Building on FNCE 3151: Investments 1, students explore investing at an advanced level, focusing primarily on fixed income alternatives. Topics include measuring yield and bond price volatility; duration and interest rates; treasury and local government securities; residential mortgage loans; price and yield behaviour of pass-through securities; collateralized mortgage obligations and stripped mortgage-backed securities; collateralized debt obligations; bonds with embedded options; fixed income portfolio management; liability-driven strategies and performance evaluation.
Recommended: FNCE 3151: Investments 1
Upon successful completion of this course, students will be able to do the following:
- Articulate a solid understanding of fixed income securities
- Demonstrate an understanding of how fixed income securities are used in portfolio management
- Demonstrate an advanced insight of the term structure and its relationship to the pricing of fixed income securities
The course is sectioned into 12 topics:
- Topic 1: Introduction & Measuring Yield and Bond Price Volatility
- Topic 2: Duration and Interest Rates
- Topic 3: Treasury and Local Government Securities
- Topic 4: Residential Mortgage Loans
- Topic 5: Price and Yield Behaviour of Pass-Through Securities
- Topic 6: Collateralized Mortgage Obligations and Stripped Mortgage Back Securities
- Topic 7: Asset-Backed Securities
- Topic 8: Bonds with Embedded Options
- Topic 9: Fixed Income Portfolio Management
- Topic 10: Liability-Driven Strategies and Performance Evaluation
- Topic 11: Derivative Contracts and Strategies
- Topic 12: Review
Maximum Completion30 weeks.
Required Text and Materials
Fabozzi, Frank J. Bond Markets, Analysis, and Strategies. 9th ed. Pearson Education Inc.
A computer with Internet access is required.
Open Learning Faculty Member Information
An Open Learning Faculty Member is available to assist students. Primary communication is through the Learning Environment's "Mail" tool. Students will receive the necessary contact information when starting the course.
To successfully complete this course, students must achieve a passing grade of 50% or higher on the overall course and 50% or higher on the mandatory final exam.
|Assignment 1: Term Structure and Interest Rates||5%|
|Assignment 2: Binomial Interest Rate Tree||5%|
|Assignment 3: Portfolio Gap Management||5%|