EduMarkets Fixed Income

Fixed income covers the mechanics behind everything that pays a coupon. Users work through bond pricing under yield to maturity, duration, convexity, and DV01, computing and stressing each. The swap page builds a yield curve from market quotes and decomposes an interest rate swap leg by leg. The portfolio page combines both into one book, so aggregate risk moves as the curve moves.

Handbook chapters

  1. Fixed Income Markets
  2. Bonds
  3. The Yield Curve & Term Structure
  4. FRAs & Single Period Swaps
  5. Interest Rate Swaps
  6. Inflation-Linked Bonds
  7. Inflation Swaps
  8. Risk Measures
  9. Portfolio & P&L Attribution

Tools and exercises

  • Yield Curve
  • Bonds
    • Fixed Rate Bonds
  • FRA & SPS
    • Forward Rate Agreement (FRA)
    • Single Period Swap (SPS)
  • Swaps
    • Interest rate swap - fixed vs floating
    • Forward Starting Swaps
    • Amortising Interest Rate Swaps
  • Linkers
  • Inflation Swaps
    • Zero-Coupon Inflation Swaps
    • Year-on-Year Inflation Swaps
  • Portfolio
  • Exercises
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