February 3, 2008 at 10:15 AM

I have placed two downloads on Blackboard.  The first provides a conceptual  basis for valuing a plain vanilla bond.  A ‘plain vanilla’ bond issued in the United States specifies (a) a fixed date (maturity or expiry date) when the amount borrowed (the principal or face value) is due, and (b) the contractual amount of interest which typically is paid every six months in the US and once a year on the European continent. A plain vanilla bond has a known cash flow and can not be redeemed prior to maturity.  Study the material and be prepared to solve a problem in class on Tuesday.

February 6, 2008 at 5 PM

Check blackboard for full and dirty price, corporate bond.

February 16, 2008 at Approximately 9 AM

Part A of your assignment is on Blackboard.  Check Blackboard throughout the day for additional assignments.

February 16, 2008 at Approximately 11:10 AM

In Chapter 2 on Blackboard you will find Assignment B and copies of my notes.  Read the notes and then solve the problems.

February 18, 2008 at Approximately 8:15 AM

Assignment C is now on Blackboard.  I have also posted notes on floating rate bonds.  Be prepared to discuss in class tomorrow.

.February 20, 2008 at Approximately 2:50 PM

 Three new Chapter 2 documents are on Blackboard.  Make sure they are on your computer tomorrow.

February 24, 2008 at Approximately 6 PM

Check Blackboard, Chapter 2, for easy example of duration.  Check Chapter 3 for Part A & B on mortgages.  Read Part A and B and be prepared to discuss in class.

February27, 2008 at Approximately 1:30 PM

The following material has been placed on Blackboard: 1) Mortgage Part C, 2) London Interbank Offer Rate, 3) Anatomy of a Credit Crunch 4) ABS Securities and my Lecture Notes.  In that I am running out of time I will briefly review my notes, and Mortgage Part C.  We will spend time on the Anatomy of a Credit Crunch and ABS Securities.  Beginning shortly you will be given assignments, some of which will be graded.

Announcements will be forth coming.

March 2, 2008 at Approximately 7:15 AM

Chapter 5 – You are responsible for all the material in Chapter 5.  I will be providing lecture notes that deal with some aspects of the Chapter.   

Chapter 6 - Either in the Money course or earlier in the Fixed Income course we have covered the material to Bootstrapping on page 135.  I will lecture on bootstrapping and forward rates.  Dr. Rajan will lecture on option adjusted spreads and the Z-spread.  You are responsible for the entire chapter.   

All this material will be covered on Tuesday, Thursday and Saturday.

March 5, 2008 at 6:10 PM

See my Chapter 5-6 notes on Blackboard.

March 18, 2008 at Approximately 11:50 AM

I have revised my notes on duration and convexity and they are now on Blackboard.  In addition, I have placed two additional items on Blackboard..  The first summarizes some aspects of my notes and the second provides an Excel spreadsheet example.  These documents will be discussed in class.  In the future you will be tested on this material.  

March 27, 2008 at 10:45 AM

Contrary to what I may have stated yesterday, our class will meet today at our scheduled time.  Check Blackboard for Ryan Champagne's recommended readings

March 31, 2008 at Approximately 7:00 AM

A Duration-Convexity assignment has been placed on Blackboard. (See, Duration Homework Directions)  Also on Blackboard is a spreadsheet table that you are to complete. (See, Duration Student Answer Spreadsheet)  This assignment is due on Thursday, April 3, 2008.  Bring hard copy to class.  Your hard copy is to be presentation quality.  Further, students are required to engage in an independent effort and are not to collaborate with one another.  If you have any questions raise them in class tomorrow.

March 31, 2008 at Approximately 7:30 PM

Please bring two documents to class tomorrow: 1) Bond Price Volatility, Word and 2) Bond Price Volatility, Excel.  Both are on Blackboard.  Your copies should be hard copies.

April 2, 2008 at Approximately 6 PM

Revisions to Bond Price Volatility, Word and Bond Price Volatility, Excel are now on Blackboard.

April 21, 2008 at Approximately 10:15 AM

I have cancelled Frank Dubas' presentation that was tentatively scheduled for April 26, 2008.  Further, FactSet's presentation scheduled for May 2, 2008 is likely to be cancelled.  Check this page for additional information in this regard. Your final papers are to be handed in on April 29, 2008. 

April 21, 2008 at Approximately 12:30 PM

FacSet's presentation scheduled for May 2, 2008 has been cancelled.

April 23, 2008 at Approximately 12:15 PM

1) Tuesday April 29 - The class will attend the Henry George lecture
from 4 to 5.15 pm. 

2) A take home exam will be distributed to the class on Tuesday May 6.
The completed exam is due Friday May 9. Email copies of the completed
test to Dr. Corcione and Dr. Rajan.

3) Thursday May 1, Dr. Corcione will present a lecture on Interest rate
volatility (Chap 8, page 207 -214).  Notes will be provided on or before May 23.

4) Each student is to submit two final copies of their research paper on
   Tuesday May 6 during class. This represents a change from the April 29, 2008 date announced earlier.