Introduction

Introduction to Fixed Income Markets

  1. Overview and the Time Value of Money

  2. Fixed Income Instruments

Logarithms as well as continuous compounding and discounting are an integral part of Fixed-Income Analysis. If you feel uncomfortable after reviewing their definition and basic properties at the following link FIN 472 might not be for you:  Natural logarithm

Pricing Bonds: Yield to Maturity and Spot Rate Discounting

  1. Foundations: Discounting, NPV, and IRR

  2. Price and Yield

    Schaefer, S.M. (1977), "The Problem with Redemption Yield", Financial Analysts' Journal (July-August 1977): 59ff.

Yield-Curve Analysis

Interest-Rate Risk Management and Measurement

  1. Duration and Convexity

    "The US Government Debt Market and the Term Structure of Interest Rates", HBS 1994 (9-285-186)

    Kritzman, M. (1993), "What Practitioners Need to Know about the Term Structure of Interest Rates", Financial Analysts' Journal 49 (July-August 1993): 14-18

  2. Interest-Rate Risk Management

    Kritzman, M. (1992), "What Practitioners Need to Know about Duration and Convexity", Financial Analysts' Journal 48 (November-December 1992): 17-20

Derivatives are an integral part of Fixed-Income Securities. If you feel uncomfortable after reviewing their definition and basic properties at the following link FIN 472 might not be for you: Derivatives

The Term Structure of Interest Rates

  1. The Term Structure of Interest Rates

  1. Case 1: Walt Disney Company's Sleeping Beauty Bonds, HBS 1994 (9-294-034)

    Dybvig, P. and W. Marshall (1996), "Pricing Long Bonds: Pitfalls and Opportunities", Financial Analysts' Journal 52 (January-February 1996): 32-39

Integrals and integration are an integral part of Fixed-Income Analysis. If you feel uncomfortable after reviewing their definition and basic properties at the following link FIN 472 might not be for you: Integrals

Bond Markets

US Government Bonds

  1. Spot and Forward Rates

  1. US Treasuries

Hauswald (2010): Technical Note on US Treasury Securities

Corporate Bonds

  1. Repos and Securities Lending

    Hauswald (2010): Technical Note on Repos, Short Selling, and Secuirities Lending

    Fleming and Garbade (2004), "Repurchase Agreements with Negative Interest Rates," Current Issues in Economics and Finance 10 (5), NY Fed.

  2. Corporate Bonds

Fixed-Income Derivatives

Swaps and Interest-Rate Risk

  1. Swap Analysis

Hauswald (2010): Technical Note on Swaps and Floating Rate Notes

  1. Case 2: Union Carbide Corporation - Interest Rate Risk Management, HBS 1994 (9-294-057) 

Term Structure Modelling

  1. Interest-Rate Models and their Applications

Hauswald (2011): Technical Note on Caps and Floors

  1. Case 3: The State of Connecticut Municipal Swap, HBS 1991 (9-291-024)

Callability

  1. Callable Bonds
  2. Case 4: The Walt Disney Company's Yen Financing, HBS 1987 (9-287-058))

Midterm Exam

Midterm Review

  1. Midterm Review

  1. Case 5: Arbitrage in the Government Bond Market, HBS 1993 (9-293-093)

Midterm: Format TBA

Convertibility and Securitization

Bloomberg Introduction: Finance Lab, Logistics TBA

Conversion and Prepayment Options

  1. Convertible Bonds

    Readings: Brennan, M. and E., Schwartz (1988): "The case for convertibles," Journal of Applied Corporate Finance, Vol 1, 55-64 
    Julio, Kim, and Weisbach (2008), "What Determines the Structure of Corporate Debt Issues?" mimeo, Ohio State

  2. Pass-through Securities and Securitization

Practice of Fixed Income

Guest Lecture

  1. Guest Lecture: Speaker, Time, Venue and Topic TBD
  2. Case 6: American Express TRS Charge-Card Receivables, HBS 1993 (9-293-120)