This course offers a broad viewpoint on fixed income markets and investments. It starts with a description of bond and mortgage international markets. Then, it quickly reviews fundamental elements of financial mathematics allowing evaluators to shift money forward and backward in time. Duration, convexity, effective duration, effective convexity, option adjusted spread, Z-spread, DVO1, and other similar risk management indicators are then examined.
The class also examines complex products, like exotic floating rate notes, and lets students learn by practicing, by manipulating realistic pricers with trees implemented in XL spreadsheets. The pricing, risk management, and challenges associated with mortgage backed securities are also studied. The class also discusses callable and putable bonds and structural models such as that of Merton (1974).