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BOND MATH: The Theory Behind the Formulas by Donald J. Smith

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Index

Add-on rate (AOR), 313, 1922, 94, 96

Adjustment factors

interest rate forwards and futures, 168170, 184

money market implied forward rates, 94, 95

After-tax rate of return, 63, 6582

All-in cost, 55

Annual percentage rate (APR)

bond markets, 5, 2732, 34, 36, 51

money markets, 5, 7, 9, 14, 15, 17, 19, 20, 22

Annual percentage yield (APY), 15

Approximate yield, 5053

Arbitrage, bond reconstitution, 26, 27

Ask (offered) rate, 4, 9

Average duration and convexity

bond investment strategy, 211217, 225, 228, 229

bond portfolios, 132, 135, 179, 191, 192, 205

Average yield, bond portfolios, 192194, 204207

Bank certificate of deposit. See Certificates of deposit (CDs)

Bankers acceptances (BA), 1, 3, 6, 8, 94, 95

“Barbell” portfolio, 189

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