Fixed Income Analytics Pricing and Risk Management

With Python Tools for Bonds and Money Market Instruments
Fixed Income Analytics Pricing and Risk Management
File Size :
3.29 GB
Total length :
18h 36m



Cameron Connell


Last update




Fixed Income Analytics Pricing and Risk Management

What you’ll learn

The general structure of global bond and money markets
Pricing, yield, accrued interest and day count conventions
Arbitrage and the time value of money as the core principles underlying security valuation, and how to use them to price fixed income securities
The term structure of interest rates, its applications, and the accepted theories of the forces that shape it
The classic risk measures of fixed income securities: duration, DV01, and convexity, and their applications to risk management
Trading applications: riding the yield curve and rate level trading
Immunization and applications in asset/liability management

Fixed Income Analytics Pricing and Risk Management


High school math and calculus at a business school level
No knowledge of finance is assumed


The fixed income markets are central to the modern economy, and are arguably the most central and influential markets in the entire financial system.  Indeed, interest rates, the most important prices in the entire economy, are set in the bond and money markets. A famous and colorful lament from then President-Elect Bill Clinton in 1993 lead his aide, James Carville, to declare that in his next life he wanted to come back as something really influential: the bond market.This course, which assumes no knowledge of finance, and with minimal math requirements (business school calculus is more than enough) will be useful for financial professionals who wish to go to the next level with their understanding of the fixed income markets, and for quantitative professionals from other fields who are interested in learning something about finance.  If you’re looking for one segment of the capital markets to start an exploration of finance, you can’t go wrong with the fixed income markets.What You Will Learn:This course teaches quantitative and rigorous techniques for pricing fixed income securities and for analyzing and managing the risks they are exposed to.  We will develop techniques for the analysis of treasury bonds, treasury bills, strips, and repurchase agreements, as well as for bond portfolios.More than any other asset class, fixed income securities are exposed to risks associated with interest rates.  Moreover, the linkage between fixed income assets and interest rates is very tight.  Thus, by necessity, we will also develop methods for the analysis of interest rates.  We will explore the close linkage between fixed income instruments and interest rates, and we will review the main theories of interest rate term structure.The pricing of fixed income securities is one of the core objectives of the course.  We will go well beyond pricing in the analysis of the risks fixed income securities are exposed to. We will treat the classic measures of interest rate risk: dollar duration, DV01, duration, and convexity, and we will see how to use them for real risk management applications.In the end, everything in this course is driven by applications, and there are applications galore.  We will cover trading applications, like riding the yield curve and rate level trading.  And we will study risk management techniques like immunization, and applications in asset/liability management.Includes Python toolsPython based tools are now included for computing bond prices and risk measures, and constructing interest rates and yield curves.  All software that is part of this course is released under a permissive MIT license, so students are free to take these tools with them and use them in their future careers, include them in their own projects, whether open source or proprietary, anything you want!So Sign Up Now!Accelerate your finance career by taking this course, and advancing into quantitative finance.  With 15 hours of lectures, extensive problem sets, and Python codes implementing the course material, not to mention a 30 day money back guarantee, you can’t go wrong!


Section 1: Introduction

Lecture 1 Introduction

Section 2: Interest Rates and Bonds

Lecture 2 Interest Rates

Lecture 3 Simple Interest

Lecture 4 Compound Interest

Lecture 5 Continuous Compounding

Lecture 6 Investment Return Measures

Lecture 7 Coupon Bonds

Lecture 8 Bond Pricing

Lecture 9 Bond Yields

Lecture 10 Semiannually (and Other) Compounded Yields

Lecture 11 Accrued Interest

Lecture 12 Off Coupon Date Yields

Lecture 13 Government Bonds

Lecture 14 Money Markets

Lecture 15 Conventions and Notation

Lecture 16 Python Tools: Bonds

Section 3: The Time Value of Money

Lecture 17 The Time Value of Money

Lecture 18 Future Value

Lecture 19 Present Value

Lecture 20 Arbitrage

Lecture 21 Pricing Zero Coupon Bonds

Lecture 22 Future and Present Values for Cash Flow Streams

Lecture 23 Forward Rates with Flat Term Structures

Lecture 24 Coupon Bond Valuation

Lecture 25 Discount Factors

Lecture 26 Pricing Bonds with Discount Factors

Lecture 27 Future and Present Values of Annuities

Lecture 28 The Annuity Formula

Lecture 29 Annuity Due

Lecture 30 Deferred Annuities

Lecture 31 Annuities with Nonannual Payment Frequencies

Lecture 32 Growing Annuities

Lecture 33 Perpetuities

Lecture 34 Bonds and Annuities

Lecture 35 Python Tools: Flat Yield Curves

Section 4: Term Structure

Lecture 36 Spot Rates

Lecture 37 The Term Structure of Interest Rates

Lecture 38 Python Tools: Term Structure

Lecture 39 Bond Valuation

Lecture 40 Repurchase Agreements

Lecture 41 Holding Period Returns

Lecture 42 Yield to Maturity

Lecture 43 Bond Portfolios

Lecture 44 Python Tools: Bond Portfolios

Lecture 45 Reinvestment Risk and Market Risk

Lecture 46 Carry

Lecture 47 Forward Rates

Lecture 48 Python Tools: Forward Rates

Lecture 49 Forward Rates as Breakeven Rates

Lecture 50 The Pure Expectations Hypothesis

Lecture 51 Application of Breakeven Rates to Trading

Lecture 52 Yields as Random Walks

Lecture 53 The Liquidity Premium Hypothesis

Lecture 54 Riding the Yield Curve

Section 5: Interest Rate Risk

Lecture 55 Interest Rate Risk

Lecture 56 Dollar Duration and DV01

Lecture 57 Dollar Duration for Portfolios

Lecture 58 Python Tools: Dollar Duration

Lecture 59 Hedging Bond Positions

Lecture 60 Duration

Lecture 61 Duration of Coupon Bonds

Lecture 62 Duration for Portfolios

Lecture 63 Python Tools: Duration

Lecture 64 Properties of Duration

Lecture 65 Hedging with Duration

Lecture 66 Immunization

Lecture 67 Single Payment Liability Example

Lecture 68 Duration and Rate Level Trading

Lecture 69 Convexity

Lecture 70 Convexity of Portfolios

Lecture 71 Convexity Hedging

Lecture 72 Convexity, Duration, and Dispersion

Lecture 73 Python Tools: Convexity

Lecture 74 Multiple Payment Liability Example

Technical professionals who want to learn finance,Finance professionals who want to improve their quantitative skills and learn how to analyze fixed income securities

Course Information:

Udemy | English | 18h 36m | 3.29 GB
Created by: Cameron Connell

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