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Fixed Income Mathematics
book

Fixed Income Mathematics

by Robert Zipf
June 2003
Beginner content levelBeginner
366 pages
9h 16m
English
Academic Press
Content preview from Fixed Income Mathematics
EXAMPLE 6.4. (from Chapter 1) Your broker has offered you a 6-month
T-bill (maturing in 182 days) at a 3.92 discount yield and a Treasury note
maturing in 6 months at a bond yield of 4.00. You compute the BEY as follows,
using equation 9.5:
You buy the T-bill because it yields 5.5 basis points more than the note.
A HISTORICAL NOTE
Most leading papers report T-bill yields. Years ago, these reports showed only
the discount bid and ask yields. Then, some time ago, the market regulators
required these reports to show bond equivalent yield as well, and most market
reports now also show these yields. They show them in a separate column,
variously titled “Bond ...
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Publisher Resources

ISBN: 9780127817217