Course Syllabus
Fixed Income Analytics
September – October 2015
Course
Fixed Income Analytics
Professor
Bill Reese
Office Phone: 504-865-5465
E-mail: wreese@tulane.edu
Text
Fixed Income Analysis 3rd Edition by Petitt
Prerequisites
Financial Management 1 and 2
Grading
Take-Home Exam
Homeworks
Attendance
Objectives:
The purpose of this course is to give students the skills necessary to
analyze fixed income securities. A thorough understanding of this
material is needed to effectively manage and/or evaluate a fixed
income portfolio. We will discuss how to price various types of fixed
income securities and how to measure their interest rate risk. We’ll
look at mortgages and the market for pass-through securities. We’ll
learn how to hedge interest rate risk, and how to incorporate call and
conversion features into a bond’s price. We’ll also examine various
theories about the term structure of interest rates, fitting yield curves
and deriving implied forward interest rates.
.
Website
Preparation
55%
40%
5%
I will be maintaining a website for this course at
http://info.freeman.tulane.edu/breeseemba/fixed_income.htm
On it, I will be posting announcements that you will want to read,
homework problems, class notes, and other worthwhile information.
I strongly encourage you to visit the website regularly to keep up
with what’s going on in class. In particular, if you print out the class
notes and bring them to class with you, I think you’ll find it easier to
follow the lectures and you will not have to spend as much time
writing everything down.
Prior to the first weekend, please review the material on bonds
which we covered in Financial Management 1 (Chapter 8 in the 10th
edition of Ross, Westerfield and Jaffe) as well as the chapters in the
Petitt text that the syllabus indicates.
Tentative Course Schedule
Date
Material
Readings
First Friday
Review of Bond Basics
RWJ chapter 8
Petitt 1
First Saturday
Invoice Prices, T-Bill Quotes, Bond Prices and
Yields in Excel, TIPS, FRNs, Strips, Repos,
Treasury Issue Process
Petitt 2, 3
Second Friday
Implied Forward Rates, Yield Curve Analysis,
Bootstrapping, Par-Bond Yield Curve
Petitt 10
Second Saturday
Factors Affecting Interest Rate Risk, Duration,
Modified Duration, Convexity, PVBP
Petitt 4, 5
Third Friday
Yield Volatility, Hedging Duration Risk,
Interest Rate Futures, Interest Rate Futures
Options
Petitt 11, 12
Third Saturday
Interest Rate Swaps,
Interest Rate Caps, Floors, and Collars
Fourth Friday
Callable Bonds
Petitt 8, 9
Fourth Saturday
Mortgage Backed Bonds, Convertible Bonds
Petitt 7