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所在平台: Udemy |
课程主页: https://www.udemy.com/course/fixed-income-analysis/
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Coursera fixed income analysis 课程摘要： 本课程旨在涵盖固定利率债券的基础知识，重点关注收益率至到期日（yield-to-maturity）和久期（duration）与回报和风险权衡的解读。课程首先概述固定收益市场，包括交易的证券类型、依赖债券市场为其运营融资的发行人类型，以及债券可能具有的不同现金流类型（例如，子弹式债券、零息债券、浮动利率债券）。 在对固定收益证券及其市场进行简要介绍后，课程的重点围绕以下几个方面展开： 1. **固定收益估值**：涵盖贴现现金流分析在债券定价中的应用；收益率至到期日的解读和计算；不同的报价惯例以及“平价”（flat）和“全价”（full）的含义；到期日、票息、收益率和凸度（convexity）对债券价格（或收益率）的影响。 2. **收益率和收益率利差（yield spread）**：涉及为调整不同周期性而计算实际年化收益率（effective annual rates）；包含嵌入式期权的债券的不同收益率衡量方法；G-spread（政府债券利差）、I-spread（基础利率利差）和Z-spread（到期收益率为零的零息债券利差）；以及浮动利率债券的利差计算。 3. **即期利率、票面利率和远期利率**：包括收益率曲线（yield curve）；使用即期利率（spot rates）、票面利率（par rates）和远期利率（forward rates）进行定价；以及即期利率曲线、票面利率曲线和远期利率曲线。 4. **利率风险和回报**：阐述债券的回报来源；持有期（holding period）和利率风险；麦考利久期（Macaulay duration）、修正久期（modified duration）、金额久期（money duration）和基点价值（price value of a basis point）；以及债券凸度（bond convexity）和使用久期和凸度进行近似变动。
The course aims at covering the foundational elements of fixed rate bonds, particularly regarding the interpretation of the return and risk trade-offs with reference to yield-to-maturity and duration. The first lessons give on overview of the fixed income markets, the kind of securities that are traded, the type of issuers that rely on the bond markets to fund their operations. The type of different cash flows that a bond can feature (i.e. bullet bonds, zero-coupon bonds, floating rate bonds).After a brief introduction about fixed-income securities and their markets, the bulk of the course revolves around (1) fixed-income valuation covering the application of discounted cash flow analysis in bond pricing, the interpretation and calculation of yield-to-maturity, the different quote conventions and meanings of ‘flat' and ‘full' prices, the effects of maturity, coupon, yield and convexity on bond prices (or yields), (2) yield and yield spread measures regarding the computation of effective annual rates for adjusting for different periodicities, the different measures of yields for bonds with embedded options, G-spread, I-spread and Z-spread and spreads for floating rate bonds, (3) spot, par and forward rates, the yield curve, pricing with spot rates, par and forward rates and the spot, par and forward curves, (4) interest rate risk and return, a bond's sources of return, the holding period and interest rate risk, Macaulay duration, modified duration, money duration and the price value of a basis point, bond convexity and the approximate change using both duration and convexity.
