Course Resources for Fixed Income Markets, Securities, and Models

Fall, 2019. Professor Lamoureux

• Check this space for course announcements.
  • August 24, 2017. Note on the confusing terminology of repo / reverse repo and how the FED engages in these.
  • October 26, 2011. Here are the Bloomberg screens linked to the Tuckman1: forward vs spot worksheet:
    • The coupon, spot, and implied forward yield curves from October 18, 2004.
    • The data used to make the above forward curve.
    Here's a useful primer on securities lending from Dominick Falco and Risa Muroi.
  • (Dateline: October 28, 2010, Tucson) In late October 2010, there was a bit of a buzz in the media about the fact that at the TIPS auction on Monday, October 25, 2010, the yield on the TIPS was negative. Here's the auction result.
  • Here's a sample news story.
  • Here's a spreadsheet that explores the nature of TIPS investing, and solves for the "break-even inflation rate." (I had to write a VBA macro that computes a bond's clean price, and which allows the yield to be negative.)

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• Administrative Course Materials:
  • Course Syllabus
  • Course Schedule.

• Send e-mail to the class TA (Jaffe Greenwald).