Registry
Module Specifications
Archived Version 2004 - 2005
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Module Title |
Fixed Income Securities
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Module Code |
EF507
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School |
DCUBS
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Online Module Resources
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Level |
5
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Credit Rating |
5
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Pre-requisite |
EF504
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Co-requisite |
None
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Module Aims
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The objective of this course is to develop a deeper understanding of the characteristics of fixed income securities and to introduce students to the practice of interest rate risk management.
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Learning Outcomes
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Students will be familiar with advanced issues in fixed income analysis and investment
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Indicative Time Allowances
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Hours
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Lectures |
24
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Tutorials |
0
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Laboratories |
0
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Seminars |
0
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Independent Learning Time |
51
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Total |
75
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Placements |
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Assignments |
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NOTE
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Assume that a 5 credit module load represents approximately 75 hours' work, which includes all teaching, in-course assignments, laboratory work or other specialised training and an estimated private learning time associated with the module.
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Indicative Syllabus
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Pricing of Bonds: Bond price formula; sensitivity of bond prices; time, yield and coupon rate; zero coupon bond prices.
Bond Yield Measures: Gross redemption yield; current yield; yield to call; realised compound yield; grossed up net redemption yield.
Bond Price Volatility, Duration and Convexity: Macauley Duration; duration and maturity for nonzero-coupon bonds; the effect of the yield level and coupon frequency; duration as time elapses; duration between maturity dates; modified duration; convexity.
The Term Structure of Interest Rates: Factors determining the level of forward rates; influences on the short-term rate; the mathematics of inflation and interest: Fisher's Law; influences on the long-run interest rate; traditional theories of the yield curve; newer theories of the yield curve.
Callable Bonds, Option Adjusted Yields: Option adjusted duration and convexity; call adjusted estimation technique; significance and diversity of the call provision.
Mortgage Backed Securities: Mortgage and pass-through cash flows; comparison of features of mortgage pass-through securities with treasuries and corporates: payment delay, monthly payments, prepayment effects, seasoning.
Convertible Bonds: Who issues convertibles? advantages and disadvantages to issuing firms; advantages and disadvantages to the investor; analysis of convertible securities; dilution of the convertible privilege; when should a convertible be converted or sold?
Index Linked Securities: Characteristics; impact of inflation; effects of not holding to maturity; impact of duration on volatility
The Swap Yield Curve: Short-term swaps; long-term swaps; swap spread boundary conditions; other factors affecting long-term spreads; term structure fitting; forward term structure estimation.
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| Assessment | | Continuous Assessment | 25% | Examination Weight | 75% |
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Indicative Reading List
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Fabozzi, F.J., Bond Markets Analysis and Strategies Prentice Hall 1993
Fabozzi, F.J., and I.M. Pollack, The Handbook of Fixed Income Securities Dow Jones Irwin 1987
Francis, J.C. and A. Wolf., The Handbook of Interest Rate Risk Management Irwin 1994
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Programme or List of Programmes
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| MIT | MSc in Investment and Treasury |
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