Tuckman, Fixed Income Securities, Chapter 1: Prices, Discount Factors, and Arbitrage is a 35 minute instructional video analyzing the following concepts:
* Define discount factor and use a discount function to compute present and future values.
* Define the “law of one price”, explain it using an arbitrage argument, and describe how it can be applied to bond pricing.
* Identify the components of a U.S. Treasury coupon bond, and compare and contrast the structure to Treasury STRIPS, including the difference between P-STRIPS and C-STRIPS.
* Construct a replicating portfolio using multiple fixed-income securities to match the cash flows of a single given fixed income security.
* Identify arbitrage opportunities for fixed income securities with certain cash flows.
* Differentiate between “clean” and “dirty” bond pricing and explain the implications of accrued interest with respect to bond pricing.
* Describe the common day-count conventions used in bond pricing.