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Bond math : the theory behind the formulas

Author: Donald J Smith
Publisher: Hoboken, N.J. : J. Wiley, ©2011.
Series: Wiley finance series.
Edition/Format:   Print book : EnglishView all editions and formats
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Document Type: Book
All Authors / Contributors: Donald J Smith
ISBN: 9781576603062 1576603067
OCLC Number: 698451494
Description: xiv, 272 pages : illustrations ; 24 cm.
Contents: Chapter 1 Money Market Interest Rates 1 --
Interest Rates in Textbook Theory 2 --
Money Market Add-on Rates 3 --
Money Market Discount Rates 6 --
Two Cash Flows, Many Money Market Rates 9 --
A History Lesson on Money Market Certificates 12 --
Periodicity Conversions 13 --
Treasury Bill Auction Results 15 --
The Future: Hourly Interest Rates? 20 --
Conclusion 22 --
Chapter 2 Zero-Coupon Bonds 23 --
The Story of TIGRS, CATS, LIONS, and STRIPS 24 --
Yields to Maturity on Zero-Coupon Bonds 27 --
Horizon Yields and Holding-Period Rates of Return 30 --
Changes in Bond Prices and Yields 33 --
Credit Spreads and the Implied Probability of Default 35 --
Conclusion 38 --
Chapter 3 Prices and Yields on Coupon Bonds 39 --
Market Demand and Supply 40 --
Bond Prices and Yields to Maturity in a World of No Arbitrage 44 --
Some Other Yield Statistics 49 --
Horizon Yields 53 --
Some Uses of Yield-to-Maturity Statistics 55 --
Implied Probability of Default on Coupon Bonds 56 --
Bond Pricing between Coupon Dates 57 --
A Real Corporate Bond 60 --
Conclusion 63 --
Chapter 4 Bond Taxation 65 --
Basic Bond Taxation 66 --
Market Discount Bonds 68 --
A Real Market Discount Corporate Bond 70 --
Premium Bonds 74 --
Original Issue Discount Bonds 77 --
Municipal Bonds 79 --
Conclusion 82 --
Chapter 5 Yield Curves 83 --
An Intuitive Forward Curve 84 --
Classic Theories of the Term Structure of Interest Rates 86 --
Accurate Implied Forward Rates 91 --
Money Market Implied Forward Rates 93 --
Calculating and Using Implied Spot (Zero-Coupon) Rates 96 --
More Applications for the Implied Spot and Forward Curves 99 --
Conclusion 105 --
Chapter 6 Duration and Convexity 107 --
Yield Duration and Convexity Relationships 108 --
Yield Duration 111 --
The Relationship between Yield Duration and Maturity 115 --
Yield Convexity 118 --
Bloomberg Yield Duration and Convexity 122 --
Curve Duration and Convexity 127 --
Conclusion 135 --
Chapter 7 Floaters and Linkers 137 --
Floating-Rate Notes in General 138 --
A Simple Floater Valuation Model 139 --
An Actual Floater 143 --
Inflation-Indexed Bonds: C-Linkers and P-Linkers 149 --
Linker Taxation 153 --
Linker Duration 156 --
Conclusion 161 --
Chapter 8 Interest Rate Swaps 163 --
Pricing an Interest Rate Swap 164 --
Interest Rate Forwards and Futures 168 --
Inferring the Forward Curve 170 --
Valuing an Interest Rate Swap 174 --
Interest Rate Swap Duration and Convexity 179 --
Conclusion 184 --
Chapter 9 Bond Portfolios 185 --
Bond Portfolio Statistics in Theory 185 --
Bond Portfolio Statistics in Practice 189 --
A Real Bond Portfolio 194 --
Thoughts on Bond Portfolio Statistics 206 --
Conclusion 207 --
Chapter 10 Bond Strategies 209 --
Acting on a Rate View 211 --
An Interest Rate Swap Overlay Strategy 215 --
Classic Immunization Theory 218 --
Immunization Implementation Issues 224 --
Liability-Driven Investing 226 --
Closing Thoughts: Target-Duration Bond Funds 227.
Series Title: Wiley finance series.
Responsibility: Donald J. Smith.

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