Fixed Income Analytics: Pricing and Risk Management

With Python Tools for Bonds and Money Market Instruments

Created by: Cameron Connell
Mathematician, Statistician, and Quantitative Financier

What Will I Learn?

• The general structure of global bond and money markets
• Pricing, yield, accrued interest and day count conventions
• Arbitrage and the time value of money as the core principles underlying security valuation, and how to use them to price fixed income securities
• The term structure of interest rates, its applications, and the accepted theories of the forces that shape it
• The classic risk measures of fixed income securities: duration, DV01, and convexity, and their applications to risk management
• Trading applications: riding the yield curve and rate level trading
• Immunization and applications in asset/liability management

Requirements

• High school math and calculus at a business school level
• No knowledge of finance is assumed

Target audience

• Technical professionals who want to learn finance
• Finance professionals who want to improve their quantitative skills and learn how to analyze fixed income securities