Today I spent some time to learn the Financial Market Lesson 10 from the Yale Open Course, which is about the Debt market and term structure given by Robert J. Shiller. http://www.tudou.com/playlist/playindex.do?lid=8813050&iid=57503786&cid=25. Followings are the Lecture Notes in order to help me remember the key ideas.
First of first, following new words to me are recorded:
coupon: 股息.  auction: 拍卖.  treasury: 国库券. depicted: 描绘. monolith: 整体材料. unseen rule: 潜规则. gobble-up: 吞并. down to earth: 实际. maturity:  到期，成熟
At the beginning of the lecture, bond is introduced divided as three categories:
1) Discount bonds, also named  bills which is paid within 1 years. There’s no coupon carried with this bonds, rather it’s sold with a discount rate against 60 days. Let’s suppose the Discount Rate is r = 2.51, then it will be sold at price 100 – 2.51*60/360 = 99.58. It’s a history tradition to use 360 rather than 365 here, for it’s inconvenience to divide 365 when all these things are calculated by hands in the early ages. But we should notice that when the year’s investment rate of return is calculated, 365 must be used with formula as (1/r – 1) * 365/60, which is about 2.563% for above example. This kind of bonds usually is only sold periodically to certain certificated dealer, who may later sell them to public at bid price and buy them from public at ask price.
2) Coupon-carried bonds, with time limit between 1 and 10 years are called Notes, with more than 10 years usually named bonds. The coupon is named due to history reason when there were indeed coupons attached to paper, with which people needed to tear down to go to bank to get their pay based on half year interval.  There is on formula for the price of such bonds as
Price = Current Value (Principal, C) = Current Value of ( C/2 at 0.5 Year, C/2 at 1 Year, …., Principal at N year, C/2 at N Year).
Another important concept introduced here is term structure, which also named yield curve and used to describe the relationship between the interest rate and time to maturity of debt.  With such difference interest rates, it’s kindly like that the time “price” for bonds, and we can calculate “forward rate” based on these differences.
3) Inflation bonds.  This is bonds with couple considered the inflation rate. Suppose the inflation rate is Pi, then the real rate = 1 -(1+Rnormal) / (1+Pi) ~= Rnormal – Pi.
That’s all.