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Table Of Contents

What Is a Bond And Who Issues Them?
1.1.4 Coupon payments and frequency
1.1.5 Redemption amount and maturity dates
1.2 THE DIFFERENCE BETWEEN CORPORATE BONDS AND EQUITIES
Types of Bonds and Other Instruments
2.1.3 Undated or irredeemable bonds
2.1.4 Strippable bonds and strips
2.1.6 Step-up or graduated-rate bonds
2.2.1 Undated or perpetual floating-rate notes
2.5 OTHER INSTRUMENT TYPES
2.5.1 Treasury bills
2.5.2 Certificates of deposit
2.5.3 Commercial paper
2.5.4 Medium-term notes
2.5.5 Preference shares
2.5.6 Permanent interest bearing shares
3.2 DISCOUNTING AND YIELD CONSIDERATIONS
3.3 ACCRUED INTEREST
3.4 HOW BONDS ARE QUOTED
3.5 BOND PRICING
3.6.2 Simple yield to maturity
3.6.3 Redemption yield
3.6.4 Life and duration
3.6.5 Modified duration
3.6.6 Convexity
3.6.7 Dispersion
3.7 FLOATING-RATE NOTES
3.7.1 Simple margin (FRN)
3.7.2 Discounted margin (FRN)
3.8 REAL REDEMPTION YIELD
3.9 MONEY MARKET YIELDS AND DISCOUNTS
Bond Options and Variants
4.1 CALLABLE BONDS
4.2 PUTABLE BONDS
4.3 CONVERTIBLE BONDS
4.4 DUAL CURRENCY BONDS
4.5 MORTGAGE-BACKED SECURITIES
4.6 COLLATERALIZED DEBT OBLIGATIONS
4.7 BONDS WITH CONDITIONAL COUPON CHANGES
4.9 BONDS WITH WARRANTS ATTACHED
Yield Curves
5.1 YIELD CURVE SHAPES
5.2 ZERO-COUPON OR SPOT YIELD CURVES
5.3 FORWARD OR FORWARD–FORWARD YIELD CURVES
5.4 PAR YIELD CURVES
5.5 INVESTMENT STRATEGIES FOR POSSIBLE YIELD CURVE CHANGES
6.1 CLASSIC REPOS
6.2 SELL/BUY-BACKS
6.3 STOCK BORROWING/LENDING
Option Calculations
7.1 BUYING A CALL OPTION
7.2 WRITING A CALL OPTION
7.3 BUYING A PUT OPTION
7.4 WRITING A PUT OPTION
7.5 THEORETICAL VALUE OF AN OPTION
7.6 COMBINING OPTIONS
Credit and Other Risks and Ratings
8.1 CREDIT RISK
8.1.1 Covenants
8.1.2 Ratings
8.2 LIQUIDITY
Swaps, Futures and Derivatives
9.1 SWAPS
9.1.1 Interest rate swap
9.1.2 Asset swap
9.1.3 Cross-currency swap
9.1.4 Basis swap
9.1.5 Forward rate agreement
9.2 CREDIT RISK IN SWAPS
9.3 SWAPTIONS
9.4 FUTURES
9.5 CREDIT DEFAULT SWAPS
Portfolio and Other Considerations
10.1 HOLDING PERIOD RETURNS
10.2 IMMUNIZATION
10.3 PORTFOLIO MEASURES
10.4 ALLOWING FOR TAX
11.1 BOND INDEX CLASSIFICATIONS
11.2 CHOOSING INDICES
11.3 INDEX DATA CALCULATIONS
11.4 INDEX CONTINUITY
11.4.1 Large changes in the constituents of the index
11.4.2 Gaps in subindex calculations
11.4.3 Bonds dropped due to lack of prices
11.4.4 Ratings downgrade
B.1 ACCRUED INTEREST
B.2 CURRENT YIELD
B.3 SIMPLE YIELD TO MATURITY
B.4 REDEMPTION YIELD
B.5 DURATION
B.7 CONVEXITY
B.8 DISPERSION
B.9 ANNUITIES
B.14 DISCOUNT
B.15 MONEY MARKET YIELD
B.16 CERTIFICATE OF DEPOSIT YIELD
B.17 WARRANT CALCULATIONS
B.18 COMPOUNDING FREQUENCY ADJUSTMENTS
B.19 PORTFOLIO YIELD
B.20 PORTFOLIO MACAULAY DURATION
B.21 PORTFOLIO MODIFIED DURATION
References
Index
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An Introduction to the Bond Markets by Patrick J Brown

An Introduction to the Bond Markets by Patrick J Brown

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Published by: Radona on Jan 29, 2012
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