This course is a comprehensive survey of fixed income instruments and the markets in which the instruments are traded. Participants will learn how to compute yield- and risk measures for government bonds, corporate bonds and mortgage securities. The emphasis is on the development of a 'real-world' toolkit that is directly applicable to everyday tasks performed by fixed income traders, quants and support personnel. The Bloomberg Professional terminal is used extensively in this course.
Accrued Interest: Clean and invoice (dirty) prices
Bloomberg YAS screens for bills, notes and bonds
TIPS: Treasury inflation-protected securities
Module 3: Sovereign Debt Instruments and Markets
Canada
United Kingdom
Europe
Japan
Module 4: Repurchase Agreements
Structure of repo and reverse repo contracts
Haircuts
Repo arithmetic
General and special collateral
Repo fails
Module 1: Interest Rate Derivatives: Forwards and Swaps
Forward rate agreements
Forward contracts on bonds
Structure of a swap contract
Swap rates and curves
Swap spreads
Overnight index swaps
Libor-OIS spreads
Forward swaps
Module 2: Interest Rate Derivatives: Futures and Options
Treasury futures
Eurodollar futures
Deriving swap rates from ED futures
Options on ED futures
Swaptions
Interest rate caps and floors
Module 3: Corporate Bonds
Yields and credit spreads
Risky floating rate notes
Asset Swaps
Credit default swaps
Module 4: Mortgages and Mortgage-Backed Securities
Types of mortgages
Prepayments and negative convexity
Federal agency debt securities
The TBA market
Securitization
Agency MBS
Desk-Ready Skills
Understand the structure of fixed income markets
Be able to reproduce the yield and risk data on Bloomberg YAS screens for US Treasury bonds
Understand the mechanics of repurchase agreements
Determine repo-implied forward prices
Compute swap rates
Derive implied swap rates from ED futures prices
Learn how to compute a variety of credit spreads for corporate bonds
Understand the mechanics of the TBA mortgage market
Understand prepayment modeling for mortgages and mortgage-backed securities
Portfolio managers, fixed income traders, fixed income desk quants, research analysts and financial analysts
Jack Farmer
Jack is currently the Curriculum Director for the New York Institute of Finance. Farmer also acts as an outside adviser for portfolio managers at significant global investment funds. These funds included emerging markets equity funds and global macro hedge funds. Jack serves a variety of functions for the funds he advises, including the development of options strategies, quantitative strategies, and hedging strategies. Additionally, Jack specializes in capitalizing on systemic and macroeconomic imbalances in equity and fixed income markets throughout the world.
Jack specializes in training and consulting solutions for portfolio risk management, FX and interest rate derivatives and trading, equity index and volatility trading, equity derivatives and structured equity products, financial statement analysis and hedge accounting.
Education
BS in Engineering from Tulane University MBA in Finance and Accounting from Tulane University Ph.D. in Finance (ABD) from the University of Texas at Austin
Khosrow Mehrzad
Khosrow has broad experience in capital market, financial products, micro and macro analysis, and portfolio management. Khosrow founded Parsa Capital Management in 2015, where he manages an equity fund. Khosrow joined JP Morgan as analyst responsible for hedging, risk management and structuring for two special situation investment funds with over $1 billion in assets. He later became a senior portfolio manager responsible for relative values trades and spearheaded firm’s effort in launching hedge funds. Khosrow was a senior valuation analyst at Six Financial Information, responsible for pricing exotic derivatives. He also managed a team of analysts, and led the process of migrating the models from PC environment to company’s main computing platform. Khosrow worked as Co-CIO at AlphaEngine Global Investment Solutions, a startup hedge fund where he developed the tactical asset allocation models. Khosrow was a Director at Deutsche Bank Advisors oversaw a team of analysts located in India, conducted fundamental analysis of US equities, and managed an equity proprietary book. Khosrow received a BS from Sharif University of Technology, a MS from McGill University, and earned an MBA from MIT Sloan School of Management.