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, valueatrisk measures and information on instruments like TIPS (treasury inflation protected securities).
Offers insights into valueatrisk, 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 OptionFree Bonds
 GENERAL PRINCIPLES OF VALUATION
 DETERMINING A BOND’S VALUE
 THE PRICE/DISCOUNT RATE RELATIONSHIP
 TIME PATH OF BOND
 VALUING A ZEROCOUPON BOND
 VALUING A BOND BETWEEN COUPON PAYMENTS
 TRADITIONAL APPROACH TO VALUATION
 THE ARBITRAGEFREE 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 MortgageBacked Securities and Amortizing AssetBacked Securities
 CHAPTER 9  Valuation of MortgageBacked and AssetBacked Securities
 CHAPTER 10  Analysis of Convertible Bonds
 CHAPTER 11  Total Return
 CHAPTER 12  Measuring Interest Rate Risk
 CHAPTER 13  ValueatRisk Measure and Extensions
 CHAPTER 14  Analysis of InflationProtected 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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