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

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Conclusion

Many textbooks focus on the least important (and least interesting) aspects of yield curve analysis—the classic theories of the term structure of interest rates. Still, the expectations, segmented markets, and liquidity preference theories do serve to direct attention to the drivers of bond yields. Fortunately, there are many applications of implied spot and forward curves that are theory-free. To the extent that you believe in no-arbitrage pricing, you can move seamlessly between the observed yield curve on coupon bonds and the implied spot and forward curves.

Implied spot and forward rates are incredibly important to financial market participants. Who would not be interested in techniques that help you make maturity-choice decisions, ...

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