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Bond Math - Donald J.Smith


Year 2014

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Preface to the Second EditionPreface to the First EditionCHAPTER 1 Money Market Interest RatesINTEREST RATES IN TEXTR00K THEORYMONEY MARKET ADD-ON RATESMONEY MARKET DISCOUNT RATESTWO CASH FLOWS, MANY MONEY MARKET RATESAdd-On Rate, Actual/360Add-On Rate, Actual/365Add-On Rate, 30/360Add-On Rate, Actual/370Discount Rate, Actual/360A HISTORY LESSON ON MONEY MARKET CERTIFICATESPERIODICITY CONVERSIONSTREASURY BILL AUCTION RESULTSTHE FUTURE: HUURLY INTEREST RATES?CONCLUSIONCHAPTER 2 Zero-Coupon BondsTHE STORY OF TIGRS, CATS, LIONS, AND STRIPSYIELDS TO MATURITY ON ZERO-COUPON RONDSHORIZON YIELDS AND HOLDING-PERIOD RATES OF RETURNCHANGES IN BOND PRICES AND YIELDSCREDIT SPREADS AND THE IMPLIED PROBABILITY OF DEFAULTCONCLUSIONCHAPTER 3 Prices and Yields on Coupon BondsMARKET DEMAND AND SUPPLYBOND PRICES AND YIELDS TO MATURITY IN A WORLD OF NO ARBITRAGESOME OTHER YIELD STATISTICSHORIZON YIELDSSOME USES OF YIELD-TO-MATURITY STATISTICS IIMPLIED PROBABILITY OF DEFAULT ON COUPON BONDSBOND PRICING BETWEEN COUPON DATESA REAL CORPORATE BONDCONCLUSIONCHAPTER 4 Bond TaxationBASIC BOND TAXATIONMARKET DISCOUNT BONDSA REAL MARKET DISCOUNT CORPORATE RONDPREMIUM BONDSORIGINAL ISSUE DISCOUNT BONDSMUNICIPAL BONDSCONCLUSIONCHAPTER 5. Yield CurvesAN INTUITIVE FORWARD CURVECLASSIC THEORIES OF THE TERM STRUCTURE OF INTEREST RATESACCURATE IMPLIED FORWARD RATESMONEY MARKET IMPLIED FORWARD RATESCALCULATING AND USING IMPLIED SPOT (ZERO-COUPON) RATESMORE APPLICATIONS FOR THE IMPLIED SPOT AND FORWARD CURVESDISCOUNT FACTORSCONCLUSIONCHAPTER 6. Duration and ConvexityYIELD DURATION AND CONVEXITY RELATIONSHIPSYIELD DURATIONTHE RELATIONSHIP BETWEEN YIELD DURATION AND MATURITYYIELD CONVEXITYBLOOMBERG YIELO BURATION ANB CONVEXITYCURVE DURATION AND CONVEXITYCONCLUSIONCHAPTER 7. Floaters and linkersFLOATING-RATE NOTES IN GENERALA SIMPLE FLOATER VALUATION MODELA SOMEWHAT MORE COMPLEX FLOATER VALUATION MODELAN ACTUAL FLOATERINFLATION-INDEXED BONDS: C LINKERS AND P-LINKERSLINKER TAXATIONLINKER DURATIONCONCLUSIONCHAPTER 8. Interest Rate SwapsPRICING AN INTEREST RATE SWAPINTEREST RATE FORWARDS AND FDTDRESINFERRING THE FORWARD CURVEVALUING AN INTEREST RATE SWAPINTEREST RATE SWAP DURATIONCOLLATERALIZED SWAPSTRADITIONAL LIBOR DISCOUNTINGOIS DISCOUNTINGTHE LIBOR FORWARD CURVE FOR OIS DISCOUNTINGCONCLUSIONCHAPTER 9. Bond PortfoliosBOND PORTFOLIO STATISTICS IN THEORYBOND PORTFOLIO STATISTICS IN PRACTICEA REAL BOND PORTFOLIOTHOUGHTS ON BOND PORTFOLIO STATISTICSCONCLUSIONCHAPTER 10. Bond StrategiesACTING ON A RATE VIEWAN INTEREST RATE SWAP OVERLAY STRATEGYCLASSIC IMMUNIZATION THEORYIMMUNIZATION IMPLEMENTATION ISSUESLIABILITY-DRIVEN INVESTINGCLOSING THOUGHTS: TARGET-DURATION ROND FUNDS ITechnical AppendixCHAPTER 1 MONEY MARKET INTEREST RATES
 
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