This webpage provides links to material for
Fixed Income Security Analysis (BUS 411-3).


Course Materials and Descriptions
Click here for BUS 411 Course Outline
Click here for BUS 411 Course Syllabus


Click here for Fixed Income Pretest
Click here for a description of the Game and Currency return calculation


It is possible that there are group presentations, though this will only happen if there is sufficient student interest.
If there are presentations, final exam and assignments are reduced by 10% and group is worth 20%

Click here for a description of presentations model It is useful to look at actual slide presentations.
Description of Presentation Scoring See also the presentations link for a history of related .ppt slides from BUS 419.
Click here for description of group formation
Click here for the Optional Group Evaluation Worksheet


Often used and free to access websites: Globe Investor and Bloomberg and Ft.com and CME and CBOE
Click here for primer on bond trading
Click here for a primer on money market security rates


Click here for the old BUS 417-4 Lecture Recordings
Note: BUS 417-4 was divided into BUS 411-3 and BUS 417-3, so about half of these
recordings cover BUS 411 material. (See https://www.sfu.ca/~poitras/BUS417.htm for the
coverage of BUS 417-4).


Explanation of Scoring System


Useful Supplementary Material
Historical Time Lines

Click here for 'old' interest tables.

Click here for the 'Philosophy of Investment' slide.

Zip file with British Museum cuneiform pictures

Errata List for Security Analysis and Investment Strategy




Important information about procedures regarding absence due to sickness
University Policy for academic honesty S10.01
Note that the takehome examination and the three assignments are individual work and no sharing of answers is allowed. Please consult S10.01, Schedule A, Sec. 2.3.6: a) using or attempting to use another individual's answers; b) providing questions and/or answers to other individuals.
These actions are considered under S10.01 to be cheating.
For purposes of this course, the use of AI code generators is considered as borrowing from another individual, such usage is explicitly prohibited.


For those that would like to have .pptx files of the lectures:

Click here for Lecture 1 ; Introduction: Overview of Fixed Income Markets;(Week 1)
Supplementary material for lecture 1 and Fixed Income Basics and Canadian Securities Law
and Overview of Canadian fixed income market and TSX traded bonds and Canadian preferreds types and TMX Preferred list 08-24
DBRS Morningstar site (choose Basic Account)
and Determining Government of Canada fixed income security rates and IIAC Canadian Conventions in Fixed Income Markets
Solving for the yield to maturity Need .pdf? Try this and another Solving for the yield to maturity
and Comparison of yield to maturity with current yield Need .pdf? Try this
Explaining Yields for flat prices and accrued interest
Chapter 5: Simple Interest and Compound Interest and Usury and Early Government Debt Background
Assignment #1 Due Week 5.

Click here for Lectures 2 and 3 ; Valuation of Life Annuities;(Week 3)
Supplementary material for lecture 3
Chapter 4 from Pioneers vol.I and Life Annuity formula explanation and Actuarial notation
and Huygens and Expected Value and A simple example and Types of life annuities and History of Joint Life Annuities and Example of Income Annuity quote

Click here for Lecture 4 ; Fixed Income Markets from the 17th to the 21st Century; (Week 4)
Supplementary material for lecture 4 and Canadian bond yields and Bank of Canada balance sheet

Click here for Lecture 5 Review of Modern Fixed Income Valuation; (Weeks 5-6) Font problems? Try this
Supplementary material for lecture 5
Bond info (Types of Canadian issues) and more bond info (IPOs, Housing Finance, Bond Book) and more bond market info (SIFMA data and BFS)
Example of a Canadian Final Short form Prospectus downloadable from SEDAR (NI44-101) --> Profile --> Documents; see esp. p.7-9
Example of US Short Form Prospectus downloadable from EDGAR (Quick Links on https://www.sec.gov) --> search Nevada Power
Mortgage Info (Insurance cost, structure of US and Canadian markets, US loss severity)
Current info on Residential Canadian Mortgage Market and The CMHC Housing Observer
A Useful Site for US Housing finance . There are many other good sites for the US.
Copies of Tables used in Lecture 5 slides. (Old Altman tables, Canadian yield curve see tab4-5)
Negative Interest rates and Investing and Negative Interest rates by PIMCO
Assignment #2 Due Week 10.

