Analysis of Fixed Income Securities

Catalog description

This course deals with the analysis of fixed income securities. Topics include valuation of different bond types, calculation of yield to maturity and total returns, accrued interest, day-counting rules, measurement of interest rate risk (duration and convexity), term structure of interest rates, money markets, mortgages and the concept of pass-through securities, and management of interest rate risk through fixed income derivatives. Students will explore theoretical aspects and applications of theory. The professor may also introduce spreadsheet modeling in the above areas.