Fixed Income Securities. 3 credits

Catalog description

The course covers the valuation of a wide variety of fixed income securities and derivatives including pure discount bonds, coupon bonds, forwards and options on fixed income securities, interest-rate swaps, floating-rate notes, and mortgages. The course focuses on analytic tools used in bond portfolio management and interest rate risk management. These tools include yield curve construction, duration and convexity, and formal term structure models. Among relevant topics covered in the course are the relation between macroeconomic variables and interest rates, taxes, and multi-factor models of the term structure. Default risk and corporate bonds will also be discussed in depth. Offered by Costello College of Business . May not be repeated for credit.