Fixed Income Valuation
Interest rate models --> Derivative pricing --> Bond pricing methods --> bond risk methods
Numerical methods for valuing fixed income securities: bonds, swaps, options, etc.
Caps, floors, collars. Swaps, swaptions, etc. Bonds, bond options, etc.
Work on First
Getting rate data for pricing
Bond Pricing / generating cash flows
Duration: Macaulay, Modified, Effective, etc.
Bond Pricing
Bond Option Pricing
Swap Pricing
Cap & Floor Pricing
Caps and floor are interest rate derivatives that are most commmonly used for hedging against interest rate volatility, either for borrowers or lenders.
Evaluating Risk
Macaulay duration, modified duration, 'dirty duration.'
Duration, convexity, spreads, spead duration, key rate duration, etc.
References
"The Handbook of Mortgage-backed Securities" 6th Edition, Frank J. Fabozzi
"Fixed Income Finance: A Quantitative Approach" Mark Wise, Vineer Bhansali
"Interest Rate Models: Theory and Practice" 2nd Edition, Damiano Brigo, Fabio Mercurio