Fixed Income & Yield Curve Dynamics

Who issues bonds · primary and secondary markets · bid-ask spreads · value as present value of cash flows · price and yield move opposite

1. Bonds and their issuers: sovereign, corporate, securitized
2. Reading a dealer quote: bid, ask and the spread
3. Case: why a thinly traded bond costs more to sell
4. Value is the present value of expected cash flows
5. Pricing one bond by hand with a cash-flow table
6. How yield, duration and convexity follow from the principle
7. Why price and yield move in opposite directions
8. Testing coupon, maturity and starting yield in a spreadsheet
9. Example: two bonds, one rate rise, different losses

Yield to maturity · current yield and yield to worst · clean, accrued and dirty price · day counts · floating-rate coupons

1. Yield to maturity and current yield: what each measures
2. Solving for yield with Excel and Python
3. Yield to worst on a callable bond: a worked case
4. Accrued interest and the coupon cycle
5. Day-count conventions and coupon frequency in practice
6. Worked case: a trade that settles mid-period
7. How a floating coupon is set: reference rate plus margin
8. Reset dates and benchmark choice in a term sheet
9. Example: why a floater stays close to par at reset dates

Normal, flat and inverted curves · curve theories · central-bank policy and inflation · term premium · bootstrapping and forward rates

1. Reading normal, flat and inverted curves
2. Expectations, liquidity-preference and segmentation theories
3. Plotting a government curve and reading its shape
4. Central-bank policy and the short end of the curve
5. Inflation expectations and term premium in long yields
6. Example: short yields fall while long yields hold
7. Spot rates and discount factors
8. Bootstrapping a curve from bond prices in a spreadsheet
9. Reading implied forward rates from the curve

Flat and non-parallel curve pricing · floating-rate pricing · inflation-linked bonds · breakeven inflation · total return, carry and roll-down

1. Discounting cash flows on a flat curve
2. Pricing with spot rates on a non-parallel curve
3. Pricing fixed and floating bonds in a spreadsheet template
4. How inflation-linked bonds pay
5. Real yield and breakeven inflation from market prices
6. Example: choosing between a nominal and a linked bond
7. Total return: coupon, reinvestment and price change
8. Carry and roll-down on an upward-sloping curve
9. A total-return worksheet for one holding period

Duration and DV01 · convexity · error of duration-only estimates · call and put options · negative convexity

1. Duration and modified duration, step by step
2. DV01 and convexity in a spreadsheet
3. Example: which bond loses more when yields rise?
4. Why duration alone is only an approximation
5. Adding the convexity term to the price estimate
6. Measuring the error against full repricing
7. How a call or put option changes a bond’s price
8. Effective duration and convexity by repricing up and down
9. Example: why a callable bond stops rising as yields fall

Credit ratings · investment grade and high yield · yield spread and Z-spread · spread over a benchmark curve · what drives spreads

1. Credit ratings and what the grades mean
2. Investment grade versus high yield in a bond screen
3. Example: a downgrade and the move in spread and price
4. Yield spread to a benchmark
5. The Z-spread: one spread added across the whole curve
6. Comparing two bonds of similar maturity with spread measures
7. What drives spreads: credit quality, liquidity, markets
8. Pricing a bond as benchmark curve plus spread
9. Example: a one-point spread widening on a five-year bond

Parallel, steepener, flattener and twist · duration and convexity estimates · full repricing · rate and spread stress tests · common pricing errors

1. Parallel shifts, steepeners, flatteners and twists
2. Estimating value change with duration and convexity
3. Full repricing of a portfolio under a steepener
4. Designing rate and spread stress scenarios
5. Running the scenarios in a portfolio template
6. Example: a one-page scenario report for a risk committee
7. The usual errors: clean versus dirty, day counts, exact duration
8. A review checklist to catch pricing and risk errors
9. Worked portfolio case: finding and fixing three errors

Duration-matching hedges · key-rate hedges · residual risk · cash-futures basis · immunization and rebalancing

1. Hedging with duration: the idea and the hedge size
2. Key-rate exposures and key-rate hedges
3. Example: hedging a bond book and measuring what is left
4. What the basis is and why it moves
5. Tracking the basis in a spreadsheet
6. Example: a futures hedge that left part of the loss
7. Liabilities and the match: present value and duration
8. Building an immunized portfolio in a worksheet
9. Rebalancing as rates and time pass

Pricing workbook · reconciling to full repricing · yield, duration, spread and total return · curve, spread and carry attribution · documentation

1. Planning a bond pricing workbook
2. Valuing a portfolio and repricing under curve shifts
3. Reconciling duration estimates to full repricing
4. Fixed-income KPIs: yield, duration, spread, total return
5. Attribution: separating curve, spread and carry
6. Building a one-page fixed-income performance report
7. Why valuations must be reproducible
8. A documentation template for data, curve choices and limits
9. Example: a reviewer rebuilds a valuation from your notes

Fair valuation and price sourcing · conflicts of interest · swaps, futures and options · the analysis template · a full rate-rise case

1. Fair valuation and marking a bond position
2. Independent price sourcing and a price-challenge log
3. Example: handling a conflict of interest in a mark
4. How swaps, futures and options extend hedging
5. Market-risk and liquidity-risk management on these tools
6. Example: a swap or a futures hedge for one bond holding
7. The analyst’s bond-analysis template
8. Loading real market data and pricing a portfolio
9. Risk report and stress run from the template
10. The case: a rate rise hits a bond portfolio
11. Explaining the loss with duration and convexity
12. Explaining the spread effect and writing the case note