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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The Story of TIGRS, CATS, LIONS, and STRIPS
Financial engineering can be defined as the creation of a security having a risk-return profile that is otherwise unavailable. The creation of U.S. Treasury STRIPS is a classic example. The story starts in the early 1980s, when interest rates were high due to double-digit inflation rates. When rates later dropped, the descent was steep and dramatic. For example, yields on 10-year Treasury notes averaged 14.30% during the month of June 1982 and fell to 10.85% by June 1983. Treasury yields then rose and averaged 13.56% for June 1984 before another descent to 10.16% in June 1985 and farther down to 7.80% for June 1986. Figure 2.1 displays the monthly averages of daily 10-year Treasury yields from April ...
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