FRE 6411 Valuation of Fixed Income Securities and Basic Interest Rate Derivatives

1.5 Credits

This course examines the body of analytical tools and measures that constitute modern fixed-income markets. The valuation of interest rate-sensitive cash flows is the unifying theme. Major topics include theories of term structure, institutional aspects of fixed-income markets and analytical techniques for managing interestrate risk. Bond refunding, defeasance, corporate bonds, mortgage-backed securities, forwards, futures, options and interest rate swaps are discussed. The course gives an overview of the major classes of fixed-income securities and the markets in which they trade. Among the major classes of fixed-income instruments discussed are Treasury and agency securities, mortgage-backed securities (including CMOs and Strips), asset backed securities, municipals, floating and inverse floating-rate securities.

Prerequisite(s): FRE 6023 , FRE 6083 and FRE 6103 .
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0