TABLE OF CONTENT
Overview of Fixed Income Markets
- Overview of Debt Contracts
- Players and Their Objectives
- Classification of Debt Securities
- Risk of Debt Securities
- Return-Risk History
Price-Yield Conventions
- Concepts of Compounding and Discounting
- Yield to Maturity or Internal Rate of Return
- Prices in Practice
- Prices and Yields of T-Bills
- Prices and Yield of T-Notes and T-Bonds
- Price-Yield Relation Is Convex
- Conventions in Other Markets
Federal Reserve(Central Bank) and Fixed Income Markets
- Central Banks
- Monetary Policies
- Fed Funds Rates
- Payments Systems and Conduct of Auctions
Organization and Transparency of Fixed Income Markets
- Primary Markets
- Interdealer Brokers
- Secondary Markets
- Evolution of Secondary Markets
Financing Debt Securities: Repurchase (Repo) Agreements
- Repo and Reverse Repo Contracts
- Real-Life Features
- Long and Short Positions Using Repo and Reverse Repo
- General Collateral Repo Agreement
- Fails in Repo Market
Auctions of treasury Debt Securities
- Benchmark Auctions Schedule
- Conduct of Treasury Auctions
- Auction Theory and Empirical Evidence
- Auction Cycles and Financing Rate
Bond Mathematics: DVO, Duration and Convexity
- DV/PVBP or Price Risk
- Trading and Hedging
- Convexity
- Effective Duration and Effective Convexity Suggested Reading and References
Yield Curve and The Term Structure
- Yield Curve Analysis
- Term Structure
- Forward Rates of Interest
- STRIPS Markets
- Extracting Zeroes in Practice
Models of Yield Curve and the Term Structure
- Modeling Mean-Reverting Interest Rates
- Calibration to Market Data
- Interest Rate Derivatives
- A Review of One-Factor Models
Modeling Credit Risk and Corporate Debt Securities
- Defaults, Business Cycles, and Recoveries
- Rating Agencies
- Structural Models of Default
- Implementing Structural Models The KMV Approach
Cost of Financial Distress and Corporate Debt Pricing
- Reduced-Form Models
- Credit Spreads Puzzle
Mortgages, Federal Agencies and Agency Debt
- Overview of Mortgage Contracts
- Types of Mortgages
- Mortgage Cash Flows and Yields
- Federal Agencies
- Federal Agency Debt Securities
Mortgage-Backed Securities
- Overview of Mortgage-Backed Securities
- Risks: Prepayments
- Factors Affecting prepayments
- Valuation Framework
- Valuation of Pass-Through MBS
- REMICS
Inflation-Linked Debt: Treasury Inflation-Protected Securities
- Overview of Inflation-Indexed Debt
- Role of Indexed Debt
- Design of TIPS
- Cash-Flow Structure
- Real Yields Nominal yields, and
- Cash Flows, Prices, Yields and Risks of Tips
Derivatives on Overnight Interest Rates
- Overview
- Fed Funds Futures Contracts
- Overnight Index Swaps (OIS)
- Valuation of OIS
- OIS Spreads with Other Money Market Yields
Eurodollar Futures Contracts
- Eurodollor Markets and LIBOR
- Eurodollor Future Markets and LIBOR
- Deriving Swap Rates form ED Futures
- Intermarket Spreads
- Options on ED Futures
- Valuation of Caps
Interest-Rate Swaps
- Swaps and Swap- Related Products and Terminology
- Valuation of Swaps
- Swap Spreads
- Risk Management
- Swap Bid Rate, Offer Rate, and Bid -Offer Spreads
- Swaptions
Treasury Futures Contracts
- Forward Contracts Defined
- Futures Contracts Defined
- Futures Versus Forwards
- Treasury Futures Contracts
Credit Default Swaps: Single-Name, Portfolio, and Indexes
- Credit Default Swaps
- Players
- Growth of CDS Market and Evolution
- Restructuring and Deliverables
- Settlement on Credit Events
- Valuation of CDS
- Credit-Linked Notes
- Credit Default Indexes
Structured Credit Products: Collateralized Debt Obligations
- Collateralized Debt Obligations
- Analysis of CDO Structure
- Growth of the CDO Market
- Credit Default Indexes (CDX)
- CDX Tranches
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