Fixed Income Analytics

Catalog description

This course examines the pricing and yield determinants of various fixed income securities including Treasury bills, notes and bonds, strips, corporate bonds, munis, mortgages, and asset-backed securities. Topics include the term structure of interest rates, duration, convexity, immunization, and the various types of risk that can affect the pricing of fixed income securities. Arbitrage-free pricing methods are explained. The course is designed to give students the quantitative tools they need to evaluate streams of fixed-income cash flows.