Fixed Income Table of Contents



 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

 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   

Apply for Certification

 For Support