固定收益證券教學(xué)大綱

《固定收益證券》教學(xué)大綱“FixedIncomeSecurities”Syllabus課程編號(hào)：150003A課程類型：專業(yè)必修課總學(xué)時(shí)：48講課學(xué)時(shí)：48實(shí)驗(yàn)（上機(jī)）學(xué)時(shí)：0學(xué)分：3適用對(duì)象：金融學(xué)（數(shù)據(jù)與計(jì)量分析）先修課程：無Coursecode:150003ACourseType:CompulsorycourseCredithours:48Lectures:48Practice:0Credits:3課程的教學(xué)目標(biāo)（Learningobjective）固定收益證券是金融類專業(yè)本科生的專業(yè)課。其在行業(yè)內(nèi)的重要性體現(xiàn)在以下三點(diǎn)：第一，目前是全球交易的金融資產(chǎn)中固定收益證券比重最大。其次，機(jī)構(gòu)投資者，比如銀行、養(yǎng)老基金或是共同基金所設(shè)計(jì)的投資組合中固定收益證券和利率的衍生工具占比最大。最后，理解利率的變化并對(duì)其建模是實(shí)行好的風(fēng)險(xiǎn)管理的重要前提。該課程的教學(xué)對(duì)培養(yǎng)與訓(xùn)練學(xué)生金融學(xué)思維方式，提高其綜合素質(zhì)和能力有非常重要的意義。本課程教學(xué)的主要目標(biāo)是培養(yǎng)學(xué)生掌握固定收益類證券的基本理論知識(shí)，使學(xué)生能夠?qū)⑺鶎W(xué)知識(shí)應(yīng)用到將來所從事的金融證券行業(yè)的工作中去，或?yàn)楸究埔院箅A段的學(xué)習(xí)打下堅(jiān)實(shí)的理論基礎(chǔ)。除此之外，本課程還將課程思政內(nèi)容貫穿其中，增強(qiáng)學(xué)生的契約精神與社會(huì)責(zé)任感，為社會(huì)主義特色的金融市場(chǎng)培養(yǎng)人才。 FixedincomesecuritiesisafieldcourseinFinancemajor.Thecourseisanimportantcourseforthreereasons.First,fixedincomesecuritiesconstitutebyfarthelargestportionofgloballytradedassets.Institutionalinvestors,suchasbanks,pensionfundsormutualfunds,havemostofitstradingportfoliocomposedoffixedincomesecurities(treasurybillsandbonds)andinterestratederivatives.Second,indevelopedfinancialmarkets,asignificantpartofcapitalforbusinessisraisedthroughissuingofcorporatebonds.Last,butnotleast,properunderstandingofchangesintheinterestratesandtheabilitytomodelthemisaprerequisiteforagoodriskmanagement.Theinstructionoffixedincomesecuritiesplaysveryimportantroleinbuildingupstudents’thinkingasapractitionerinfinanceindustryforthelearners,andimprovingtheircomprehensiveabilitiestoworkandstudy.Theaimofthiscourseistohelpstudentunderstandthebasictheoriesandknowledgeoffixedincomesecurities,andapplytheknowledgeinthiscoursetotheirfutureworkinfinanceindustry;orbewellpreparedfortheirfuturestudyinthisfield.教學(xué)基本要求（Teachingrequirements）（一）教學(xué)內(nèi)容(teachingmaterials)這門課主要覆蓋了以下十部分內(nèi)容：(1)固定收益證券的概念、債券的種類。(2)債券發(fā)行市場(chǎng)、流通市場(chǎng)、債券交易、債券評(píng)級(jí)。(3)貨幣的時(shí)間價(jià)值、債券價(jià)值、復(fù)雜情況下債券價(jià)值等的計(jì)算。(4)債券收益率。(5)凸性和久期的概念，票面利率大小、到期時(shí)間、初始收益率與債券價(jià)格波動(dòng)的關(guān)系。(6)名義利率決定理論、利率期限結(jié)構(gòu)理論。(7)利率期貨、利率期權(quán)、利率掉期。(8)利率衍生工具的定價(jià)。(9)可轉(zhuǎn)換債券定價(jià)與收益分析。(10)債券投資組合管理策略。Thecoursecovers(1)theconceptoffixed-incomesecurities,typesofbond.(2)bondissuemarket,secondarymarket,bondtrading,bondrating.(3)thetimevalueofmoney,bonds’value,thecalculationofbondvalueundercomplexconditions.(4)bondsyields.