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Table Of Contents

time Value of Money
FUtUre VaLUe OF a SINGLe CaSh FLOW
preSeNt VaLUe OF a SINGLe CaSh FLOW
FUtUre aNd preSeNt VaLUeS OF aN OrdINary aNNUIty
yIeLd (INterNaL rate OF retUrN)
appeNdIx: COMpOUNdING aNd dISCOUNtING IN CONtINUOUS tIMe
a BOND IS a paCKaGe OF ZerO-COUpON INStrUMeNtS
theOretICaL SpOt rateS
FOrWarD rateS
DYNaMICS OF the YIeLD CUrVe
QUeStIONS
Day Count Conventions and accrued Interest
DaY COUNt CONveNtIONs
COmpUtINg the aCCrUeD INterest
QUestIONs
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
Yield Measures
SOUrCeS OF retUrN
traDItIONaL YIeLD MeaSUreS
YIeLD tO CaLL
YIeLD tO pUt
YIeLD tO WOrSt
pOrtFOLIO YIeLD MeaSUreS
YIeLD MeaSUreS FOr U.S. treaSUrY bILLS
YIeLD SpreaD MeaSUreS reLatIVe tO a SpOt rate CUrVe
appeNDIx: MatheMatICS OF the INterNaL rate OF retUrN
analysis of Floating rate Securities
GeNeraL FeatUreS OF FLOaterS
VaLUING a rISKY FLOater
VaLUatION OF FLOaterS WIth eMBeDDeD OptIONS
MarGIN MeaSUreS
Valuation of Bonds with embedded Options
OVerVIew Of the ValuatIOn Of BOnds wIth emBedded OptIOns
OptIOn-adJusted spread and OptIOn COst
lattICe mOdel
BInOmIal mOdel
IllustratIOn
QuestIOns
CaSh FLOW OF MOrtGaGe-BaCKeD SeCUrItIeS
aMOrtIZING aSSet-BaCKeD SeCUrItIeS
Valuation of Mortgage-Backed and asset-Backed Securities
StatIC CaSh FLOW YIeLD aNaLYSIS
MONte CarLO SIMULatION/OaS
Analysis of Convertible Bonds
GEnERAl CHARACTERisTiCs of ConvERTiBlE Bonds
Tools foR AnAlyzinG ConvERTiBlEs
CAll And PUT fEATUREs
ConvERTiBlE Bond ARBiTRAGE
oTHER TyPEs of ConvERTiBlEs
QUEsTions
total return
Computing the total return
oaS-total return
total return to maturity
total return for a mortgage-baCked SeCurity
portfolio total return
total return analySiS for multiple SCenarioS
QueStionS
Measuring Interest rate risk
the Full ValuatIon approaCh
prICe VolatIlItY CharaCterIStICS oF bonDS
DuratIon
other DuratIon MeaSureS
ConVexItY
prICe Value oF a baSIS poInt
the IMportanCe oF YIelD VolatIlItY
QueStIonS
Value-at-risk Measure and extensions
VaLUe-at-rISK
cONDItIONaL VaLUe-at-rISK
analysis of Infation-protected Bonds
Breakeven InflatIon rate
valuatIon of tIpS
MeaSurIng IntereSt rate rISk
The Tools of Relative Value Analysis
How PoRTfolio MAnAgERs Add VAluE
YiEld sPREAds oVER swAP And TREAsuRY CuRVEs
AssET swAPs
CREdiT dEfAulT swAPs
QuEsTions
analysis of Interest rate Swaps
DeSCrIptION OF aN INtereSt rate SWap
INterpretING a SWap pOSItION
terMINOLOGY, CONVeNtIONS, aND MarKet QUOteS
P. 1
Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation

Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation

Ratings: (0)|Views: 1,556 |Likes:
Published by Wiley

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

Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

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

Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

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Publish date: Sep 14, 2010
Added to Scribd: Sep 24, 2010
Copyright:Traditional Copyright: All rights reservedISBN:9780470922071
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