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 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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