Teaching suggestion
Chapter 1 Basic characteristics of fixed income securities/1
1. 1 Introduction/1
1.2 terms of debt contract /2
1.3 Expiration clause /2
1.4 face value and bond quotation in American media /3
1.5 coupon rate /8
1.6 repayment terms/16
1.7 conversion right and exchange right/18
1.8 resale right/19
1.9 monetary unit/19
1. 1 0 embedded option/19
1. 1 1 pledged loan bond investment /20
Chapter II American Bond Market and Common Bond Types /24
2. 1 US Treasury bond market /24
2.2 Main products of US Treasury bonds /26
2.3 federal agency bonds /3 1
2.4 Municipal bonds /38
2.5 Corporate debt instruments /40
2.6 Asset-backed bonds /42
Chapter III China Bond Market and Common Bond Varieties /45
3. 1 China national debt primary market /45
3.2 Public offering of corporate bonds in China /48
3.3 China inter-bank bond market /50
3.4 Exchange Bond Market /52
3.5 Main varieties of China national debt /53
Chapter 4 Time Value of Money and Interest Rate /60
4. 1 Definition and use of common interest rate in financial market /60
4.2 Income curve /67
4.3 Cash flow /68
4.4 Present value and its calculation /70
4.5 Common rate of return and its calculation /73
Chapter V Rate of Return, Spot Interest Rate and Forward Interest Rate /78
5. 1 source of income /78
5.2 Traditional income measurement /79
5.3 Measurement of Income Difference in Floating Rate Bills /83
5.4 US Treasury yield and yield curve /87
5.5 Theoretical spot interest rate /89
5.6 Non-US Treasury income /99
5.7 Forward interest rate/102
5.8 federal funds rate/104
Chapter VI Bond Investment Risks/106
6. 1 Common Risks in Bond Trading/106
6.2 Credit Risk and Bond-related Credit Analysis/1 16
6.3 Credit Analysis of Some Special Bonds/124
6.4 Tax bonds/127
Chapter VII Bond Interest Rate Risk Analysis/13 1
7. 1 full price method/13 1
7.2 Characteristics of bond price fluctuation/133
7.3 Duration/135
7.4 Convex ratio/138
7.5 basis point value/14 1
7.6 Term Structure Theory/14 1
7.7 Term Structure Model/145
7.8 Measurement of yield curve risk/149
7.9 Measurement of income volatility/15 1
Chapter VIII Introduction to Fixed Income Securities Pricing/159
8. 1 general principles of pricing/159
8.2 Pricing of long-term and short-term coupon bonds/170
8.3 No-arbitrage pricing method/174
8.4 Model Risk/177
Chapter 9 Pricing of Implicit Option Bonds/179
9. 1 Overview of bond embedded options/179
9.2 Spanning Tree Model/179
9.3 Pricing of Internal Redemption Bonds/185
9.4 Pricing of embedded put bonds/186
9.5 Bond pricing with embedded call and put options/187
9.6 option adjustment spread/188
9.7 actual duration and actual convexity/189
9.8 Pricing of floating bonds with interest rate ceiling/19 1
Chapter 10 Mortgage Loan and House Payment Bond/194
10. 1 mortgage/194
10.2 mortgage bonds /205
10.3 risk characteristics of manual bonds /2 16
Chapter 1 1 mortgage-backed bonds /2 19
Characteristics of 1 1. 1 mortgage-backed bonds /2 19
1 1.2 development process of mortgage-backed bonds /2 19
1 1.3 related parties of mortgage-backed bonds /220
1 1.4 Some special terms of mortgage-backed bonds /22 1
1 1.5 Main structural types of mortgage-backed bonds /223
1 1.6 divestiture of mortgage-backed bonds /230
1 1.7 non-institutional mortgage-backed bonds /23 1
1 1.8 Possible tax treatment problems of US mortgage-backed bonds /232
1 1.9 Main risks of mortgage-backed bonds /235
Chapter 12 Asset-backed bonds /238
12. 1 characteristics of asset-backed bonds /238
12.2 home equity loan /24 1
12.3 portfolio housing guarantee securities /242
12.4 auto loan guarantee bonds /243
12.5 student loan guarantee securities /244
12.6 small business loan guarantee bonds /245
12.7 credit card accounts receivable secured securities /245
12.8 collateralized debt obligations /246
Chapter 13 Pricing of mortgage loans and asset-backed bonds /254
13. 1 cash flow income analysis /254
13.2 Zero fluctuation spread /255
13.3 Monte Carlo simulation and minimum variance method /256
13.4 Measurement of interest rate risk /26 1
13.5 asset-backed bond pricing /266
Chapter 14 Characteristics of China Convertible Bonds /269
14. 1 development of China convertible bond market /27 1
14.2 characteristics of the design of convertible bonds in China /272
14.3 pricing of convertible bonds /28 1
Chapter 15 Pricing of Interest Rate Derivatives /292
15. 1 interest rate futures contract /292
15.2 interest rate swap pricing /295
15.3 option pricing /300
Chapter 16 fixed income securities trading strategy /309
16. 1 lever /309
16.2 repurchase agreement financing /3 1 1
16.3 bond repurchase transaction /3 16
16.4 Total income /320
References /326