Code
MGFE FIN 6202
Level
M2
Field
Finance
Language
Anglais/English
ECTS Credits
3
Class hours
24
Total student load
40
Program Manager(s)
Educational team
Introduction to the module
This course introduces fixed income financial derivatives and the financial derivatives market. After the course, the students are supposed to be able to understand the pricing model of different fixed income derivates, identify arbitrage opportunity, and design investment strategies.
Learning goals/Programme objectives
- LG2 Having the ability to manage uncertainty and complexity with accuracy and rigor
- LG3 Having the foundations of responsible and sustainable management
Learning objectives/Intended learning outcomes
- 2.1 - Identify and analyze in depth problems, causes and impacts
- 2.2 - Explore solutions, decisions, and their relative and absolute impacts
- 2.3 - Identify optimal solution(s) and priorities toward implementation
- 3.1 - Understand and employ basic concepts, knowledge and theories related to the discipline
- 3.2 - Apply discipline knowledge appropriately and effectively
- 3.3 - Identify the boudaries of the discipline and possible cross-disciplinary connections
Rubrics
1. Understand the time value of money and calculate the cash flows of financial products.
2. Understand the term structure of interest rate and the interest rate market.
3. Understand the international financial derivatives market.
4. Evaluate the price of corporate bonds, T-bills, T-bonds and other bonds.
5. Evaluate investment opportunities considering YTM, duration, and interest variation.
6. Introduction of portfolio management and hedging strategy.
7. Evaluate and design interest rate swaps.
8. Understand other financial products: futures, forwards, options etc.
Content : structure and schedule
1. Preparation
1.1 Time value of money
1.2 Fixed income securities
1.3 Bonds
2. Term structure of interest rate
2.1 Spot and forward rates
2.2 Benchmark interest rates
3. Bond market
3.1 Fixed coupon bonds
3.2 Treasury bills
3.3 Floating rate notes
3.4 Green bonds
3.5 PCA
3.6 Duration
3.7 Portfolio strategies
4. Interest rate swap
4.1 Plain vanilla swap
4.2 Interest rate swap valuation
4.3 Interest rate swap startegies
5. FRA, forwards and futures
5.1 FRA and Repo
5.2 Forwards and futures
5.3 Interest rate options
Sustainable Development Goals
Goal 9: industry, innovation and infrastrucutre
Number of SDG's addressed among the 17
1
Learning delivery
synchrone
Pedagogical methods
lessons, exercises, group projetcs, case studies
Evaluation and grading system and catch up exams
Attendance is mandatory for the course.
The final grade of this course consists of:
- 30% mid-term project
- 70% (2h) final exam
- bonus points according to the attendance and participation to class discussion
- Resit exam (2h) in case of failing. The resit exam will stand alone for the final grade and will be limited to 12.
The midterm project can be submitted individually or by a team of max 2 students. It should be submitted before the final exam. Students are required to draft a midterm exam as if they were the teacher of the class, then answer their own midterm exam. The marking will be based on the following criteria:
- (5 points) The content before the chapter of swap is well covered.
- (5 points) The difficulty of questions is well balanced to identify the effort of students.
- (5 points) The answer you provide is correct.
- (5 points) The types of questions are well diversified.
Module Policies
Professor-Student Communication
● The professor will contact the students through their school email address (IMT-BS/TSP) and the Moodle portal. No communication via personal email addresses will take place. It is the student responsibility to regularly check their IMT-BS/TSP mailbox.
● Students can communicate with the professor by emailing him/her to his institutional address. If necessary, it is possible to meet the professor in his office during office-hours or by appointment.
Students with accommodation needs
If a student has a disability that will prevent from completing the described work or require any kind of accommodation, he may inform the program director (with supporting documents) as soon as possible. Also, students are encouraged to discuss it with the professor.
Class behavior
● Out of courtesy for the professor and classmates, all mobile phones, electronic games or other devices that generate sound should be turned off during class.
● Students should avoid disruptive and disrespectful behavior such as: arriving late, leaving early, careless behavior (e.g. sleeping, reading a non-course material, using vulgar language, over-speaking, eating, drinking, etc.). A warning may be given on the first infraction of these rules. Repeated violators will be penalized and may face expulsion from the class and/or other disciplinary proceedings.
● The tolerated delay is 5 minutes. Attendance will be declared on Moodle during these 5 minutes via a QR code provided by the teacher at each course start.
● Student should arrive on time for exams and other assessments. No one will be allowed to enter the classroom once the first person has finished the exam and left the room. There is absolutely no exception to this rule. No student can continue to take an exam once the time is up. No student may leave the room during an examination unless he / she has finished and handed over all the documents.
● In the case of remote learning, the student must keep his camera on unless instructed otherwise by the professor.
Honor code
IMT-BS is committed to a policy of honesty in the academic community. Conduct that compromises this policy may result in academic and / or disciplinary sanctions. Students must refrain from cheating, lying, plagiarizing and stealing. This includes completing your own original work and giving credit to any other person whose ideas and printed materials (including those from the Internet) are paraphrased or quoted directly. Any student who violates or helps another student violate academic behavior standards will be penalized according to IMT-BS rules.
Textbook Required and Suggested Readings
CFA Institute. (2022). CFA Program Curriculum 2023. John Wiley & Sons.
Fabozzi, F. J. (2007). Fixed income analysis (Vol. 6). John Wiley & Sons.
Tuckman, B., & Serrat, A. (2022). Fixed income securities: tools for today's markets. John Wiley & Sons.
Veronesi, P. (Ed.). (2016). Handbook of fixed-income securities. John Wiley & Sons.
Keywords
Fixed Income, Financial Derivative, Asset Pricing, Bond, Futures, Options, Forwards
Prerequisites
Basic knowledge on statistics and finance