Course Resources for Fixed Income Markets, Securities, and Models
Fall, 2021. 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:
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.)
Administrative Course Materials:
Send e-mail to the class TA (Jaffe Greenwald).
