Fixed Income (CF30008)

General information

Type:	OP	Curs:	1	Period:	S semester
ECTS Credits:	3 ECTS

Teaching Staff:

Group	Teacher	Department	Language
Sec: A	Agustín L. Calvet Mulleras	Economía, Finanzas y Contabilidad	ENG

Group	Teacher	Department	Language
Sec: B	Agustín L. Calvet Mulleras	Economía, Finanzas y Contabilidad	ENG

Group	Teacher	Department	Language
Sec: C	Agustín L. Calvet Mulleras	Economía, Finanzas y Contabilidad	ENG

Term 1 courses of the MSc. Finance Program or equivalent.

Basic Undergraduate Mathematics (Calculus, Linear Algebra) and Statistics.

Lectures and participatory sessions represent about 30 hours and approximately 50% of the workload.
The group assignments and the preparation for the mid-term quiz and the final exam represent another 50% of the workload.

Fixed-income markets have witnessed major growth in the last few years which in turn has resulted in a strong demand by financial and non-financial institutions for professionals able to analyze and price fixed-income securities and their derivatives. The concepts developed in the course also have a direct bearing on, and usefulness for, other courses of the program such as Banking and Insurance, Risk Management in Financial Institutions, and International Portfolio Management.

The course develops the methodology needed in order to analyze and price securities, the prices of which are directly linked to the level of interest rates. In particular, the course introduces the modern concept of "arbitrage pricing" and its application to fixed-income finance, as well as measures of risk and return used in the fixed income markets. As such, the course learning objectives are (1) to provide class participants with the analytical tools for assessing, analyzing and pricing fixed-income products including fixed-income derivatives such as interest rate swaps, forward-rate agreements and interest rate options, and (2) to expose students to the essentials of managing fixed-income portfolios. At the end of the course, students should be confident enough to apply for a junior position at banking institutions, pension funds, mutual funds, hedge funds, large corporations and also governmental agencies including Treasury Departments and Central Banks dealing with fixed-income securities and markets. The course is also an essential component for students planning to prepare for and take the CFA examinations.

1. Introduction to Global Fixed Income Markets

2. Prices, Discount Factors, and Arbitrage

3. Spot, Forward and Par Rates - Applications to Libor-Related Derivatives and Interest Rate Swaps

4. Returns, Spreads and Yields

5. One-Factor Risk Metrics and Hedges

6. Multi-Factor Risk Metrics and Hedges

7. Empirical Approaches to Risk Metrics and Hedging

8. Introduction to Term Structure Models

9. Fixed Income Options

The lectures combine theoretical explanations, real-life examples, and applications (cases) of pricing, arbitraging and hedging in the field of fixed-income securities and markets.

ASSESSMENT BREAKDOWN

- Tuckman B. and A. Serrat, Fixed Income Securities -Tools for Today's Markets, Wiley Finance, University Edition, 3/E, 2012

- Sundaram, R. K. and S. R. Das, Derivatives: Principles and Practice: McGraw Hill Irwin, 2/E, 2016

- Sundaresan, S., Fixed Income Markets and Their Derivatives, Academic Press, 3/E, 2009

Group	Teacher	Department
Sec: A	Agustín L. Calvet Mulleras	Economía, Finanzas y Contabilidad

Group	Teacher	Department
Sec: B	Agustín L. Calvet Mulleras	Economía, Finanzas y Contabilidad

Group	Teacher	Department
Sec: C	Agustín L. Calvet Mulleras	Economía, Finanzas y Contabilidad