Click here for Lecture 6 Fixed Income Portfolio Management: Duration and Convexity; (Week 6-7) Font problems? Try this
Supplementary material for lecture 6
Duration and Convexity Basics and Relationship of Duration with Interest Rates
and Table 5-4 (Duration + Convexity Example) from .ppt slides and Convexity and Time Value (Duration + Convexity + Theta Example)
and Cost of convexity (Worked examples using mathematica, Incorrect interpretation, solving the SAIS bond trader example)
Calculating Duration Weights

Click here for Lecture 7 Tradeoff Between Time Value and Convexity; (Week 8) Font problems? Try this
Supplementary material for lecture 7
Duration and Convexity Basics and Convexity and Time Value (Duration + Convexity + Theta Example)
and Cost of convexity (Worked examples using mathematica, Incorrect interpretation, solving the SAIS bond trader example)
See below for useful worked examples

Click here for Lecture 8 Introduction to Option Bonds; (Week 9) Font problems? Try this
Supplementary material for lecture 8
Basics of densities and distributions
BUS 419 Intro to Black-Scholes and IV calculation Need .pdf? Try this
Callable Duration and Gamma Calculation 2 year and 5 year.
Copies of Tables used in Lecture 8 slides. (MBS example, MBS O/S, Price/Yield diagram, OAS Monte Carlo + Examples)
Basics of the static spread and Binomial Process Basics and Product Operator Basics
Assignment #3 Due End of Term.

Click here for Lecture 9 Option Adjusted Spread Analysis (OAS); (Week 10) Font problems? Try this
Supplementary material for lecture 9
Copies of Tables used in Lecture 9 slides. (MBS example, MBS O/S, Price/Yield diagram, OAS Monte Carlo + Examples)
Basics of the static spread and Binomial Process Basics and Product Operator Basics

Click here for Lecture 10 Fixed Income Derivatives; (Week 11-12)Font problems? Try this
Supplementary material for lecture 10
Link to CME and Link to CBOE

Click here for Lecture 11 Fixed Income Options and Swaps + Review Session; (Week 12-Last Week in Term)
Supplementary material for lecture 11


Material from BUS 419 Class Presentations

Click here for a link to the 419 presentations .ppt



The Early History of Financial Economics

Click here for chapter 2 of Early History of Financial Economics
Click here for chapter 3 of Early History of Financial Economics
Chapter 8: Emergence and Valuation of Joint Stocks
Chapter 10: Manias, Manipulations and Institutional Failures
Chapter 11: English Debates over Interest Rates and Public Credit
Click here for all the chapters plus the Bibliography
and Click here for the Figures and Image inserts



Supplementary Material for Lectures and Exams

2010 US Life Table & 2019 US Life Table & CDC life table info
Example of life expectancy calculation and Life Annuity and Term Annuity for Age 90
and Using survival rates and de Moivre for Age 90 (Note: (1/22)*17152 = 780) and Assignment #1, 19-2 Confused? Try this
Background on Calculating a Life Table

Click here for the Retirement problem.
Mortgage question solution 12-3
Mortgage question solution 24-3 (A#2, Part II 1a) Need .pdf? Try this . The 24-3 Assignment #2 is here
Trigger rate and Variable conversion See Bonus A#3_24-3

Point Elasticity Note
Macaulay Duration of Term Annuity and Par bond
Macaulay duration for Semi-annual Zero Coupon Bond and Term Annuity Helps to compare with the Term Annuity solution in the link above.
Macaulay Duration for a Life Annuity
Has an example for the implied interest rate for a life income as well as the discrete derivation solution.
Geometric and Taylor Series
Taylor series approximation example (at .25) and Approximation with Geometric Series
Taylor series approx. for zero and Taylor series approx for annuity and Quadratic example
Time Value/Convexity Tradeoff: Derivation of Formula
16-1 midterm Convexity-Volatility Question
24-3 A#3 Cost of convexity Need .pdf? Try this See also A#3 24-3

Example of CIP calculations
CIP for CME futures
Profit function for a tailed spread

US and Canadian mortgage history Assignment #2, 1a
Great Recession readings Assignment #2, 1b
Rise of US Mortgage Defaults Assignment #2, 1b
Primer on Credit Default Swaps Assignment #2 1b
Causes of the Financial Crisis of 2008-9
US Mortgage Reform in Great Depression Assignment #2, 1a
On the Early History of Mortgages
History of American Mortgage
Info on MBS mortgage pools


Material for the GAME

Game Directions and Currency explanation and Game example for Foreign Government Bond calculation Need .pdf version? Try this
A currency converter

Results for Game 22-3
Results for Game 23-3
Results for Game 24-3
Results for Game 25-2
Results for Game 25-3


Primer for Mathematica

Info on mathematica programs: (* ... *) indicates a comment; //N means calculate a number (this has no impact on the equation being evaluated only on the output format); % means use the previously calculated value; * is multiplication, e.g., 2 * 2 = 4 and ^ is raise to the exponent, e.g., 5^2 = 25.
NOTE: To execute a command, use [Shift]+[Enter]; Usually better to uncheck 'Dynamic Updating Enabled' in Evaluation Tab
Student version for Mathematica It is possible to purchase a license for one term that is cheaper -- check the site.
Information about mathematica download if site license is available It was available in the past and we are working on getting it back but ...
Here is an example of code generated by an AI code generator for 2025-2 Final Part II b)ii)


Exams and Assignments for BUS 411

Click here for 25-3 Final
Click here for 25-2 Final
Click here for 24-3 Final
Click here for 23-3 Final
Click here for 22-3 Final
Assignments for 22-3

Previous Exams and Assignments for BUS 417-4
Midterms (to 18-1) + Assignments (from 19-2)
Assignments for 19-2
Click here for the 18-3 midterm
Click here for the 17-2 midterm

Click here for a sample answer to 1a for midterm 13-1, 16-2 and 22-3
Note the question and answer format is slightly different.

