November 1998
Intermediate to advanced
220 pages
6h 36m
English
Content preview from Fixed Income and Interest Rate Derivative Analysis
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Part I
Fixed Cash Flows
Fixed cash flows form the building blocks of all default-free bonds, and as
such comprise a large proportion of the world bond market. Traditionally,
fixed income analysis starts with the (quite complex) formula for determining
the
yield-to-maturity
of a bond. The approach we use starts with zero-coupon
bond prices.
The central thesis of this part is that any default-free bond with fixed
cash flows can be viewed simply as a portfolio of zero-coupon bonds. This
approach ...
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