Fixed Income Securities and Derivatives

Upon completing this subject, students are expected to be able to: (1) analyze trading concepts and mechanics of fixed-income securities in Indonesia and international markets; (2) evaluate how to price fixed income securities; (3) classify various term-structure and interest-rate models; (4) synthesize conceptual framework as well as techniques used in managing, measuring, and evaluating bond portfolio performance; and (5) analyze the features of the primary types of fixed-income derivative instruments. This course is designed to introduce students to a wide range of fixed-income products, including their trading concepts and mechanics in Indonesian as well as international fixed income markets. Topics to be covered in this course include the pricing of fixed-income securities, duration, convexity, term structure of interest rates, and options embedded fixed income securities. Students will also be exposed to primary fixed-income or interest-rate derivative instruments – such as interest rate futures, swaps, options, and credit derivatives. Therefore, students will learn both theoretical framework as well as practical tools used for the pricing and hedging of fixed-income securities.

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