This course delineates the important concepts, markets, valuation techniques and portfolio applications of fixed income securities. The course consists of several important parts. The first part will introduce students to the various types and characteristics of fixed income securities. It will also describe how the fixed income markets are organized (structures, participants, etc.). The second part will cover the essential concepts, analytical tools, and valuation techniques related to fixed income securities. Concepts such as term structure of interest rates, yield spreads, duration, convexity, interest rate risk, and credit risk will be delineated and the tools and techniques for analyzing them will also be introduced. The third part deals with fixed income valuations at the sector, industry and company levels.

Arbitrage-free valuation of fixed income securities will be dealt with. The fourth part will cover structured products and bonds with embedded options. The fifth and last past will delineate the portfolio aspects of fixed income such as investment strategies and portfolio benchmarks. To effectively apply classroom materials, students will be required to do a small-scale project in which they will build a fixed income portfolio with a clearly defined objective/mandate, a portfolio composition backed by careful analysis, and a meaningful benchmark. Ethics and proper trading conducts as well as current research in the area of fixed income will be covered throughout this course.