Code
MGFE FIN 6202
Niveau
M2
Discipline
Finance
Langue
Anglais/English
Crédits ECTS
3
Heures programmées
24
Charge totale étudiant
60
Coordonnateur(s)
Département
- Data analytics, Économie et Finances
- Programme Grande École
Equipe pédagogique
Introduction au module
This course provides an advanced introduction to fixed income markets, instruments and risk management. It covers the term structure of interest rates, bond pricing, bond risk measures, non-vanilla bonds, interest rate swaps, forwards, futures, interest rate options and fixed income portfolio strategies. Students will learn how to price fixed income securities and derivatives, analyse their risks, and apply these tools to investment, hedging and portfolio management decisions.
Finalité d'apprentissage (Bloc de compétences)
- 6. Concevoir et/ou piloter des solutions de gestion innovantes en veillant à garantir une création de valeur soutenable pour toutes les parties prenantes
Objectifs d'apprentissage
- 6.4 - Auditer les risques associés en mobilisant les outils d'analyse stratégique et de prise de décision, en identifiant et évaluant les faiblesses / risques associés aux outils employés, afin de recommander des solutions de gestion pérennes.
Traits de compétences
By the end of this PGE M2 course, students will be able to:
1. Analyse the term structure of interest rates by distinguishing time value of money, interest rates, spot rates, forward rates and reference rates.
2. Price standard fixed income securities by applying bond pricing conventions, including clean price, accrued interest, quotation methods and zero-coupon bond valuation.
3. Calculate and interpret key bond characteristics, including yield-to-maturity, duration, convexity, credit rating, interest rate risk and reinvestment risk.
4. Analyse non-vanilla bonds, including bonds with embedded options, ESG-linked bonds, inflation-protected securities and other innovative fixed income instruments.
5. Apply valuation methods to interest rate derivatives, including swaps, forward contracts, FRAs, repos, futures and interest rate options.
6. Identify arbitrage, hedging and risk management opportunities in fixed income markets using appropriate financial instruments and valuation techniques.
7. Evaluate passive and active fixed income portfolio strategies, including strategies based on interest rate anticipation.
Contenu : structure du module et agenda
1. Term Structure of Interest Rates
1.1 Time value of money
1.2 Interest rates
1.3 Spot and forward rates
1.4 Reference rates
2. Bond Pricing
2.1 Terminology
2.2 Clean price
2.3 Accrued interest
2.4 Quotation
2.5 Zero-coupon bond
3. Bond Characteristics
3.1 Yield-to-maturity
3.2 Zero-coupon curve stripping
3.3 Duration
3.4 Convexity
3.5 Bond rating
3.6 Interest rate risk and reinvestment risk
4. Non-Vanilla Bonds
4.1 Embedded options
4.2 ESG-linked bonds
4.3 Inflation protection
4.4 Other innovations
5. Interest Rate Swaps
5.1 Mechanics
5.2 Plain vanilla swap
5.3 Valuation
5.4 Quotations
5.5 IRS exercises
6. Forwards
6.1 Forward contracts
6.2 Forward Rate Agreement
6.3 Repo
7. Futures
7.1 Futures
7.2 Marking to market
7.3 STIR futures
7.4 T-Bond futures
7.5 Conversion factor
7.6 Cheapest to deliver
7.7 Arbitrage opportunities
8. Interest Rate Options
8.1 Options
8.2 Interest rate options
9. Portfolio Strategy
9.1 Passive strategy
9.2 Active strategy
9.3 Interest rate anticipation
Contribution à l'atteinte des ODD (Objets du Développement Durable)
SDG 13 – Climate Action: This course contributes to SDG 13 by enabling students to analyse ESG-linked and green fixed income instruments that can support climate transition financing and responsible investment decisions.
Nombre d'ODD abordés parmi les 17
1
Apprentissage
synchrone
Méthode pédagogique
The course combines lectures, guided exercises, case studies and problem-solving sessions. Lectures introduce the theoretical foundations, market conventions and valuation frameworks used in fixed income markets. Guided exercises and problem-solving sessions help students apply pricing, risk measurement and derivative valuation methods. Case studies connect the technical tools covered in class to practical investment, hedging and portfolio management decisions.
Système de notation et modalités de rattrapage
Attendance is mandatory for this course.
The assessment evaluates students’ ability to apply the fixed income concepts, instruments and valuation methods covered in class to structured problems and market-based situations. It measures their capacity to price bonds and interest rate derivatives, calculate and interpret risk indicators, analyse fixed income strategies, and justify financial decisions using appropriate models and methods.