Click here for the 17-1 D100 midterm
Click here for the 17-1 E100 midterm
Click here for the 16-2 midterm
Click here for the 16-1 midterm
Click here for the 15-2 midterm
Click here for the 14-2 D100 midterm
Click here for the 14-2 E100 midterm
Click here for the 13-1 midterm
Click here for the 12-3 E100 midterm
Click here for the 12-3 D100 midterm
Click here for the 12-1 midterm
Click here for the 11-3 midterm
Click here for the 11-1 midterm
Click here for the 10-3 midterm
Click here for the 10-1 midterm
Click here for the 09-3 midterm (E100-MW)
Click here for the 09-3 midterm (E200-TTh)
Click here for the 07-1 midterm
Click here for 06-3-D1 midterm
Click here for 06-3-E1 midterm
Click here for the 06-1 midterm
Click here for 05-3-D1 midterm
Click here for the 05-3 midterm
Click here for the 05-1 midterm
Click here for the 04-3 Midterm
Click here for 03-3 Midterm
Click here for assignment questions.

Finals
Click here for the 20-3 D100 final
Click here for the 20-3 E100 final
Click here for 20-2 final
Click here for 19-3 E100 final
Click here for 19-3 D100 final
Click here for 19-2 final
Click here for the 18-3 Final
Click here for the 17-2 Final
Click here for the 17-1 D100 Final
Click here for the 17-1 E100 Final
Click here for the 16-2 E100 final
Click here for the 16-2 D100 final
Click here for 16-1 E-100 final
Click here for 16-1 D-100 final
Click here for 15-2 final
Click here for 14-2 final (e-100)
Click here for 14-2 final (d-100)
Click here for 12-3 final (d-100)
Click here for 12-1 final
Click here for the 11-3 final
Click here for 11-1 final
Click here for 10-3 final
Click here for the 10-1 final
Click here for 09-3 E200 final
Click here for 09-3 E100 final
Click here for the 07-1 final
Click here for the 06-1 final
Click here for the 05-3 final
Click here for the 05-1 final
Click here for 04-3 final
Click here for a sample final



Here are some interesting magazine and journal articles to ponder:




Treasury Basis trade 2023
S&P Global default and transition study and Moody's
Primer on Credit Analysis
Ratings drift momentum
The last Altman US Corporate Bond Default study
SIFMA Capital Markets Factbook

Value at Risk A summary on the Value at Risk methodology from Financial Analysts Journal, Mar/Apr 2000.
Tails, Turtles and Stereos My article from the Journal of Derivatives, Winter 1997. Please note there are a number of typos in this article which need to be correct. The corrections can be found here
Can You Derive Market Volatility Forecasts from the Observed Yield Curve Convexity Bias? from the Journal of Fixed Income (1997). (Relevant to risk management for fixed income securities.)
Chapter 9: Development of Derivative Securities Chapter 9 on the early history of derivative security trading from 'Early History of Financial Economics'. Discusses the 16th to 18th century development of derivative security trading.

Eurodollar to SOFR transition
CME Video Courses on Secured Overnight Financing Rate (SOFR) Click on top left for all 8 course modules. See also CME overview and More detail on SOFR
Info on Canadian Overnight Repo Rate Average (CORRA)

Early history of Eurodollar market
Early History of Managed Funds
Bond market history
Eurobond market 1980-2000 and More recently
WWI Liberty Loans
Hargreaves (1931) on English National Debt History

Golden Ratio derivation



Working in the Securities Industry


Working in a fiduciary position in the Securities Industry requires a registration process that typically involves passage of an examination.
The specific exam needed relates to the type of job and investment industry sector. In the US, these exams are given by FINRA;
information about the various exams are available from FINRA .
An example of the entry (Securities Essentials) level exam is available here .

In Canada, similar exams are administered by the Canadian Securities Institute and other entities. The entry level exam is the Canadian Securities Course;
information about the various licensing procedures and entities are available here . An example of the entry level Canadian Securities Course exam is available here .


Here is a link to some interesting items, magazine and journal articles for Security Analysis:


In the event that some link does not activate, please try again later and if you are still unsuccessful, notify me by email at poitras@sfu.ca