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Fixed Income Markets and Their Derivatives, 3rd Edition by Suresh Sundaresan

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Index

A

Accrued interest, 37–38, 250, 392
excel functions for, 40
Adjustable-rate mortgage (ARM), 231–233
Agency debt securities, 10, see also Debt securities
Agency mortgage, 233, see also Mortgage
Alt-A mortgage, 233, see also Mortgage
Annual percentage rate (APR), 237
Annuities, compounding and discounting, 27–29
Arbitrage, CDO, 400
Asset backed securities market (ABS), 12
Asset swaps, 326–327
Asset values, probability distribution of, 220
Attachment point, 402

B

Balance sheet
CDO, 400
Balloon payment, 7
Bankruptcy
defaults, 199–200
Banks., see also Central banks
commercial, 227, 238, 267, 345
investment, 10, 246, 248, 249, 345 ...

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