Career Development and Lifestyle Planning



Fixed Income2 CreditsBU.232.720.XX [NOTE: Each section must have a separate syllabus.][Day & Time / ex: Monday, 6pm-9pm][Start & End Dates / ex: 3/24/15-5/12/15][Semester / ex: Fall 2016][Location / ex: Washington, DC]Instructor[Full Name]Contact Information[Email Address][Phone Number, (###) ###-#### (Optional)]Office Hours[Please specify the day and time of the 2 hours that will be dedicated to office hours each week. For evening classes, faculty may wish to hold their office hours by phone or email. While faculty are permitted to state “and by appointment,” office hours should not be held exclusively by appointment.]Required Text(s) & Learning MaterialsBruce Tuckman and Angel Serrat, 2012, Fixed Income Securities: Tools for Today’s Markets (3rd Edition), John Wiley & Sons, Inc.Lecture notes provided by the instructor. The lecture notes will be posted on Blackboard every week the day before class.Optional Text & Learning Materials Fabozzi, Frank J., 2012, Bond Markets, Analysis and Strategies (8th Edition), Prentice Hall.Course DescriptionThis advanced course focuses on the major markets and instruments, pricing and volatility, and risk management of fixed income securities and portfolios. Topics include features and risks of a variety of fixed income securities, including bonds with embedded options, mortgage-backed and other derivative bonds, yield spreads, forward rates and term structure theories, risk management techniques, and bond investment risks and portfolio management strategies.Prerequisite(s)BU.232.701 Investments AND (BU.231.620 Corporate Finance OR BU.910.611 Finance Resources II) “Corporate Finance” and “Investments” are prerequisites for this course. It is beneficial, albeit not mandatory, to have taken “Derivatives” before taking this course.Statement about Finance and Social ResponsibilityThe effectiveness and perceived integrity of finance have been tested in recent years. Along with preventable excesses and regrettable distortions, financial innovation has, however, always been an effective means for society to achieve its goals, from insurance to consumption to saving. The power of financial innovation as a generator of inclusive prosperity and widespread well-being can (and should be) reclaimed. In this context, optimization of shareholder’s value, for instance, may not be the only metric along which financial success is measured and should be placed, along with other traditional finance metrics, in the broader context of its contribution to society. To this extent, Carey encourages technical, non-ideological, exchanges of ideas leading to a better understanding of the broader role of finance as a force for shared prosperity. We will incorporate a reading or an in-class discussion of current events that provides an initial opportunity for technical discussions of these issues as they relate to the topics covered in Fixed Income.Learning ObjectivesBy the end of this course, students will be able to: Apply quantitative tools and techniques to analyze and address organizational issues.Apply qualitative tools and techniques to analyze and address organizational issues.Develop business solutions that address critical social needs.Apply ethical frameworks and codes of conduct to guide decisions and actions.To view the complete list of Carey Business School’s general learning goals and objectives, visit the Carey website.Attendance Class attendance is mandatory. Each student should read the assigned materials and give careful thought to background information prior to each class session. Having done so will not only facilitate class discussion, it will also lighten students’ workload because the lectures are much easier to follow after the readings have been digested.Assignments AssignmentCourse Learning Objective(s)WeightClass Attendance/Participation1–420%Homework1–415%Quizzes 1–415%Final Exam1–450%Total100%Course grades will be based on 3 quizzes (on Week 3, Week 5, and Week 7), homework assignments, and a final exam. The quizzes will be short (maximum 15 minutes long). They will be closed-book. A maximum of one quiz can be missed. If a quiz is missed, additional weight (5%) is put on the final exam.Homework assignments: (Instructor can decide the details of the homework, e.g. the content, the number of the homework assignments, etc) Students can work on these in groups (maximum 3 people) but do not have to do so, if students so choose. The assignments will be graded ++ (turned in and well-crafted), + (turned in and not-so-well-crafted), and – (not turned in). The final exam will be about 3 hours long. It will be closed-book. GradingThe grade of A is reserved for those who demonstrate extraordinarily excellent performance. The grade of A- is awarded only for excellent performance. The grade for good performance in this course is a B+/B. The grades of D+, D, and D- are not awarded at the graduate level. Please refer to the Carey Business School’s Student Handbook for grade appeal information. Tentative Course Calendar**The instructors reserve the right to alter course content and/or adjust the pace to accommodate class progress. Students are responsible for keeping up with all adjustments to the course calendar.WeekTopicReading1Introduction to fixed income marketsOverview and Chapter 12Bond valuationThe term structure of interest ratesOn-the-RunStrips CurveForward CurveBootstrap CurveChapters 2 and 3, Chap 12 (Money Markets) 3Price Sensitivity and HedgingQuizChapters 4, 5, and 6Chap 4: 1-factor risk metrics and hedging (DV01, duration, convexity)Chap 5: Multi-factor risk metrics and hedgingChap 6: Empirical approaches to risk metrics and hedging4Interest models and applications IChapters 7 and 8Term Structure Models5Interest models and applications IIQuizChapters 9 and 10Art of Term Structure Models: Drift , risk premium, volatility6Interest rate derivatives I: forward contracts and swapsChapters 13 and 167Interest rate derivatives II: bond options and mortgage-backed securitiesQuizChapters 18 and 208FinalCarey Business SchoolPolicies and General InformationBlackboard SiteA Blackboard course site is set up for this course. Each student is expected to check the site throughout the semester as Blackboard will be the primary venue for outside classroom communications between the instructors and the students. Students can access the course site at . Support for Blackboard is available at 1-866-669-6138.Course EvaluationAs a research and learning community, the Carey Business School is committed to continuous improvement. The faculty strongly encourages students to provide complete and honest feedback for this course. Please take this activity seriously; we depend on your feedback to help us improve. Information on how to complete the evaluation will be provided toward the end of the course.Disability ServicesAll students with disabilities who require accommodations for this course should contact Disability Services (carey.disability@jhu.edu or 410-234-9243) at their earliest convenience to discuss their specific needs. If you have a documented disability, you must be registered with Disability Services to receive accommodations.?Please note that accommodations are not retroactive.?Therefore it is strongly encouraged that you identify your needs to Disability Services as early as possible.Honor Code/Code of ConductThe Carey community believes that honesty, integrity, and community responsibility are qualities inherent in an exemplary citizen. The objective of the Carey Business School Honor Code is to create an environment of trust among all members of the academic community while the qualities associated with success are developed in students. All students are expected to view the Carey Business School Honor Code/Code of Conduct tutorial and submit their pledge online.?Please contact the student services office at carey.students@jhu.edu if you have any questions.Students are not allowed to use any electronic devices during in-class tests. Calculators will be provided if the instructor requires them for test taking. Students must seek permission from the instructor to leave the classroom during an in-class test. Test scripts must not be removed from the classroom during the test.Student Success CenterThe Student Success Center offers free online and in-person one-on-one and group coaching in writing, presenting, and quantitative courses. The center also offers a variety of workshops and exam study sessions, and provides a list of self-guided resources. Most of the tutors are current Carey students. For more information or to book an appointment, please visit the Student Success Center website. Other Important Academic Policies and ServicesStudents are strongly encouraged to consult the Carey Business School’s Student Handbook and Academic Catalog and Student Resources for information regarding the following items:Statement of Diversity and InclusionInclement Weather PolicyCopyright StatementUnless explicitly allowed by the instructor, course materials, class discussions, and examinations are created for and expected to be used by class participants only.?The recording and rebroadcasting of such material, by any means, is forbidden. Violations are subject to sanctions under the Honor Code. ................
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