2026-2027 Catalog

This course develops the theory and practice of valuing fixed income securities and managing fixed income portfolios. Students will learn topics such as bond mathematics, term structure of interest rates, repurchase agreement market, high yield corporate bonds with and without embedded options, munis, Treasuries, foreign currency-denominated bonds, and mortgages. The course also covers the fundamental tools of bond analysis, including yield curve construction, duration, convexity, and term structure models, and apply them to a wide variety of securities. The course covers the pricing and risk management of pure discount bonds, coupon bonds, floating-rate notes, and mortgages, as well as derivatives such as forwards, futures, swaps, and options on fixed income instruments. Throughout the course, students will use Excel and FactSet to build hands-on models, analyze real-world market data, and design portfolio strategies that balance risk and return.
P: graduate standing
Fall Only.