FIXED INCOME MARKETS

FULLY SOLVED BOOK LASY 5 YEARS PAPERS SOLVED PLUS GUESS

FIXED INCOME MARKETS

UNIT-I: Introduction to fixed income markets: Introduction, Instruments, Players, Markets - Money Market Instruments, The Government Bond Market (Primary and Secondary Market), Market
Regulations, Interface with Banking system and other financial markets, Trading, Clearing and Settlement Systems.

UNIT-II: Pricing fixed income securities: Bond Instruments and Interest Rates Risk, Duration, Modified Duration and Convexity, Macaulay duration, Relationship between duration, yield, coupon and maturity, Basis Point Value (BPV), Convexity Measure.

UNIT-III: Yield Curve Analysis: Yield Curve, Different types of yield curve, YTM curve, Par yield curve, Zero coupon (spot) yield curve, Forward curve, Yield curve and yield curve theories, Econometric forecasting of the yield curve, Benchmark curve, Interpreting the Yield Curve/ZCYC. (NP)

UNIT-IV: Forward Rate Agreements, Interest Rate Swaps, Interest Rate Futures. Introduction to Bonds - Bond Features, Types of Bonds, Bond pricing and Yield, Accrued Interest, Day Count Conventions, Clean and Dirty Bond Prices, Bond / Yield Relationship, Bond price in continuous time,
Treasury Bills (NP)

UNIT-V: Constructing the bond portfolio: Passive and active bond portfolio management, Market timing strategies, Timing bets on interest rate level, Timing bets on specific changes in the yield curve, Bullet, barbell, ladder and Butterflystrategies, Concept of Value at Risk, VAR Calculation (NP)