Fundamentals of Financial Instruments: An Introduction to Stocks, Bonds, Foreign Exchange, and Derivatives

Index

10K report, 115

10Q reports, 115

30/360 PSA, 180–181

A

Abnormal return, 336, 337, 338

Accrual bond, 492–497

Accrued interest, 181–183, 222, 224, 259, 262, 267, 270, 308

Actual–actual convention, 177–179

Actual term to maturity, 228

Additive price adjustment, 307, 308

Add-on rate approach, 94

Adjustable-rate mortgage (ARM), 458–459, 461, 463

Adjustable rate preferreds (ARPs), 119, 124

Advising bank, 280

Agency pass-throughs, 506–508

Fannie Mae, 507

Freddie Mac, 507–508

Ginnie Mae, 506–507

Agency trade, 28

All-in price, 515, 516

American calls option. See American option

American depository debenture, 51

American depository receipts (ADRs), 46, 47, 48, 49, 50–51

American option, 19, 344

property for, 364–366

time value of, 357–358

valuation of, 382–383

American terms, 408–409

Amortization, 88

Amortization schedule, 88–91, 463–465

with balloon payment, 91–92

for GPM, 467

in prepayments’ absence, 474–475

in prepayments’ presence, 478

Annuities, 82–87

annuity due, 85, 86, 87

future value, 84, 86–87

present value, 83–84, 85–86

timeline for, 83

Appreciating currencies, 409–410

Approximate Fisher relationship, 63

Approximate yield to maturity (AYM), 186–188

Arbitrage, 49–50, 122, 231, 296–297, 299–300, 309, 361, 363–364, 365, 375, 378, 386, 423–424, 427, 509, 522, 523–524

with ADRs, 50–51

in spot markets, 413–417

Arrangement fee, 521

Asset-backed securities, 21

Assets under management (AUM), 36

Assigned dealer, 28

At the money (ATM), 350, 352, 357, 394, 395

Auctions, types of,