Fixed Income Securities: Valuation, Risk, and Risk Management

LIST OF FIGURES

1.1	The Growth in Market Size
1.2	The Growth in Derivatives Markets: Notional
1.3	The Feb. 2006, 9.375%, 20-Year Bond Price, Path
1.4	Schematic Repo Transaction
1.5	Reverse Repo Transaction
1.6	Short-Term Rates: 1991–2008
1.7	Primary Dealers Fails to Deliver: 1990 to 2009
1.8	A Swap Deal
2.1	Discount Factors
2.2	Expected Inflation
2.3	The Shapes of the Term Structure
2.4	The Term Structure of Interest Rates on Three Dates
2.5	The Term Structure over Time
2.6	The Term Structure of Interest Rates on Dec. 31, 1993
2.7	The Fit of the Nelson Siegel Model
3.1	Zero Coupon Bond Yields & the Level of Interest Rates: 1965–2005
3.2	First Derivative of a Zero Coupon Bond with Respect to Interest Rate r
3.3	Changes in the Level of Interest Rates: 1965–2005
3.4	Performance Immunization Strategy in Simulations
3.5	Performance Fixed Investment Strategy in Simulations
3.6	The Level of Interest Rates, 1992–1994
3.7	The Monthly Changes in the Average Level of Interest Rates
3.8	The Distribution of the Monthly P&L of the Orange County Portfolio
4.1	Zero Coupon Bond Prices versus Interest Rates
4.2	Bond Price Approximation with Duration
4.3	Second Derivative
4.4	Duration plus Convexity Approximation
4.5	Daily Changes in the Level of Interest Rates
4.6	Slope & Curvature of the Term Structure of Interest Rates: 1965–2005
4.7	The Slope & Curvature of the Term Structure at Two Dates
4.8	The Shift Up in the Term Structure in April, ...