August 2010
Beginner to intermediate
495 pages
11h 48m
English
Content preview from Fixed-Income Securities and Derivatives Handbook, Second Edition
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INDEX
Accrued interest
calculated when bond traded
clean and dirty bond prices
day-count conventions
definition
Actual default definition
All-in-price. See Dirty price
Analysis of bonds with embedded options
arbitrage-free pricing
binomial tree of short-term interest rates
call provision
difficulty
features, basic
measuring bond yield spreads
option elements in a bond, understanding
option valuation
option-adjusted spread
options features, basic
options pricing
price and yield sensitivity
pricing callable bonds
purpose of valuing embedded options
recombining and nonrecombining trees
risk-neutral pricing
Approaches to trading. See Trading approaches
Asset swap spread (ASW)
Asset-backed bonds
Asset-backed securities (ABSs). See Securitization ...
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