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JOHN CABOT UNIVERSITY

COURSE CODE: "FIN 350"
COURSE NAME: "Fixed Income Analysis"
SEMESTER & YEAR: Fall 2025
SYLLABUS

INSTRUCTOR: Andrea Delle Foglie
EMAIL: [email protected]
 HOURS: MW 10:00 AM 11:15 AM
TOTAL NO. OF CONTACT HOURS: 45
CREDITS: 3
PREREQUISITES: Prerequisite: FIN 301
OFFICE HOURS: During the lecture time, after classes. In other periods, available by appointment. Please, send always an email in advance.
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.
SUMMARY OF COURSE CONTENT:

Please note this syllabus is a draft. The final syllabus will be distributed the first of class and could be adjusted during the course.

1. Prices, Discount Factors, and Arbitrage

2. Swap, Spot, and Forward Rates

3. Returns, Yields, Spreads, and P&L Attribution

4. DV01, Duration, and Convexity

5. Key-Rate, Partial, and Forward-Bucket ‘01s and Durations 

6. Regression Hedging and Principal Component Analysis

7. Arbitrage Pricing with Term Structure Models

8. Expectations, Risk Premium, Convexity, and the Shape of the Term Structure

9. The Vasicek and Gauss+ Models

10. Repurchase Agreements and Financing

11. Note and Bond Futures

12. Short-Term Rates and Their Derivatives

13. Interest Rate Swaps

14. Corporate Debt and Credit Default Swaps

15. Mortgages and Mortgage-Backed Securities

16. Fixed Income Options
LEARNING OUTCOMES:
By the end of the course, students will have a solid understanding of fixed income securities and markets, including the structure and valuation of instruments such as government bonds, corporate debt, and mortgage-backed securities. They will be able to apply pricing techniques using present value concepts and assess interest rate risk through measures such as duration, convexity, and DV01. The course will equip them with the ability to analyze the term structure of interest rates using theoretical models like Vasicek and CIR, and to evaluate and price interest rate derivatives, including swaps and futures. Students will also develop the skills to construct and manage fixed income portfolios, apply hedging strategies, and interpret the impact of current market developments—such as the transition from LIBOR to SOFR and changes in monetary policy—on investment decisions.
TEXTBOOK:
Book TitleAuthorPublisherISBN numberLibrary Call NumberCommentsFormatLocal BookstoreOnline Purchase
The Handbook of Fixed Income Securities, Ninth Edition (2021)Fabozzi and MannMcGraw-Hill Education9781260473896 Chapters selection TBA. Other versions of the book will be accepted. Ebook are also accepted. Hard Copy  
Fixed Income Securities: Tools for Today's MarketsTuckman and SerratWiley Finance Series9781119835554  Chapters selection TBA. Other versions of the book will be accepted. Ebook are also accepted. Hard Copy  
REQUIRED RESERVED READING:
NONE

RECOMMENDED RESERVED READING:
NONE
GRADING POLICY
-ASSESSMENT METHODS:
AssignmentGuidelinesWeight
Exam 1 / Exam 2Problem solving, short answers 20%
Individual/Group project presentationCase study write up 20%
Midterm assessmentQuizzes/multiple-choice questions and essay-type questions, graphic analysis, as well as some problems that require quantitative analysis, in which the student is asked to explain and/or solve with accuracy and clarity issues of a particular topic covered by the syllabus. Class attendance will be considered25%
Final ExamComprehensive final exam35%

-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. This type of work demonstrates the ability to critically evaluate concepts and theory and has an element of novelty and originality. There is clear evidence of a significant amount of reading beyond that required for the course. (94 to 100 A; 90 to 93 A-)
BThis is highly competent level of performance and directly addresses the question or problem raised.There is a demonstration of some ability to critically evaluatetheory and concepts and relate them to practice. Discussions reflect the student’s own arguments and are not simply a repetition of standard lecture andreference material. The work does not suffer from any major errors or omissions and provides evidence of reading beyond the required assignments. (87 to 89 B+; 84 to 86 B; 80 to 83)
CThis is an acceptable level of performance and provides answers that are clear but limited, reflecting the information offered in the lectures and reference readings. (75 to 79 C+; 65 to 74 C; 60-64 C-)
DThis level of performances demonstrates that the student lacks a coherent grasp of the material.Important information is omitted and irrelevant points included.In effect, the student has barely done enough to persuade the instructor that s/he should not fail. (55-59 D+; 50 to 54 D)
FThis work fails to show any knowledge or understanding of the issues raised in the question. Most of the material in the answer is irrelevant. (Below 50)

-ATTENDANCE REQUIREMENTS:

ATTENDANCE REQUIREMENTS AND EXAMINATION POLICY 

Students are required to attend classes following the University’s policies. Students who miss more than 6 classes normally do not do well in the course. The Dean’s Office will grant such permission only when the absence was caused by a serious impediment, such as a documented illness, hospitalization or death in the immediate family (in which you must attend the funeral) or other situations of similar gravity. Absences due to other meaningful conflicts, such as job interviews, family celebrations, travel difficulties, student misunderstandings or personal convenience, will not be excused. Students who will be absent from a major exam must notify the Dean’s Office prior to that exam. Absences from class due to the observance of a religious holiday will normally be excused. Individual students who will have to miss class to observe a religious holiday should notify the instructor by the end of the Add/Drop period to make prior arrangements for making up any work that will be missed.

The final exam is comprehensive so students who miss 6 classes or less will have the option of dropping Exam 1 and/or Exam 2 and/or Individual/Group Project (midterm assessment cannot be dropped) and shifting the weights to the comprehensive final exam. 
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.
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.
SCHEDULE
SessionSession FocusReading AssignmentOther AssignmentMeeting Place/Exam Dates
Week 1 - 2Course Info / Prices, Discount Factors, and Arbitrage / Swap, Spot, and Forward Rates    
Week 3 - 4 Returns, Yields, Spreads, and P&L Attribution / DV01, Duration, and Convexity   Exam 1
Week 5 - 6Key-Rate, Partial, and Forward-Bucket ‘01s and Durations / Regression Hedging and Principal Component Analysis    
Week 7 Arbitrage Pricing with Term Structure Models    
Week 8   Midterm Assessment
Week 8 - 9Expectations, Risk Premium, Convexity, and the Shape of the Term Structure / The Vasicek and Gauss+ Models / Repurchase Agreements and Financing    
Week 10 - 11Note and Bond Futures / Short-Term Rates and Their Derivatives   Exam 2
Week 12 - 13Interest Rate Swaps / Corporate Debt and Credit Default Swaps / Mortgages and Mortgage-Backed Securities    
Week 15Fixed Income Options   Individual/Group project presentations
Week 15   Final Exam