I have been writing book chapters and forewords covering the fixed income markets anecdotally for over a decade. And like the markets that underlie the various themes I have commented on, the focus of my musings has evolved over this period as well. A consistent theme throughout my annotations, however, has been a basic assertion that the “science” of fixed income investing has been uniquely influenced by mathematics and computing technology. By most accounts, fixed income analytics as a formal study only began to take shape as a proper science during the 1970–1980s; and as with most developing sciences, analytical models rooted in mathematics became the means by which practitioners looked to enumerate the developing fixed income concepts. Interestingly, this was also the period that most would suggest when financial globalisation started. Whilst one can debate whether finance’s coming of age was coincidental with globalisation or perhaps its key driver, it would be hard to argue that the electronic connectivity between borrower and saver has been anything short of revolutionary. Irrespective of the cause or effect, though, the world’s escalating financial interconnectivity certainly warranted, if not necessitated, new thinking around fixed income valuation and risk management.

Consequently, analytical frameworks ranging from portfolio theory (i.e., optimal portfolio construction) to option theory (i.e., human choice) had their origins during this period. While each ...

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