--- title: Fixed Income & Bonds description: Fixed income covers bonds and interest-rate markets. You will learn yields, duration and convexity, the yield curve, credit risk, and how government, corporate and securitised bonds are priced and traded. category: finance-economics subcategory: investing difficulty: beginner, intermediate, advanced url: /subject/fixed-income-and-bonds --- # Fixed Income & Bonds Fixed income covers bonds and interest-rate markets. You will learn yields, duration and convexity, the yield curve, credit risk, and how government, corporate and securitised bonds are priced and traded. ## Available Resources 2 Books • 2 Courses • 3 Websites • 1 Papers ## Websites ### 1. Bond Ratings, Default Spreads and the Cost of Debt (Damodaran Data) **Author:** Aswath Damodaran Aswath Damodaran's freely published mapping from interest-coverage ratios to synthetic credit ratings and the corresponding default spreads, refreshed annually. The standard way to price an unrated issuer's credit risk and back out a cost of debt. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/ratings.html **Tags:** credit-ratings, default-spreads, cost-of-debt, corporate-finance, valuation ### 2. QuantLib – Open-Source Quantitative Finance Library **Author:** QuantLib Project Home of QuantLib, the free open-source C++ library for quantitative finance with Python bindings. It implements yield-curve bootstrapping, interest-rate and equity derivative pricing, Monte Carlo and finite-difference engines, and market calendars, letting practitioners build and test production-grade pricing and risk models. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.quantlib.org **Tags:** quantlib, derivatives-pricing, yield-curves, fixed-income, c-plus-plus, python ### 3. FINRA TRACE (Trade Reporting and Compliance Engine) **Author:** FINRA FINRA's mandatory reporting system for over-the-counter fixed income trades, covering corporate and agency bonds, Treasuries, and mortgage- and asset-backed securities. Its public data shows execution prices, yields and volumes, letting learners see how actively individual bonds and securitized deals trade. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://www.finra.org/filing-reporting/trace **Tags:** trade-reporting, bond-market-data, fixed-income, asset-backed-securities, market-transparency ## Books ### 1. The Handbook of Fixed Income Securities, 9th Edition **Author:** Frank J. Fabozzi, Steven V. Mann, Francesco A. Fabozzi The field's reference bible, roughly 1,900 pages: Treasuries, corporates, municipals, mortgage- and asset-backed securities, term structure, credit analysis, portfolio strategy and derivatives, each chapter written by a specialist practitioner. Fabozzi covers instrument-by-instrument market structure and conventions, including securitised product post-crisis. I Used as a desk reference rather than read cover to cover. **Difficulty:** Advanced | **Language:** English | **Price:** Paid **Link:** https://www.amazon.com/dp/1260473899?tag=edmonddante07-20 **Tags:** fixed-income, bond-markets, securitization, credit-analysis, term-structure ### 2. Fixed Income Securities: Tools for Today's Markets, 4th Edition **Author:** Bruce Tuckman, Angel Serrat The standard practitioner-quant text: arbitrage-free pricing, DV01 and key-rate durations, convexity, post-crisis OIS discounting and multi-curve construction, plus repo, swaps, futures and mortgages, worked through real market data. Requires comfort with calculus. The book that rates desks and quant candidates are actually told to read. **Difficulty:** Advanced | **Language:** English | **Price:** Paid **Link:** https://www.amazon.com/dp/1119835550?tag=edmonddante07-20 **Tags:** fixed-income, bond-pricing, duration-convexity, interest-rate-derivatives, term-structure ## Papers ### 1. The U.S. Treasury Yield Curve: 1961 to the Present **Author:** Refet S. Gurkaynak, Brian Sack, Jonathan H. Wright The Federal Reserve Board staff paper documenting how its zero-coupon Treasury curve is fitted with the Nelson-Siegel-Svensson method, including instrument selection, estimation pitfalls and forward-rate extraction. Its parameter dataset is refreshed daily and used across academia. Teaches curve construction as it is actually done rather than as a textbook abstraction, and hands the reader a live, daily-updated dataset (federalreserve.gov/data/nominal-yield-curve.htm) to reproduce the work. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.federalreserve.gov/pubs/feds/2006/200628/200628pap.pdf **Tags:** yield curve, treasury securities, nelson-siegel-svensson, term structure, forward rates, zero-coupon bonds ## Courses ### 1. Interest Rate Models (EPFL) **Author:** Damir Filipovic Damir Filipovic's EPFL course builds the arbitrage-free term structure from the ground up: curve bootstrapping, stochastic short-rate and forward-rate models, swaps, caps and swaptions, plus credit risk, with graded quantitative assignments. Assumes stochastic calculus and delivers the machinery — HJM, short-rate models, curve construction. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.coursera.org/learn/interest-rate-models **Tags:** interest rate models, term structure, short-rate models, hjm framework, interest rate derivatives, stochastic calculus ### 2. Finance Theory I (MIT 15.401) **Author:** Andrew Lo Covers present value, fixed-income securities (discount factors, spot and forward rates, yields, duration, convexity), equities, capital budgeting, portfolio theory, CAPM and options. Provides 20 lecture videos with slides, plus problem sets and exams with solutions; learners can price bonds and measure interest-rate risk. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://ocw.mit.edu/courses/15-401-finance-theory-i-fall-2008/pages/video-lectures-and-slides/ **Tags:** bond-pricing, term-structure, duration-convexity, asset-pricing, portfolio-theory --- *This content is part of Dantes.io - Your Treasure Map to Knowledge* *Curated by humans at Dantes.io. Personal study use welcome; republishing this curation requires permission (team@dantes.io).* View this page online: https://dantes.io/subject/fixed-income-and-bonds