Fixed Income

2 Credits
BU.232.720.51
Tuesdays 6-9pm 6/4/13-7/23/13
Summer 2013
Washington, DC

Instructor
Joseph A. Colantuoni, Ph.D.
Contact Information
E-mail Address: jcolantuoni@jhu.edu
Required Text and Learning Materials
(1) Bruce Tuckman and Angel Serrat, 2012, Fixed Income Securities: Tools for Todays Markets (3rd
Edition), John Wiley & Sons, Inc.
(2) Lecture notes provided by the instructor. The lecture notes will be posted on Blackboard every
week the day before class.
Optional Text and Learning Materials
Fabozzi, Frank J., 2012, Bond Markets, Analysis and Strategies (8 th Edition), Prentice Hall.
Blackboard Site
A Blackboard course site is set up for this course. Each student is expected to check the site throughout
the semester as Blackboard will be the primary venue for outside classroom communications between the
instructors and the students. Students can access the course site at https://blackboard.jhu.edu. Support
for Blackboard is available at 1-866-669-6138.
Course Evaluation
As a research and learning community, the Carey Business School is committed to continuous
improvement. Therefore each student must complete the course evaluation as part of the continuous
improvement process. Information on how to complete the evaluation will be provided near the end of the
course.
Disability Services
Johns Hopkins University and the Carey Business School are committed to making all academic
programs, support services, and facilities accessible. To determine eligibility for accommodations, please
contact the Carey Disability Services Office at time of admission and allow least four weeks prior to the
beginning of the first class meeting. Students should contact Rachel Hall in the Disability Services office
by phone at 410-234-9243, by fax at 443-529-1552, or email: carey.disability@jhu.edu.
Important Academic Policies and Services
Honor Code
Statement of Diversity and Inclusion
Tutoring
Carey Writing Center
Inclement Weather Policy

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Students are strongly encouraged to consult the Johns Hopkins Carey Business School Student
Handbook and Academic Catalog and the School website http://carey.jhu.edu/syllabus_policies for
detailed information regarding the above items.
Course Description:
This advanced course focuses on the major markets and instruments, pricing and volatility, and risk
management of fixed income securities and portfolios. Topics include features and risks of a variety of
fixed income securities including bonds with embedded options, mortgage-backed and other derivative
bonds, yield spreads, forward rates and term structure theories, risk management techniques, and bond
investment risks and portfolio management strategies.
Course Overview:
This course covers fundamental issues in the valuation of fixed income securities. Specifically, it
discusses tools for modeling and pricing the risk exposures of fixed income instruments and their
derivatives. The focus of the course is on popular interest rate models routinely employed to value these
securities. Emphasis is placed on the use of fixed income instruments as tools for effective risk
management.
Requirements: Corporate Finance and Investments are prerequisites for this course. It is beneficial,
albeit not mandatory, not have taken Derivatives before taking this course.
Student Learning Objectives for This Course
All Carey graduates are expected to demonstrate competence on four Learning Goals,
operationalized in eight Learning Objectives. These learning goals and objectives are supported
by the courses Carey offers. For a complete list of Carey learning goals and objectives, please
refer to the website http://carey.jhu.edu/LearningAtCarey/LGO/index.html.
The learning objectives for this course are:
1. Students will apply quantitative tools and techniques to analyze and address organizational
issues.
2. Students will apply qualitative tools and techniques to analyze and address organizational issues.
3. Students will develop business solutions that address critical social needs.
4. Students will apply ethical frameworks and codes of conduct to guide decisions and actions.
Attendance Policy
Class attendance is mandatory. Each student should read the assigned materials and give careful thought
to background information prior to each class session. Having done so will not only facilitate class
discussion, it will also lighten students workload because the lectures are much easier to follow after the
readings have been digested.
Assignments
Course grades will be based on class participation, 3 quizzes (on week 3, week 5, and week 7),
homework assignments, and a final exam.
A maximum of one quiz can be missed. If a quiz is missed, additional weight (5%) is put on the final
exam.
Homework assignments: Students can work on these in groups (maximum 3 people) but do not have to
do so, if students so choose. The assignments will be graded ++ (turned in and well-crafted), + (turned in
and not-so-well-crafted), and (not turned in).

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Evaluation and Grading

Assignment
Class Attendance/Participation
Homework
Quizzes
Final Exam

Learning Outcome
1-5
1-5
1-5
1-5

Weight
20%
15%
15%
50%

Important notes about grading policy:

The grade for good performance in a course will be a B+/B. The grade of A- will only be awarded for
excellent performance. The grade of A will be reserved for those who demonstrate
extraordinarily excellent performance. *The grades of D+, D, and D- are not awarded at the
graduate level. Grade appeals will ONLY be considered in the case of a documented clerical error.
Tentative Course Calendar*
*The instructor reserves the right to alter course content and/or adjust the pace to accommodate
class progress.
Week

Content

Reading

Introduction to fixed income markets

Overview and Chapter 1

Bond valuation

Chapters 2 and 3

The term structure of interest rates

STRIPS and the Spot Curve
Forward Curve
3

Price Sensitivity and Hedging

Chapters 4 and 5

Quiz
4

Hedging (continued)
Interest models and applications I

Chapters 7 and 8

Interest models and applications II

Quiz

Chapters 9 and 10

Interest rate derivatives I: forward contracts and

swaps

Chapters 13 and 16

Interest rate derivatives II: bond options and

mortgage-backed securities
Quiz

Chapter 18 and 20

Final

Copyright Statement
Unless explicitly allowed by the instructor, course materials, class discussions, and examinations are
created for and expected to be used by class participants only. The recording and rebroadcasting of such
material, by any means, is forbidden. Violations are subject to sanctions under the Honor Code.