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

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Chapter 10: Bond Strategies

I once wrote an article on lottery strategy, the idea being to identify “unpopular” numbers and number patterns so that if you are fortunate enough to win, you share the grand prize with fewer other winners. “Risk-Efficient Lottery Bets?!” was published in The Journal of Portfolio Management (Fall 1987).

equations 10.1 and 10.2 to determine the notional principal for the interest rate swap needed to change the average duration of a bond portfolio are from an article I coauthored with James Adams, “Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration,” which appeared in Financial Analysts Journal (July/August 2009).

The “Immunization Implementation Issues” section is based on an article I wrote, “Bond ...

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