July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the FormulasBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Bibliographic Notes
I have used Frank J. Fabozzi's textbook, Bond Markets, Analysis, and Strategies, in my Boston University money and capital markets and fixed-income analysis courses since the first edition back in the 1980s. It is now in the seventh edition (Pearson Prentice-Hall, 2010). So, in wanting to cite properly sources for the ideas in this book, I encounter the problem of not always remembering what I got from Fabozzi and what I thought up on my own.
For instance, I know for sure that I first saw the approximation formulas for modified duration and convexity in the Fabozzi book. On the other hand, he makes a point of not focusing on duration as a measure of time. I agree wholeheartedly but recall that I talked about duration as the ...
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