CFRM 558: Fixed Income Analytics and Portfolio Management

This required course in the MS CFRM program provides a solid foundation in fixed income analytics and portfolio management. Course will include some lectures on real-world fixed income applications by finance industry professional guest lecturers.  Computing exercises with R will be used throughout to re-enforce understanding of the theory and methods. Topics covered will include:

  • Fixed income instrument types including MBS’s and municipal bonds
  • Fixed income data sources, access and manipulation
  • Term structure of interest rates and yield curve construction
  • Interest rate risk management
  • Interest rate forwards, swaps, futures and options
  • Introduction to binomial tree pricing of interest rate derivatives
  • Case studies

Upon successful completion, students will have a firm understanding of fixed income markets, data and analytics, and be able to apply this knowledge to fixed income portfolio construction, performance analysis and risk management.  


Steve Golbeck
Veronesi, P. (2010). Fixed Income Securities: Valuation, Risk and Risk Management, Wiley. Tuckman, B. and Serrat, A. (2012) Fixed Income Securities: Tools for Today’s Markets, 3rd edition, Wiley.
R and R packages for fixed income
Good understanding of multivariable calculus, linear algebra, probability, and statistics at least at the level of CFRM 460 and CFRM 461.