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Advanced Bond Valuation: Credit Spreads and the Yield Curve

An advanced, India-first course on the two things a single yield to maturity hides: the term structure of interest rates and the credit spread. Built for experienced retail investors, active traders, and HNIs who can already price a bond and compute duration, and now want to bootstrap a zero-coupon curve from G-Sec prices, extract forward rates, read curve shapes and curve trades, decompose a corporate bond's spread into default, recovery, liquidity, and tax components, and value any bond cash flow by cash flow off the curve plus a spread. Uses FBIL and CCIL data, NSE and BSE corporate bond quotes, RBI Retail Direct, debt fund factsheets, and real Indian credit events including IL&FS, DHFL, and the 2020 credit risk fund episode, with every calculation worked in INR.

Spot Rates and Zero-Coupon CurveBootstrappingForward RatesYield Curve Shapes and TheoriesCurve Trades and Key Rate DurationG-Spread, I-Spread, Z-Spread, OASSpread DurationImplied Default ProbabilityIndian Corporate Bond SpreadsCredit CyclesValuing Bonds Off the Curve

MODULES

5

DURATION

~3.5 hrs

TRACK

Stock Market Basics

What You'll Master

Bootstrap a zero-coupon spot curve from G-Sec prices and explain why YTM is a blunt average that spot rates sharpen

Compute implied forward rates and read what the curve is pricing about future RBI repo decisions

Identify normal, flat, inverted, and humped curves and express a curve view using gilt, constant maturity, and target maturity funds

Measure exposure along the curve with key rate durations instead of one portfolio duration number

Choose between G-spread, I-spread, Z-spread, and OAS, and compute each for an Indian corporate bond

Back out the market-implied default probability from a spread and a recovery assumption

Read the AAA to BBB spread ladder, SDL and PSU spreads, and NBFC and perpetual bond spreads on NSE and BSE

Value a corporate bond cash flow by cash flow off the spot curve plus a spread, and stress it for rate, curve, and spread shocks together

Access Level

LEARNER

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Everything included

Full Text Playbooks

Actionable Exercises

Mobile Reading Mode

Lifetime Updates

Curriculum Breakdown

Chapter 1: The Term Structure: Spot Rates, Forward Rates, and Bootstrapping

4 Lessons

Why One Yield Is Not Enough: From YTM to the Term Structure10 min read

Bootstrapping the Zero-Coupon Curve from G-Sec Prices12 min read

Forward Rates: What the Curve Implies About Future RBI Decisions11 min read

Par Curve, Spot Curve, Forward Curve: Reading FBIL and CCIL Data10 min read

Chapter 2: Yield Curve Shapes, Theories, and Curve Trades

4 Lessons

Normal, Flat, Inverted, Humped: What Each Shape Has Meant in India11 min read

Expectations, Liquidity Premium, and Segmentation: Three Theories, One Curve10 min read

Steepeners, Flatteners, and Butterflies: Curve Trades Without a Bond Desk12 min read

Key Rate Durations: Measuring Exposure Along the Curve11 min read

Chapter 3: Credit Spreads: Anatomy and Measurement

4 Lessons

What a Credit Spread Pays You For: Default, Recovery, Liquidity, and Tax10 min read

G-Spread, I-Spread, Z-Spread, and OAS: Choosing the Right Spread Measure12 min read

Spread Duration: The Rupee Impact of a Spread Move10 min read

Implied Default Probability: Backing Out PD from a Spread11 min read

Chapter 4: Credit Spreads in the Indian Bond Market

4 Lessons

The AAA to BBB Ladder: Reading Corporate Bond Spreads Over G-Secs11 min read

SDLs, PSU Bonds, NBFCs, and Perpetuals: Where the Spreads Hide11 min read

Spread Cycles: IL&FS 2018, COVID 2020, and the Credit Risk Fund Lesson12 min read

Relative Value: Is the Extra Yield Worth the Extra Risk?11 min read

Chapter 5: Valuing a Bond Off the Curve

3 Lessons

Valuing a Corporate Bond Cash Flow by Cash Flow: Spot Rates Plus a Spread12 min read

Scenario Analysis: Rate Shifts, Curve Twists, and Spread Shocks Together12 min read

Duration, Curve, and Credit Budgeting: An Indian Bond Portfolio Checklist11 min read