BRANDEIS INTERNATIONAL BUSINESS SCHOOL
FIN 261A: FIXED INCOME SECURITIES
SPRING 2017
FIN 261A: FIXED INCOME SECURITIES
Class Hours: Thursdays, 6:30-9:20pm
Class Location: Lee Hall
Instructor: Professor Jay Leu
Office: Sachar 17
Email:
Office Hours: Friday 4:00-5:30pm, and by appointment
TA: Zeyu Chai, Michael Piccione
TA Hours: TBD
COURSE DESCRIPTION:
The course will focus on the fundamentals of both bond markets and fixed income derivative markets. These fundamentals include pricing and interest rates, the risks of investing in bonds, and the role of bonds in an investment portfolio.
The course will cover markets for U.S. Treasury securities, U.S. agency securities, corporate bonds, asset backed securities, loans, international sovereign debt, and markets for derivatives based on fixed income instruments.
LEARNING GOALS AND OUTCOMES:
- Price fixed income securities
- Build a fixed income investment portfolio
- Use bond terminology fluently
- Develop a theoretical and mathematical approach to fixed income risk management
- Use derivatives in a global fixed income portfolio
- Evaluate investment opportunities in various sectors of the fixed income markets
WORK LOAD:
Success in this four-credit course is based in the expectation that students will spend a minimum of 9 hours of study time per week in preparation for class (readings, papers, discussion sections, preparation for exams, etc.).
PREREQUISITES:
FIN 201A or FIN 205, or other equivalent course. The course will rely heavily on the LATTE platform. The web site will include downloadable files with the class handouts, copies of problem sets and suggested answers. You will need your UNet username and password to log on to the system at http://latte.brandeis.edu. You should check this site, and your e-mail regularly for the course announcements.
TEXTBOOK:
Frank J. Fabozzi, Bond Markets, Analysis, and Strategies, 9th edition. Pearson/Prentiss Hall 2016.
LECTURE SLIDES:
I will post copies of the lecture slides on LATTE. You will be able to access these slides during class. There will be no paper handouts of the lecture slides.
POLICY ON CALCULATORS:
You can use any calculator you would like when solving problems on the problem sets, including scientific, programmable, graphing, financial, or software (such as Excel). However, on the exams (i.e. midterm, and final) you will not be allowed to use a computer, phone, or any other wireless or broadband device. In order to prepare for this, I strongly advise everyone to make sure that you have a calculator available to you which you can use to solve problems at exam time. Financial calculators are permitted on the midterm and final.
EXAMINATIONS AND GRADING:
There will be a mid-term examination (1.5 hours) and a final examination.
Grade will be based on the following:
Mid-term exam: 30%
Final exam: 45%
Homework: 10%
Class Participation: 15%
Class participation will carry a relatively high weight in the grading for the course. Class sessions will be interactive and preparation before class will be essential. Students will need to come to class prepared to discuss in detail each week’s reading assignment. There will be a 90-minute midterm and a final exam, as well as homework assignments. The final exam will be cumulative, reflecting the content covered in the mid-term examination as well as content from the final half of the course.
ACCOMODATION FOR DISABILITIES:
If you are student with a documented disability on record at Brandeis University and wish to have a reasonable accommodation made for you in this class, please see me immediately.
ACADEMIC INTEGRITY:
You are expected to be honest in all of your academic work. Please consult Brandeis University Rights and Responsibilities for all policies and procedures related to academic integrity. Students may be required to submit work to TurnItIn.com software to verify originality. Allegations of alleged academic dishonesty will be forwarded to the Director of Academic Integrity. Sanctions for academic dishonesty can include failing grades and/or suspension from the university. Citation and research assistance can be found at LTS - Library Guides.
COURSE OUTLINE (subject to change) (see LATTE spreadsheet for most current schedule):
Week Date Topic Reading Other
1: 1/19 Introduction, course overview Chapter 1,2
2: 1/26 Measuring yields Chapter 3
3 2/02 Bond price volatility Chapter 4
4: 2/09 Term structure of interest rates Chapter 5
5: 2/16 MIDTERM / Treasury and Agency Securities Chapter 6
2/23 No Class / Holiday
6: 3/02 Corporate debt instruments Chapter 7,20
7: 3/09 Non-US bonds Chapter 9
8: 3/16 Asset-backed securities Chapter 15
9: 3/23 Interest rate models and embedded options, 1 Chapter 16,17
10: 3/30 Interest rate models and embedded options, 2 Chapter 16,17
11: 4/06 Convertible bonds Chapter 19
4/13 No Class / Holiday
12: 4/20 Bond portfolio management Chapter 22,23
13: 4/27 Review
TBD FINAL EXAM