Book description
A comprehensive introduction to the key concepts of fixed income analytics
The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change.
That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities).
Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more
Includes updated charts and descriptions using Bloomberg screens
Covers important analytical concepts used by portfolio managers
Table of contents
- Title Page
- Copyright Page
- Dedication
- Preface
- About the Authors
-
CHAPTER 1 - Time Value of Money
- FUTURE VALUE OF A SINGLE CASH FLOW
- PRESENT VALUE OF A SINGLE CASH FLOW
- COMPOUNDING/DISCOUNTING WHEN INTEREST IS PAID MORE THAN ANNUALLY
- FUTURE AND PRESENT VALUES OF AN ORDINARY ANNUITY
- YIELD (INTERNAL RATE OF RETURN)
- CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
- APPENDIX: COMPOUNDING AND DISCOUNTING IN CONTINUOUS TIME
- QUESTIONS
- CHAPTER 2 - Yield Curve Analysis
- CHAPTER 3 - Day Count Conventions and Accrued Interest
-
CHAPTER 4 - Valuation of Option-Free Bonds
- GENERAL PRINCIPLES OF VALUATION
- DETERMINING A BOND’S VALUE
- THE PRICE/DISCOUNT RATE RELATIONSHIP
- TIME PATH OF BOND
- VALUING A ZERO-COUPON BOND
- VALUING A BOND BETWEEN COUPON PAYMENTS
- TRADITIONAL APPROACH TO VALUATION
- THE ARBITRAGE-FREE VALUATION APPROACH
- CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
- QUESTIONS
-
CHAPTER 5 - Yield Measures
- SOURCES OF RETURN
- TRADITIONAL YIELD MEASURES
- YIELD TO CALL
- YIELD TO PUT
- YIELD TO WORST
- CASH FLOW YIELD
- PORTFOLIO YIELD MEASURES
- YIELD MEASURES FOR U.S. TREASURY BILLS
- YIELD SPREAD MEASURES RELATIVE TO A SPOT RATE CURVE
- CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
- APPENDIX: MATHEMATICS OF THE INTERNAL RATE OF RETURN
- QUESTIONS
- CHAPTER 6 - Analysis of Floating Rate Securities
- CHAPTER 7 - Valuation of Bonds with Embedded Options
- CHAPTER 8 - Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities
- CHAPTER 9 - Valuation of Mortgage-Backed and Asset-Backed Securities
- CHAPTER 10 - Analysis of Convertible Bonds
- CHAPTER 11 - Total Return
- CHAPTER 12 - Measuring Interest Rate Risk
- CHAPTER 13 - Value-at-Risk Measure and Extensions
- CHAPTER 14 - Analysis of Inflation-Protected Bonds
- CHAPTER 15 - The Tools of Relative Value Analysis
- CHAPTER 16 - Analysis of Interest Rate Swaps
- CHAPTER 17 - Estimating Yield Volatility
- Index
Product information
- Title: Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures, and Valuation, Second Edition
- Author(s):
- Release date: October 2010
- Publisher(s): Wiley
- ISBN: 9780470572139
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