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

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Chapter 5: Yield Curves

The idea of relating the three classic theories of the term structure of interest rates to the “stylized facts” is based on similar treatment in Stephen G. Cecchetti, Money, Banking, and Financial Markets (McGraw-Hill Irwin, 2006).

The section “Money Market Implied Forward Rates” is from an article I wrote, “The Calculation and Use of Money Market Implied Forward Rates,” published in the Journal of Cash Management (September/October 1989). A related paper, which I coauthored with Alan J. Daskin, is “Using Implied Forward Rates in the Selection of a CD Maturity,” Financial Practice and Education (Fall/Winter 1991).

The discussion of static, or zero-volatility, spreads is based on coverage in Frank J. Fabozzi, Bond Markets, ...

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