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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Chapter 1: Money Market Interest Rates
The “Treasury Bill Auction Results” section is based on my article “Bias at the Short End of the Yield Curve,” published in Global Investor (April 1991). I first saw the official Investment Rate for T-bills having more than six months to maturity (equation 1.12) and its derivation in Money Market Calculations: Yields, Break-Evens, and Arbitrage, by Marcia Stigum and John Mann (Dow-Jones Irwin, 1981).
The hourly interest rates example originated as a midterm question in my MBA course in the fall semester of 2003. The point about first converting a money market rate to a 365-day basis before the periodicity conversion to a semiannual bond basis is based on a short article Scott Lummer and I wrote titled “Accurate ...
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