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This course examines the body of analytical tools and measures that constitute modern fixed income markets. The valuation of interest-rate sensitive cash flows is the unifying theme. Major topics covered include theories of term structure, institutional aspects of fixed income markets, and analytical techniques for managing interest rate risk. Bond refunding, defeasance, corporate bonds, mortgage-backed securities, forwards, futures, options and interest rate swaps are discussed. The course also provides an overview of the major classes of fixed income securities and the markets in which they trade. Among the major classes of fixed income instruments discussed are Treasury and agency securities, mortgage-backed securities (including CMOs and Strips), asset-backed securities, municipals, floating and inverse floating rate securities.