The final grade consists of:
• Individual mid-term project: 30% of the final grade.
• Closed-book written final exam: 70% of the final grade, 2 hours.
• Bonus points may be awarded based on attendance and participation in class discussions.
The individual mid-term project must be submitted before the final exam. Students are required to design a mid-term exam as if they were the teacher of the course, and then provide complete answers to their own exam.
The mid-term project will be assessed according to the following criteria:
• 5 points: the content covered before the chapter on swaps is properly addressed;
• 5 points: the difficulty of the questions is well balanced and makes it possible to identify students’ level of effort and understanding;
• 5 points: the answers provided are correct;
• 5 points: the types of questions are sufficiently diversified.
In case of absence from an exam, the grade for that exam will be 0. If the absence is justified and validated by the administration, the corresponding exam will be neutralised.
There is no separate resit exam for the mid-term project alone.
In case of failing the course, a closed-book written resit exam will be organised. The resit exam will stand alone as the final grade for the course and will be capped at 10/20.
Règlement du module
1. Professor–Student Communication
The professor will communicate with students through their institutional school email address (IMT-BS/TSP) and/or the Moodle portal. No communication will be sent to personal email addresses. Students are responsible for regularly checking their IMT-BS/TSP mailbox and Moodle announcements.
Students may contact the professor by email using the professor’s institutional email address. When necessary, students may meet the professor during office hours or by appointment.
2. Students with Accommodation Needs
Students who have a disability or any specific accommodation need that may affect their ability to complete the required work must inform the professor during the first class, in order to facilitate the necessary arrangements in accordance with the school’s applicable procedures.
3. Class Attendance and Behaviour
Students are expected to attend class, arrive on time and behave respectfully throughout the session.
Unless explicitly authorised by the professor, the use of electronic devices, including computers, mobile phones and tablets, is prohibited during class. Students are not allowed to take photos, videos or audio recordings in the classroom without the professor’s explicit consent.
Students must avoid disruptive or disrespectful behaviour, including arriving late, leaving early, sleeping, reading non-course material, using inappropriate language, speaking over others, eating or drinking during class, or engaging in any behaviour that disturbs the class. A warning may be given for a first violation. Repeated violations may lead to penalties, exclusion from the class and/or disciplinary proceedings.
A delay of up to 10 minutes is tolerated at the beginning of class. Attendance will be recorded on Edusign during this 10-minute period using a QR code provided by the professor at the start of each session.
Leaving the classroom before the end of the session without the professor’s approval will be considered an absence.
In the case of remote learning, students must keep their camera on unless instructed otherwise by the professor.
4. Exams and Assessments
Students must arrive on time for exams and other assessments. A delay of up to 10 minutes is tolerated.
No student may continue the exam once the allocated time is over. No student may leave the room during an examination unless they have finished the exam and handed in all required documents.
Only the following items are allowed during exams:
• pens;
• student card;
• a non-programmable calculator, or a programmable calculator with activated EXAM mode.
All other items are prohibited.
Possession of any unauthorised electronic device, even if turned off, will be considered cheating.
Possession of a programmable calculator without activated EXAM mode, even if turned off, will be considered cheating.
A random check may be carried out after students are instructed to activate EXAM mode. Failure to prove that EXAM mode has been activated after this instruction will be considered cheating.
Students are responsible for knowing how to activate EXAM mode on their calculator before the exam.
Any violation of the instructions given by the professor or the examination supervision team will be reported to the Discipline Committee.
Références obligatoires et lectures suggérées
1. Tuckman, B. and Serrat, A., Fixed Income Securities: Tools for Today’s Markets.
2. Fabozzi, F. J., Bond Markets, Analysis, and Strategies.
3. Veronesi, P., Fixed Income Securities: Valuation, Risk, and Risk Management.
4. Hull, J. C., Options, Futures, and Other Derivatives.
5. Martellini, L., Priaulet, P. and Priaulet, S., Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies.
6. Sundaresan, S., Fixed Income Markets and Their Derivatives.
Mots-clés
Fixed income; term structure of interest rates; spot rates; forward rates; bond pricing; clean price; accrued interest; yield-to-maturity; duration; convexity; credit risk; ESG-linked bonds; interest rate swaps; forwards; futures; interest rate options; portfolio strategy.
Prérequis
ACC 3403 EN (equivalent ACC 3003 FR), FIN3409 EN (equivalent FIN 3009 FR), INF 3403 EN (equivalent INF 3003 FR), LinkedIn Learning - Statistics Foundations 1 and 2