Course Resources for Fixed Income Markets, Securities, and Models
Fall, 2012. Professor Lamoureux
Check this space for course announcements.
October 26, 2011. Here are the Bloomberg screens linked to the Tuckman1: forward vs spot worksheet:
The coupon, spot, and implied forward yield curves from October 18, 2004.
The data used to make the above forward curve.
Here's a useful link on securities lending.
(Dateline: October 28, 2010, Tucson) In late October 2010, there was a bit of a buzz in the media about the fact that at the TIPS auction on Monday, October 25, 2010, the yield on the TIPS was negative.
Here's the auction result.
Here's a sample news story.
Here's a spreadsheet that explores the nature of TIPS investing, and solves for the "break-even inflation rate."
(I had to write a VBA macro that computes a bond's clean price, and which allows the yield to be negative.)
Administrative Course Materials:
Download Matlab from this site.
(The University of Arizona has a site license, so this software is available to our students free of charge.)
by Kemit Sigmon.
Basic Matlab Programming.
Send e-mail to the class TA (Filippo Curti ).