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JOHN CABOT UNIVERSITY
COURSE CODE: "FIN 350"
COURSE NAME: "Fixed Income Analysis"
SEMESTER & YEAR:
Fall 2018
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SYLLABUS
INSTRUCTOR:
Crina Pungulescu
EMAIL: [email protected]
HOURS:
TTH 1:30-2:45PM
TOTAL NO. OF CONTACT HOURS:
45
CREDITS:
3
PREREQUISITES:
Prerequisite: FIN 301
OFFICE HOURS:
by appointment
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COURSE DESCRIPTION:
This course will cover the basics of fixed income analysis. The main topics covered are: features of fixed income securities and overview of bond sectors and instruments, risks associated with investing in bonds to include interest rate risk and credit risk, introduction to the valuation of fixed income securities to include valuing mortgage-backed and asset-backed securities and bonds with embedded options, study of yield measures, spot rates, and forward rates and the term structure and volatility of interest rates.
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SUMMARY OF COURSE CONTENT:
This syllabus is a draft. The final syllabus will be distributed the first of class.
The topics covered are:
Bond Pricing (discount factors, spot and forward rates, yield to maturity)
Measures of Price Sensitivity and Hedging (duration, convexity, regression-based hedging)
Term Structure Models
Selected Securities (forward contracts, Eurodollar futures, bond futures, interest rate swaps, fixed income options, mortgage backed securities)
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LEARNING OUTCOMES:
Upon successful completion of the course a student will be able to:
· Value fixed income securities
. Derive the spot and forward yield curve
. Measure and manage interest rate risk
. Understand the mechanics of structured products related to fixed income securities and their derivatives
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TEXTBOOK:
| Book Title | Author | Publisher | ISBN number | Library Call Number | Comments | Format | Local Bookstore | Online Purchase |
| Fixed Income Securities: Tools for Today’s Markets | B. Tuckman | Wiley Finance | 0-471-06322-3 | | Other editions of the textbook are also acceptable. | | | |
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REQUIRED RESERVED READING:
RECOMMENDED RESERVED READING:
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GRADING POLICY
-ASSESSMENT METHODS:
| Assignment | Guidelines | Weight |
| Quizzes / Homework | | 20 |
| Exam 1 | | 20 |
| Exam 2 | | 20 |
| Final Exam | | 40 |
-ASSESSMENT CRITERIA:
AWork of this quality directly addresses the question or problem raised and provides a coherent argument displaying an extensive knowledge of relevant information or content. The student demonstrates complete, accurate, and critical knowledge of all the topics, and is able to solve problems autonomously.
BThis is highly competent level of performance and directly addresses the question or problem raised. There is a demonstration of some ability to critically evaluate theory and concepts and relate them to practice. The work does not suffer from any major errors or omissions and provides evidence that the student uses clear logic in his/her arguments.
CThis is an acceptable level of performance and provides answers that are clear but limited, reflecting the information offered in the lectures. Mathematical statements are properly written most of the time.
DThis level of performances demonstrates that the student lacks a coherent grasp of the material. Important information is omitted and irrelevant points included. Many mistakes are made in solving the problem raised. In effect, the student has barely done enough to persuade the instructor that s/he should not fail.
FThis work fails to show any knowledge or understanding of the subject-matter. Most of the material in the answer is irrelevant.
-ATTENDANCE REQUIREMENTS:
Students are required to attend classes following the University’s policies.
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ACADEMIC HONESTY
As stated in the university catalog, any student who commits an act of academic
dishonesty will receive a failing grade on the work in which the dishonesty occurred.
In addition, acts of academic dishonesty, irrespective of the weight of the assignment,
may result in the student receiving a failing grade in the course. Instances of
academic dishonesty will be reported to the Dean of Academic Affairs. A student
who is reported twice for academic dishonesty is subject to summary dismissal from
the University. In such a case, the Academic Council will then make a recommendation
to the President, who will make the final decision.
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STUDENTS WITH LEARNING OR OTHER DISABILITIES
John Cabot University does not discriminate on the basis of disability or handicap.
Students with approved accommodations must inform their professors at the beginning
of the term. Please see the website for the complete policy.
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SCHEDULE
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| Session | Session Focus | Reading Assignment | Other Assignment | Meeting Place/Exam Dates |
| Week 1 to 4 | Bond Pricing (Chapter 1 to 4) | | | |
| Week 4 to 7 | Measures of Price Sensitivity and Hedging (Chapters 5 to 8) | | | |
| Week 7 to 10 | Term Structure Models (Chapters 9 to 12) | | | Exam 1 (date to be decided in class) |
| Week 10 to 13 | Selected Securities (Chapters 15 to 21) | |
| Exam 2 (date to be decided in class) |
| Week 14 | Review for Final Exam | | | Final Exam (Comprehensive): see University schedule for date and time |
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