrument pricing and risk premiums
You'll be able to explain duration as a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates
You'll be able to describe the different types of duration, and how each is used in managing and/or quantifying risk
You'll be able to discuss alternative yield curves that are used to price or assess the value of fixed income instruments, including the current coupon yield curve, par coupon yield curve, spot rate curve, treasury strip curve and forward rate curve
You'll be able to apply total return analysis over a variety of interest rate scenarios to assess risk and return as an alternative to simply using yield to maturity as an estimate of future returns
View Curriculum
  • Participants are expected to have basic math knowledge coming into this course.
  • A financial calculator is recommended to get the most out of this course.
  • Knowledge of the English language.
Curriculum For This Course
Expand All 19 Lectures Collapse All 19 Lectures 03:05:58
Introduction to Yield Curves
2 Lectures 19:26

Instructor Doug Carroll introduces the course.

Preview 09:44

Instructor Doug Carroll explains the types of yield curves and yield curve spreads.

Types of Yield Curves and Yield Curve Spreads
Duration and its Applications
5 Lectures 48:58

Instructor Doug Carroll introduces duration.

Preview 07:52

Instructor Doug Carroll explains types of duration.

Types of Duration

Instructor Doug Carroll explains modified duration.

Modified Duration

Instructor Doug Carroll gives an illustration of duration.

Duration Illustration

Instructor Doug Carroll explains duration of callable bonds.

Duration of Callable Bonds
The Level of Rates and Shape of the Yield Curve
3 Lectures 29:13

Instructor Doug Carroll explains yield curve shapes and the level of interest rates.

Yield Curve Shapes and the Level of Interest Rates

Instructor Doug Carroll explains yield curve theories.

Yield Curve Theories

Instructor Doug Carroll explains yield curves and the business cycle.

Yield Curves and the Business Cycle
Spot Rates and Forward Rates
7 Lectures 01:07:27

Instructor Doug Carroll explains spot rates and spot rates curves.

Spot Rates and Spot Rate Curves

Instructor Doug Carroll explains calculation of spot rates.

Calculation of Spot Rates

Instructor Doug Carroll explains bond valuation and rich/cheap analysis.

Bond Valuation and Rich/Cheap Analysis

Instructor Doug Carroll explains treasury strips and the strip rate curve.

Treasury Strips and the Strip Rate Curve

Instructor Doug Carroll explains forward rates.

Forward Rates

Instructor Doug Carroll explains the calculation of forward rates.

Calculating Forward Rates

Instructor Doug Carroll explains forward rate applications.

Forward Rate Applications
Total Return Analysis
2 Lectures 20:54

Instructor Doug Carroll explains total return analysis.

Total Return Analysis

Instructor Doug Carroll gives an illustration on total return analysis and concludes the course.

Total Return Analysis Illustration
About the Instructor
4.1 Average rating
484 Reviews
4,045 Students
17 Courses
Education you can bank on

We deliver superlative, hands-on and practical corporate and investment banking education that you can use immediately in your job, or that next great job you are looking to start. We focus on making complex subjects readily understandable and usable. If you want to take a great leap forward in your finance career, we are here to make that happen.

Our instructors are practitioners who have worked in the field of finance. They relate the subjects covered to real work situations you will encounter in your banking job. So, the concepts are real, the coverage is at the right level of depth, and the material is easy to absorb.

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