Debt Instruments and Markets

Syllabus
Lecture Notes
Coupon Bonds and Zeroes	Risk-Neutral Probabilities
Rate of Return	Dynamic Trading Strategies
Yield to Maturity	Fixed Income Financial Engineering
Duration	Short Rate Dollar Duration, Duration, and Hedging
Immunization	Options
Convexity	Caps, Floors, and Collars
Forward Contracts and Forward Rates	American Options and Callable Bonds
The Repo Market	Swaptions
Floating Rate Notes	The Mortgage Market
Interest Rate Swaps	Mortgage Pools, Pass-Throughs, and CMOs
Forward Rate Agreements	Treasury Bond Futures
No Arbitrage Pricing of Derivatives	Eurodollar Futures

Market Links

Selected interest rates from the Federal Reserve

Treasury bond prices from Fidelity

Bond market statistics from SIFMA

Derivatives markets statistics from BIS

Bond and interest rate futures from CME