Fixed Income Securities

  1. Fixed Income Derivatives
    1. Interest Rate Futures
      1. Contract Specifications
        1. Treasury Bond Futures
          1. Eurodollar Futures
            1. Federal Funds Futures
            2. Pricing and Valuation
              1. Cost of Carry Model
                1. Conversion Factors
                  1. Cheapest to Deliver
                  2. Hedging Applications
                    1. Duration-Based Hedge Ratios
                      1. Cross-Hedging
                        1. Basis Risk
                      2. Interest Rate Options
                        1. Caps and Floors
                          1. Interest Rate Caps
                            1. Caplet Valuation
                              1. Cap Premium Determinants
                              2. Interest Rate Floors
                                1. Floorlet Valuation
                                  1. Floor Premium Factors
                                  2. Collars
                                    1. Zero-Cost Collars
                                      1. Risk Management Applications
                                    2. Bond Options
                                      1. Options on Treasury Bonds
                                        1. Options on Bond Futures
                                          1. Embedded Options
                                          2. Swaptions
                                            1. Payer Swaptions
                                              1. Receiver Swaptions
                                                1. European vs. American Exercise
                                              2. Interest Rate Swaps
                                                1. Plain Vanilla Swaps
                                                  1. Fixed-for-Floating Exchange
                                                    1. Swap Rates and Pricing
                                                      1. Credit Risk Considerations
                                                      2. Basis Swaps
                                                        1. Floating-for-Floating Exchange
                                                          1. Index Basis Risk
                                                          2. Currency Swaps
                                                            1. Cross-Currency Interest Rate Swaps
                                                              1. Currency Risk Management
                                                              2. Swap Applications
                                                                1. Asset-Liability Management
                                                                  1. Duration Modification
                                                                    1. Yield Enhancement
                                                                  2. Credit Derivatives
                                                                    1. Credit Default Swaps
                                                                      1. Protection Buyer and Seller
                                                                        1. Credit Events
                                                                          1. Settlement Mechanisms
                                                                            1. Physical Settlement
                                                                              1. Cash Settlement
                                                                              2. CDS Pricing
                                                                                1. Credit Spread Relationships
                                                                                  1. Survival Probabilities
                                                                                2. Total Return Swaps
                                                                                  1. Total Return Payer and Receiver
                                                                                    1. Funding Cost Considerations
                                                                                    2. Credit-Linked Notes
                                                                                      1. Embedded Credit Risk
                                                                                        1. Principal Protection Features
                                                                                        2. Credit Indices
                                                                                          1. CDX and iTraxx Indices
                                                                                            1. Index Trading
                                                                                              1. Tranched Index Products

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                                                                                          6. Securitization and Structured Products

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                                                                                          8. Portfolio Management Strategies