(5)conceptofconvexityandduration,relationshipofthecouponrate,maturitytime,initialyieldtobondpricevolatility.(6)thetheoryonnominalinterestratedecision,ontheinterestratetermstructure.(7)interestratefutures,interestrateoptions,interestrateswaps.(8)pricingofinterestratederivatives.(9)theanalysisofconvertiblebond’spricingandyield.(10)Bondportfoliomanagementstrategies.（二）教學(xué)方法和手段這門課理論性較強(qiáng)，以理論教授為主，學(xué)生練習(xí)為輔。同時(shí)安排“讀、寫、議”課堂以便學(xué)生能夠深入理解基本原理；組織學(xué)生分組進(jìn)行主題課堂討論。Thecourseismainlytheoretical.Themainteachingtechniquewillbelecturingcompaniedbystudents’tutorialpresentation.Theclasswillinvolvereading,writinganddiscussiontohelpstudentsfullyunderstandthecoursematerials.In-classgrouppresentationwillalsobeimportantpartsofthecourse.（三）考核方式(AssessmentandGrading)該科滿分一百，由以下各部分按不同權(quán)重組成。Thetotalscoreis100，theweightofdifferentpartsisasfollowed.類別(Coponts)it)平時(shí)成績(jī)(Courk)30%1.隨堂小測(cè)驗(yàn)(I-Clssiz)15%2.rlPresetin)15%閉卷期末考試(FinlEm)70%ol)100%各教學(xué)環(huán)節(jié)學(xué)時(shí)分配（Courseschedule）教學(xué)課時(shí)分配 Classschedule章節(jié)內(nèi)容Contents講課Lecture(hours)實(shí)驗(yàn)Practice(hours)其他Other(hours)合計(jì)Total(hours)貨幣的時(shí)間價(jià)值TmeaueofMony213固定收益證券及其市場(chǎng)概述ItoductionoFedIncomeecurtiesandMarts213債券定價(jià)及收益率BondPrceanded213債券價(jià)格波動(dòng)及其衡量指標(biāo)BondPrceotity213ermStrucueofIeetRe426利率模型（期限結(jié)構(gòu)模型）Interest-ratemodel(termstructuremodel)213nalsisofBondswthmbeddedOptions426esdetialMortaeBacedSecurties213抵押擔(dān)保債券CoealedMortaeObltions213利率期貨IeetReFutues213利率期權(quán)IeetReOptions213利率掉期和信用違約掉期IeetReapsandCetautaps31.54.5債券投資組合策略BondrtooStees31.54.5合計(jì)Total321648教學(xué)內(nèi)容（Teachingmaterials）第一章貨幣的時(shí)間價(jià)值市場(chǎng)利率的決定因素利率的類型現(xiàn)值和終值年金和永續(xù)年金非等額現(xiàn)金流重點(diǎn)、難點(diǎn)：市場(chǎng)利率，現(xiàn)值和終值，金融計(jì)算器，本節(jié)課插入課程思政內(nèi)容，分析高利率背后的風(fēng)險(xiǎn)和騙局。考核要求：掌握市場(chǎng)利率的決定因素；掌握現(xiàn)金流、現(xiàn)值和終值的關(guān)系；掌握金融計(jì)算器的使用方法Lecture1TimeValueofMoneyTheDeterminantsofMarketInterestRatesClassificationofInterestRatesPresentValuesandFutureValuesAnnuitiesandPerpetuitiesUnevenCashFlowsKeyPoints:marketinterestrates,cashflows,presentvaluesandfuturevalues,financialcalculatorOutcome:graspthedeterminantsofinterestrates;grasptherelationamongpresentvalue,futurevalueandcashflows;understandhowtouseafinancialcalculator第二章固定收益證券及其市場(chǎng)概述債券特點(diǎn)概述美國國債和國庫券美國州政府債公司債重點(diǎn)、難點(diǎn)：債券特點(diǎn)，發(fā)行人類別，考核要求：理解債券市場(chǎng)的主要構(gòu)成部分；理解債券的主要種類及各自的特點(diǎn)Lecture2IntroductiontoFixedIncomeSecuritiesandMarketsOverviewofBondFeaturesU.S.TreasuryandFederalAgencySecuritiesU.S.MunicipalSecuritiesCorporateDebtInstrumentsKeyPoints:featuresofbonds,typesofissuers,bondswithanembeddedoption,typesofrisksfacedbyinvestorsinfixed-incomesecuritiesOutcome:understandthecomponentsoffixedincomesecuritiesmarkets;understandtypesofbondsandtheirfeatures第三章債券定價(jià)及收益率債券定價(jià)價(jià)格收益率關(guān)系到期收益率年化收益率和有效收益率債券的回報(bào)非債券付息日的債券定價(jià)重點(diǎn)、難點(diǎn)：債券定價(jià)，到期收益率，考核要求：掌握債券定價(jià)；掌握到期收益率的計(jì)算；理解價(jià)格收益率曲線；理解Lecture3BondPriceandYieldPricingaBondPrice-YieldRelationshipYieldtoMaturityAnnualizedandEffectiveYieldsTotalReturnofaBondPricingaBondbetweenCouponsPaymentDatesKeyPoints:pricingabond,yieldtomaturity,accruedinterest,quotedpriceOutcome:graspthecalculationofthepriceofabond;graspthecalculationofyieldtomaturity;understandtheprice-yieldrelationship;understandtheconceptofaccruedinterestandquotedprice第四章債券價(jià)格波動(dòng)及其衡量指標(biāo)債券價(jià)格波動(dòng)的特點(diǎn)久期凸度用久期和凸度估計(jì)債券價(jià)格的變動(dòng)重點(diǎn)、難點(diǎn)：債券價(jià)格波動(dòng)，久期，凸度，有效久期和凸度，價(jià)格變化估計(jì)考核要求：理解債券價(jià)格波動(dòng)；掌握久期，凸度的計(jì)算；掌握用久期和凸度估計(jì)債券價(jià)格變動(dòng)的方法Lecture4BondPriceVolatilityPriceVolatilityCharacteristicsofOption-FreeBondsDurationConvexityApproximatingpricechangeusingDurationandConvexityKeyPoints:pricevolatility,duration,convexity,effectivemeasures,approximatingbondpricechangeOutcome:understandwhatispricevolatility;graspthecalculationofdurationandconvexity;grasptheapproximationofbondpriceusingdurationandconvexity第五章基礎(chǔ)利率和基準(zhǔn)利差即期利率構(gòu)造即期利率曲線重點(diǎn)、難點(diǎn)：基礎(chǔ)利率，利差，即期利率，自助法考核要求：理解基礎(chǔ)利率，利差以及它們與其他利率的關(guān)系；理解即期利率；掌握構(gòu)造即期利率曲線的方法Lecture5TermStructureofInterestRateIBaseInterestRateandBenchmarkSpreadSpotRateConstructingtheTheoreticalSpotRateCurveKeyPoints:baseinterestrate,spread,spotrate,bootstrapOutcome:understandbaseinterestrate,spreadandtheirrelationwithotherinterestrate;understandspotrate;grasptheconstructionofthetheoreticalspotratecurve第六章利用即期利率給債券定價(jià)遠(yuǎn)期利率利率期限結(jié)構(gòu)的決定因素重點(diǎn)、難點(diǎn)：遠(yuǎn)期利率，掉期利率，LIBOR利率考核要求：掌握利用即期利率或遠(yuǎn)期利率給債券定價(jià)的方法；理解利率期限結(jié)構(gòu)的決定因素及曲線的形狀；理解掉期利率和LIBOR利率的概念Lecture6TermStructureofInterestRateIIUsingSpotRateCurvetoPriceabondForwardRateDeterminantsofTermStructuretheswapcurve/LIBORcurveKeyPoints:forwardrate,swaprate,LIBORrateOutcome:graspthepricingofbondusingspotrateorforwardrate;understandthedeterminantsandshapeoftermstructure;understandtheconceptofswaprateandLIBORrate第七章利率模型（期限結(jié)構(gòu)模型）利率模型的特點(diǎn)：漂移，波動(dòng)和均值回歸單因子利率模型無套利模型和均衡模型利率變化的經(jīng)驗(yàn)證據(jù)重點(diǎn)、難點(diǎn)：利率二叉樹，利率模型，漂移，波動(dòng)，均值回歸，單因子，無套利，均衡考核要求：了解利率模型的基礎(chǔ)知識(shí)；理解無套利模型和均衡模型的關(guān)系；了解利率變化的經(jīng)驗(yàn)研究證