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Fixed Income Securities

Code: 2MiF12     Acronym: FIS

Classification Keyword
OFICIAL Management Studies

Instance: 2020/2021 - 2S Ícone do Moodle Ícone  do Teams

Active? Yes
Course/CS Responsible: Master in Finance

Cycles of Study/Courses

Acronym No. of Students Study Plan Curricular Years Credits UCN Credits ECTS Contact hours Total Time
MIF 45 Official Syllabus after 2020-2021 1 - 3 21 81
Mais informaçõesLast updated on 2021-02-15.

Fields changed: Objectives, Resultados de aprendizagem e competências, Métodos de ensino e atividades de aprendizagem, Componentes de Avaliação e Ocupação, Melhoria de classificação, Obtenção de frequência, Programa, Fórmula de cálculo da classificação final

Teaching language



The course aims to give the students an advanced understanding of debt markets: their characteristic elements, procedures for market issuing and placement.

Learning outcomes and competences

The course aims to give the students an advanced understanding of debt markets: their characteristic elements, procedures for market issuing and placement. Particular emphasis will be put on analyzing and managing risks related to investments in bonds. Concerning evaluation, the students should master the techniques for the valuation of bonds and bonds with options - bonds with call options and put options, convertible bonds and bonds with warrants. The students should also know the main instruments for interest rate derivatives and have the ability to integrate them into investment strategies and risk management.

Working method



1. Introduction

1.1. Definition of bonds

1.2. Basic characteristics

1.3. Types of bonds

1.4. Risks of debt instruments

2. Bond Pricing

2.1. Fundamental concepts

2.2. Evaluation of fixed rate and variable rate bonds

2.3. Measuring the return

2.4. Determinants of the yield of a bond

3. Bond risk analysis

3.1. Interest rate risk

3.1.1. Definition and measures: Duration and Convexity

3.1.2. Immunization strategies: Conventional and Contingent

3.2. Credit risk

3.2.1. Credit analysis of the issuer

3.2.2. Rating and risk premium on bonds

4. Bonds with options: Characteristics and assessment tools

4.1. Callable bonds

4.2. Bonds with Warrants and Convertible Bonds

5. Interest rate derivatives

5.1. Futures and Forward Rate Agreements

5.2. Options

Mandatory literature

Fabozzi Frank J.; Bond markets, analysis and strategies. ISBN: 978-0-273-76613-1 (2013, 8th Edition, Pearson)
John Hull; Option, Futures and Other Derivatives, 10th Edition, Prentice Hall, 2018. ISBN: 978-0134472089

Complementary Bibliography

Fabozzi, Frank; Mann, Steven; The Handbook of Fixed Income Securities, 8th Edition, McGraw Hill, 2012. ISBN: 978-0-07-176847-4
Pinto, Jerald E.; Petitt, Barbara S.; Pirie, Wendy L. ; Fixed Income Analysis Workbook (CFA Institute Investment Series), 3rd Edition, John Wiley & Sons, 2015. ISBN: 978-1-118-99950-9

Teaching methods and learning activities

Flipped classroom: the principle underlying this methodology assumes that the student will prepare before hand the topics assigned to each class. As a consequence the student will have a greater grasp and critical opinion on those topics so we can free class time to solve cases and exercises with the teacher support. For the preparation of each class the students have available in Moodle videos and reading sugestions per class. 
Each class starts with a quiz that will allow the student to assess the effectiveness of the preparation before the class. Afterwards, specific topics will be addressed followed by the clarification of all the questions risen during that preparation. The second part of the class is dedicated to problem-solving and case analysis in groups. 

Evaluation Type

Distributed evaluation with final exam

Assessment Components

Designation Weight (%)
Participação presencial 15,00
Teste 60,00
Trabalho prático ou de projeto 25,00
Total: 100,00

Amount of time allocated to each course unit

Designation Time (hours)
Elaboração de projeto 15,00
Estudo autónomo 45,00
Frequência das aulas 21,00
Total: 81,00

Eligibility for exams

One of the following continuous assessment regimes:

1) Option 1

- Group project: 25%

- 2 interim exams: 60%

- Engagement: 15%

2) Option 2

- Final Exam: 70%

- Group project: 30% 

- Group project (5 students): Guidelines provided in class
- Interim exams: both exams are compulsory
- Engagement: participation in the quizzes and peer assessment of group project 
There is a minimum grade of 60 points (out of 200) for every of these components.


- Final Exam:  100%

Calculation formula of final grade

The final grade will be computed with the following weights:

- 2 interim exams: 60%

- Group project: 25% (groups of 5 students)

- Engagement: 15% 

Minimum Grade for every assessment component: 60 points (out of 200 points).

Examinations or Special Assignments

Group assignment: the subjects will be discussed in class

Special assessment (TE, DA, ...)

Final Exam.

Classification improvement

Final Exam and oral examination.

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