Guillaume Couzineau

Global Head of Fixed Income Trading, Natixis, Paris

Titres à revenu fixe 1

Les objectifs du cours

This course describes the organization and the mechanisms of fixed income markets, and presents the fundamental principles of fixed income investments. We will only use Excel and maybe a bit of VBA, the objective will be to tackle problems from a concrete point of view.

Plan du cours

  • Global overview of Fixed Income (Market, Bank organization, Products, Trading Room)
  • Bond Valuation ( Yield, Zero Coupon, Duration, Convexity)
  • Interest Rate Swap (basics, uses, other type of swaps)
  • Interest rate futures & FRA (definitions, futures vs. FRA, Convexity adjustment)
  • Yield Curve (introduction, building a swap curven pricing)
  • Other FI securities (Repos, Bond future, CDS, Asset swap, Forex products)
  • OIS/LIBOR discounting: Yield curve under realistic funding arrangements (Funding risk, Counterparty risk, Pricing of a swap)
  • Interest rate options (Cap & Floor, Swaption, Bond option, Option pricing, Black & Scholes model, Volatility smile, Greeks)
  • Interest rate models (Short term models, HJM)

Bibliographie

Fabozzi, Frank J., Fixed Income Analysis, 2nd edition, 2007, Wiley, CFA Institute Investment Series, 768 pages.
Fabozzi, Frank J., Fixed Income Mathematics: Analytical And Statistical Techniques, 4th edition, 2006, Mc Graw-Hill, 456 pages.
Fabozzi, Frank J., Bond Markets, Analysis, and Strategies, Pearson Education, 2009, 792 pages.
Tuckman B., and A. Serrat, Fixed Income Securities: Tools for Today's Markets, John Wiley & Sons Ltd, 3rd Revised edition, 2011, 624 pages.

Examen

Final Exam 70%, 2 x Quizz 10%, Participation 10%