Overview of Fixed Income Markets

•  Overview of Debt Contracts    
•  Players and Their Objectives
•  Classification of Debt Securities
•  Risk of Debt Securities
•  Return-Risk History

 Price-Yield Conventions

•  Concepts of Compounding and Discounting
•  Yield to Maturity or Internal Rate of Return
•  Prices in Practice
•  Prices and Yields of T-Bills
•  Prices and Yield of T-Notes and T-Bonds
•  Price-Yield Relation Is Convex
•  Conventions in Other Markets

 Federal Reserve(Central Bank) and Fixed Income Markets

•  Central Banks
•  Monetary Policies
•  Fed Funds Rates
•  Payments Systems and Conduct of Auctions

 Organization and Transparency of Fixed Income Markets

•  Primary Markets
•  Interdealer Brokers
•  Secondary Markets
•  Evolution of Secondary Markets

 Financing Debt Securities: Repurchase (Repo) Agreements

•  Repo and Reverse Repo Contracts
•  Real-Life Features
•  Long and Short Positions Using Repo and Reverse Repo
•  General Collateral Repo Agreement
•  Fails in Repo Market

 Auctions of treasury Debt Securities

•  Benchmark Auctions Schedule
•  Conduct of Treasury Auctions
•  Auction Theory and Empirical Evidence
•  Auction Cycles and Financing Rate

 Bond Mathematics: DVO, Duration and Convexity

•  DV/PVBP or Price Risk
•  Trading and Hedging
•  Convexity
•  Effective Duration and Effective Convexity Suggested Reading and References

 Yield Curve and The Term Structure

•  Yield Curve Analysis
•  Term Structure
•  Forward Rates of Interest
•  STRIPS Markets
•  Extracting Zeroes in Practice

 Models of Yield Curve and the Term Structure

•  Modeling Mean-Reverting Interest Rates
•  Calibration to Market Data
•  Interest Rate Derivatives
•  A Review of One-Factor Models

 Modeling Credit Risk and Corporate Debt Securities

•  Defaults, Business Cycles, and Recoveries
•  Rating Agencies
•  Structural Models of Default
•  Implementing Structural Models The KMV Approach
•  Cost of Financial Distress and Corporate Debt Pricing
•  Reduced-Form Models
•  Credit Spreads Puzzle

 Mortgages, Federal Agencies and Agency Debt

•  Overview of Mortgage Contracts
•  Types of Mortgages
•  Mortgage Cash Flows and Yields
•  Federal Agencies
•  Federal Agency Debt Securities

 Mortgage-Backed Securities

•  Overview of Mortgage-Backed Securities
•  Risks: Prepayments
•  Factors Affecting prepayments
•  Valuation Framework
•  Valuation of Pass-Through MBS
•  REMICS

 Inflation-Linked Debt: Treasury Inflation-Protected Securities

•  Overview of Inflation-Indexed Debt
•  Role of Indexed Debt
•  Design of TIPS
•  Cash-Flow Structure
•  Real Yields Nominal yields, and
•  Cash Flows, Prices, Yields and Risks of Tips

 Derivatives on Overnight Interest Rates

•  Overview
•  Fed Funds Futures Contracts
•  Overnight Index Swaps (OIS)
•  Valuation of OIS
•  OIS Spreads with Other Money Market Yields

 Eurodollar Futures Contracts

•  Eurodollor Markets and LIBOR
•  Eurodollor Future Markets and LIBOR
•  Deriving Swap Rates form ED Futures
•  Intermarket Spreads
•  Options on ED Futures
•  Valuation of Caps

 Interest-Rate Swaps

•  Swaps and Swap- Related Products and Terminology
•  Valuation of Swaps
•  Swap Spreads
•  Risk Management
•  Swap Bid Rate, Offer Rate, and Bid -Offer Spreads
•  Swaptions

 Treasury Futures Contracts

•  Forward Contracts Defined
•  Futures Contracts Defined
•  Futures Versus Forwards
•  Treasury Futures Contracts

 Credit Default Swaps: Single-Name, Portfolio, and Indexes

•  Credit Default Swaps
•  Players
•  Growth of CDS Market and Evolution
•  Restructuring and Deliverables
•  Settlement on Credit Events
•  Valuation of CDS
•  Credit-Linked Notes
•  Credit Default Indexes

 Structured Credit Products: Collateralized Debt Obligations

•  Collateralized Debt Obligations
•  Analysis of CDO Structure
•  Growth of the CDO Market
•  Credit Default Indexes (CDX)
•  CDX Tranches    

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