據(jù)Lecture7Interest-ratemodel(termstructuremodel)Characteristicsofaninterest-ratemodel:drift,volatility,andmeanreversionOne-factorinterest-ratemodelsArbitrage-freemodelandequilibriummodelTheempiricalevidenceoninterestratechangesKeyPoints:binominalinterestratetrees,interest-ratemodel,drift,volatility,meanreversion,one-factor,arbitrage,equilibriumOutcome:understandthebasisofinterest-ratemodels;understandtherelationbetweenarbitrage-freemodelandequilibriummodel;understandtheempiricalevidenceoninterestratemodels第八章期權(quán)的特點(diǎn)可召回債券的特點(diǎn)重點(diǎn)、難點(diǎn)：，可召回，可賣出，可轉(zhuǎn)，期權(quán)定價(jià)考核要求：了解；理解的主要類別；掌握Lecture8AnalysisofBondswithEmbeddedOptionsICharacteristicofOptionsFeaturesofCallableBondsPricingofABondwithEmbeddedOptionsKeyPoints:embeddedoptions,callable,putable,convertible,optionpricingOutcome:understandthedifferencebetweenbondswithembeddedoptionsandoption-freebonds;understandthetypicalbondswithembeddedoptions;graspthepricingofabondwithembeddedoptions第九章期權(quán)調(diào)整利差有效久期和凸度重點(diǎn)、難點(diǎn)：期權(quán)調(diào)整利差，可轉(zhuǎn)債。本節(jié)插入課程思政內(nèi)容，分析可轉(zhuǎn)債炒作的風(fēng)險(xiǎn)與危害?？己艘螅毫私馄跈?quán)調(diào)整利差的概念；掌握可轉(zhuǎn)債和股票的關(guān)系Lecture9AnalysisofBondswithEmbeddedOptionsIIOption-AdjustedSpreadEffectiveDurationandConvexityFeaturesofConvertibleBondsKeyPoints:option-adjustedspread,convertiblebondsOutcome:understandtheconceptofoption-adjustedspread;grasptherelationbetweenconvertiblebondsandstocks第十章住房抵押貸款住房抵押貸款支持證券市場(chǎng)重點(diǎn)、難點(diǎn)：住房抵押貸款，住房抵押貸款支持證券。本節(jié)插入課程思政內(nèi)容，分析2008年美國金融危機(jī)的發(fā)生原因、危害以及背后出現(xiàn)的違法違規(guī)行為?？己艘螅豪斫庾》康盅嘿J款及其種類；理解按揭的概念及住房抵押貸款的風(fēng)險(xiǎn)；理解住房抵押貸款支持證券和Lecture10ResidentialMortgage-BackedSecuritiesResidentialMortgageLoansResidentialMortgage-BackedSecuritiesMarketsCharacteristicsofMortgagePass-ThroughSecuritiesKeypoints:residentialmortgageloans;mortgage-backedsecuritiesOutcome:understandamortgageloanandtypesofresidentialmortgageloans;understandaprepaymentandrisksassociatedwithinvestinginmortgages;understandtheconceptsofamortgage-backedsecurityandamortgagepass-throughsecurity第十一章抵押擔(dān)保債券抵押擔(dān)保債券信貸資產(chǎn)證券的產(chǎn)生擔(dān)保類型及證券化結(jié)構(gòu)擔(dān)保債務(wù)憑證重點(diǎn)、難點(diǎn)：抵押擔(dān)保債券，信貸資產(chǎn)證券，擔(dān)保債務(wù)憑證。本節(jié)插入課程思政內(nèi)容，分析高利貸、套路貸等的危害?？