Fixed-Income Treasury

  • P.S. The course will begin at 2020-09-15, thanks for your participation!

Attention

  • Attention: I have put the slides in Chinese at bottom of this page, please download the pdf if you need!
  • We will use 固定收益证券-第四版-类承曜 as the text book, click here to buy the book or download PDF of 固定收益证券-第三版-类承曜
  • Schedule and Syllabus unless otherwise specified the lectures are Tuesday 19:30 pm to 21:05 pm in the X1226 - in the xipu campus of southwest jiaotong university.
  • This is the syllabus for the August 2020 iteration of the course.
  • You can download the book Fixed Income Securities 7th written by Frank J. Fabozzi.
  • You can download papers written by author here about this book.

The skills of FICC

  1. Programming: Python
  2. Math: Calculus, Linear Algebra, Probability
  3. Finance: Financial Engineering

Schedule

Event Type Date Title Description
Lecture 1 Tuesday September 15
19:30 pm to 21:05 pm
Introduction 1. Conclusion about the Financial Engineering(last semester)
2. Introduction to the recent financial events
3. Introduction to the FICC and course zero
Lecture 2 Tuesday September 22
19:30 pm to 21:05 pm
Introduction 1. Install python and install pandas, numpy, matplotlib, akshare and other package
2. Use virtual environment and PyCharm
3. Introduction an example about FICC using Python
Lecture 3 Tuesday September 29
19:30 pm to 21:05 pm
Bond Fundamentals 1. What is a bond
2. International bond market
3. Chinese bond market
Lecture 4 Tuesday October 13
19:30 pm to 21:05 pm
Data scientist using Python: Pandas 1. Write your first line of code
2. Get the data from API
3. Examples
Lecture 5 Tuesday October 20
19:30 pm to 21:05 pm
Bond Market and Bond Trading 1. Types of bond market
2. How to apply for bond
3. Bond rating
Lecture 6 Tuesday October 27
19:30 pm to 21:05 pm
Data scientist using Pandas and AkShare 1. Introduction to Pandas
2. Introduction to AkShare
3. Examples: download all data using akshare
Lecture 7 Tuesday November 3
19:30 pm to 21:05 pm
Introduce the bond market and know about the bond market 1. Kings of market types
2. Issue methods of bond
Lecture 8 Tuesday November 10
19:30 pm to 21:05 pm
Get the data from the web of website 1. Analysis the website
2. Introduction to the requests
3. Examples: download the data and save it into local place
Lecture 9 Tuesday November 17
19:30 pm to 21:05 pm
Learn the price of bond 1. Pricing of bond
2. Basic knowledge
Lecture 10 Tuesday November 24
19:30 pm to 21:05 pm
Data analysis 1. Basic data process
2. Examples: process the bond data
Lecture 13 Tuesday December 1
19:30 pm to 21:05 pm
Update data 1. Basic data process
2. Examples: update the bond data and calculate
Lecture 14 Tuesday December 8
19:30 pm to 21:05 pm
Data modeling 1. Basic data modeling
2. Examples: linear regression
Lecture 15 Tuesday December 15
19:30 pm to 21:05 pm
Update data 1. Basic data process
2. Examples: update the bond data and calculate
Lecture 16 Tuesday December 22
19:30 pm to 21:05 pm
Review the content we have learned from this class Prepare for the article about FICC

Homework

The Mid-term Homework

  1. Published: 2020-11-10
  2. Content:
    1. To describe the 327 bond event in Chinese, reference materials are provided here!
    2. To download the fundamental bond data from the website and print the code in paper.
    3. Give me the paper in the next class.

If all above materials are not sufficient for you, you can find the useful information by yourself.


Requirement of the Format

Mid-term-Format


The content of the Mid-term Exam

Waiting


The Final Exam

Reading Materials

I will put some research articles here or in the attachment

Requirement

Write an article about FICC market using empirical method!

Deadline

2020-12-29

Requirements of the Format

Final-exam-Format


Attachment

Title Click Download to open or download the pdf file
第 1 课-绪论(一) Download
第 2 课-绪论(二) Download
第 3 课-债券基础知识 Download
第 4 课-债券市场和债券交易 Download
第 5 课-债券的价格 Download
第 6 课-债券的收益率 Download
第 7 课-Python 应用-收益率计算 Python Tutorial, Pandas in 10 mins, AkShare Docs
第 8 课-债券价格波动性的衡量 Download
第 9 课-Python 应用-波动率计算 Download, Swjtu, Async, Tthread
第 10 课-债券的价格 Download
第 10 课-Python应用 Download
第 13 课-Python应用 Download
第 14 课-Python应用 Data, Code
第 15 课-债券属性 债券的收益率, 债券价格波动性的衡量, 利率期限结构, Code
第 16 课-写作 债券论文写作

Reference

Visit here

Demo here

How to install TensorFlow 2.3 on Windows 10

TensorFlow 2.3 is the latest version for now

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conda create -n tf_test python=3.8.5  # 安装最新版 Python, 最新为 3.8.5
conda activate tf_test # 进入所创建的 tf_test 这个虚拟环境
pip install tensorflow -i https://pypi.tuna.tsinghua.edu.cn/simple # 安装适配当前虚拟环境 Python 版本的 TensorFlow, 这里利用清华的安装源
pip install cudnn # 自动安装最新的 TensorFlow 配套支持库
  1. If return grpcio error, please pip install grpcio via proxy
  2. If return can not find DLL error, please conda install cudnn

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