Course Resources for Fixed Income Markets, Securities, and Models
Fall, 2024. 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.)
Administrative Course Materials:
Course Syllabus
Course Schedule.
Send e-mail to the class TA (Kenneth Oh).