己艘螅毫私獾盅簱?dān)保債券的來由；理解序列型抵押擔(dān)保債券的概念；理解信貸資產(chǎn)證券是如何產(chǎn)生的；了解證券化的基本結(jié)構(gòu)；了解擔(dān)保債務(wù)憑證的概念及其種類Lecture11CollateralizedMortgageObligationsCharacteristicsofCollateralizedMortgageObligationsCreationofanABSCollateralTypeandSecuritizationStructureCollateralizedDebtObligationsKeyPoints:collateralizedmortgageobligation;asset-backedsecurities;collateralizeddebtobligationOutcome:understandwhyandhowanagencycollateralizedmortgageobligationiscreated;understandwhatasequential-payCMOis;understandhowasset-backedsecuritiesarecreated;understandthebasicstructureofasecuritization;understandwhatismeantbyacollateralizeddebtobligation,collateralizedbondobligation,andcollateralizedloanobligation第十二章利率期貨利率期貨利率期貨市場(chǎng)的定價(jià)和套利利率期貨在債券投資組合管理里的應(yīng)用重點(diǎn)、難點(diǎn)：期貨，最低交割價(jià)，利率期貨合約價(jià)格考核要求：理解期貨合約及其與遠(yuǎn)期合約的不同；理解利率期貨的基本特點(diǎn)；理解利率期貨合約的理論定價(jià)；理解利率期貨在債券投資組合管理里的應(yīng)用Lecture12InterestRateFuturesInterestRateFuturesContractsPricingandArbitrageintheInterestRateFuturesMarketBondPortfolioManagementApplicationKeyPoints:futures;cheapest-to-deliver;priceofafuturescontractOutcome:understandwhatafuturescontractisandthedifferencesbetweenafuturescontractandaforwardcontract;understandthebasicfeaturesofvariousinterest-ratefuturescontracts;understandhowthetheoreticalpriceofafuturescontractisdetermined;understandhowfuturescontractscanbeusedinbondportfoliomanagement第十三章利率期權(quán)利率期權(quán)期權(quán)的內(nèi)在價(jià)值及其時(shí)間價(jià)值期權(quán)定價(jià)及套利影響期權(quán)價(jià)格波動(dòng)的因素對(duì)沖策略重點(diǎn)、難點(diǎn)：利率期權(quán)，內(nèi)在價(jià)值,Black–Scholes期權(quán)定價(jià)模型；無套利二叉樹模型；對(duì)沖。本節(jié)插入課程思政內(nèi)容，分析杠桿在衍生品交易中的作用與風(fēng)險(xiǎn)，提高學(xué)生對(duì)于高杠桿的警惕?？己艘螅豪斫饫势跈?quán)合約的基本特點(diǎn)；理解期權(quán)和期貨的不同；理解利率期權(quán)的理論定價(jià)；理解如何衡量期權(quán)價(jià)格的敏感性；了解期貨期權(quán)在對(duì)沖里的應(yīng)用Lecture13InterestRateOptionsTypesofInterestRateOptionsIntrinsicValueandTimeValueofanOptionOptionPricingandArbitrageSensitivityofOptionPricetoChangeinFactorsHedgingStrategiesKeyPoints:interest-rateoptionscontracts;intrinsicvalue;Black–Scholesoptionpricingmodel;arbitrage-freebinomialmodel;hedgingOutcome:understandthebasicfeaturesofinterest-rateoptionscontracts;understandthedifferencesbetweenoptionsandfutures;understandhowtovalueoptionsonfixed-incomesecurities;understandmeasurestoestimatethesensitivityoftheoptionprice;understandhowfuturesoptionscanbeusedtohedge第十四章利率掉期和信用違約掉期掉期交易掉期利率掉期定價(jià)信貸違約掉期的種類利用信貸違約掉期控制信用風(fēng)險(xiǎn)重點(diǎn)、難點(diǎn)：利率掉期，掉期期權(quán)，信貸違約掉期考核要求：理解利率掉期的概念以及掉期利率的計(jì)算；了解信貸衍生工具與利率衍生工具的不同；了解信貸違約掉期；了解如何利用信貸違約掉期控制一個(gè)投資組合的信用風(fēng)險(xiǎn)Lecture14InterestRateSwapsandCreditDefaultSwapsInterpretingaSwapPositionCalculationofaSwapRateValuingaSwapTypesofCDSUsingCDStoControlforCreditRiskKeypoints:interest-rateswaps;swaption;creditdefaultswapOutcome:understandwhataninterest-rateswapisandhowtheswaprateiscalculated;understandhowacreditderivativediffersfromani