AFF 611 Course Outline Winter 2022.docx - AFF 611 / FIN611...

AFF 611 / FIN611
Fixed Income Analysis
WINTER 2022
Prerequisite &/or Exclusions: AFF 501 or FIN501
COURSE REPEATS:
Academic Council GPA policy prevents students from taking a course more than three times.
(i.e., registered initially, repeated once, repeated twice = 3 registrations) If you fail a required
course for the third time, you will be assigned an academic standing of Withdrawn, and will be
ineligible to continue in your program. For complete GPA policy see Policy #46 at
.
INSTRUCTOR INFORMATION:
Instructor: Mike Inglis
Class: Tuesday’s from 9:00 am to 12 am
Office Hours: After class
E-mail: [email protected]
METHOD OF POSTING GRADES:
Students who wish not to have their course grades posted must inform the instructor in
writing before February 12
th
. All final grades will be available on the web at
my.ryerson.ca (RAMSS) at the end of each term, approximately 10 days after the date of the
final examination.
E-MAIL USAGE & LIMITS:
Your e-mail must include in the subject line of your e-mail message the following something
like:
AFF 611, Winter 2022, (subject)
For instance, the subject line of your e-mail may read:
AFF, Winter 2022, missed Midterm Exam.
I will not be responding to student’s e-mails in the evenings or on the weekends. If you have not
received a response within 2 business days please send me a follow-up e-mail, or drop by and see
me at the office.

CALENDAR COURSE DESCRIPTION:
This specialized course in fixed income securities will start by reviewing fixed income markets,
discount factors, pricing, yield, duration, convexity, and the term structure of interest rates. The
second part of the course looks at the use of binomial trees and the Monte-Carlo methodology in
the pricing and hedging of a variety of fixed income securities and their derivatives.
COURSE OVERVIEW:
I have decided to turn this course into a specialized course in fixed income securities. We will
review the standard material in the first few classes (i.e. markets, discount factors, interest rates,
pricing, yield, duration, convexity, interest rate risk management) – I assume that you have
already been exposed to these concepts, but I will endeavour to add something new to the
picture. We will then move onto derivative securities such as forward, swaps, futures and options
and their use in risk management. We finish the basics of fixed income by looking at the
exploding phenomena of mortgage back securities. These concepts are important since they form
the basis for analysing the many different fixed income securities that are now available. The
second half of the course takes a more technical view and looks at the use of binomial trees in
the pricing and hedging of fixed income securities. This material will look familiar to those of
you who have taken FIN601, however we will start at the beginning and build up the entire
framework from scratch. I will demonstrate the calibration of the model and its use in pricing
many interesting securities such as caps and floors, swaptions, callable bonds.