Jun 30, 2024
OHIO University Undergraduate Catalog 2023-2024
OHIO University Undergraduate Catalog 2023-2024
[Archived Catalog]
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FIN 4460 - Fixed Income & Futures
This course explores the principles and practices governing the valuation of fixed income securities. Methods for managing interest rate and credit risk in the fixed income portfolio are studied and applied using real world examples and data. Various methods of analysis of futures securities in fixed income, commodity and other markets are also be covered.
Requisites: FIN 3270 and 3410
Credit Hours: 3
Repeat/Retake Information: May be retaken two times excluding withdrawals, but only last course taken counts.
Lecture/Lab Hours: 3.0 lecture
Grades: Eligible Grades: A-F,WP,WF,WN,FN,AU,I
Learning Outcomes:
- Describe fundamentals of bond securities.
- Describe the term structure of interest rates and yield curve.
- Describe interest rate futures and interest rate swap mechanics.
- Describe how credit default swaps work.
- Describe how to estimate the default probability of a credit default swap.
- Explain how futures contracts work (i.e. margin system).
- Numerically solve bond valuation and yield problems.
- Numerically solve duration and duration neutral hedging problems.
- Numerically solve futures valuation problems.
- Numerically solve interest rate futures and interest rate swap problems.
- Employ linear interpolation to derive the theoretical spot rates of the yield curve.
- Critique bond valuation and hedging methods.
- Compare the all-in-cost of an interest rate swap for each counterparty.
- Compare various hedging strategies that swaps.
- Create hedging strategies using futures.
- Create bond arbitrage strategies using Treasury securities.
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