Bond Math : The Theory Behind the Formulas.

Intro -- Bond Math -- Contents -- Preface to the Second Edition -- Preface to the First Edition -- CHAPTER 1 Money Market Interest Rates -- Interest Rates in Textbook Theory -- Money Market Add-On Rates -- Money Market Discount Rates -- Two Cash Flows, Many Money Market Rates -- Add-On Rate, Actual/360 -- Add-On Rate, Actual/365 -- Add-On Rate, 30/360 -- Add-On Rate, Actual/370 -- Discount Rate, Actual/360 -- A History Lesson on Money Market Certificates -- Periodicity Conversions -- Treasury Bill Auction Results -- The Future: Hourly Interest Rates? -- Conclusion -- CHAPTER 2 Zero-Coupon Bonds -- The Story of TIGRS, CATS, LIONS, and STRIPS -- Yields to Maturity on Zero-Coupon Bonds -- Horizon Yields and Holding-Period Rates of Return -- Changes in Bond Prices and Yields -- Credit Spreads and the Implied Probability of Default -- Conclusion -- CHAPTER 3 Prices and Yields on Coupon Bonds -- Market Demand and Supply -- Bond Prices and Yields to Maturity in a World of No Arbitrage -- Some Other Yield Statistics -- Horizon Yields -- Some Uses of Yield-to-Maturity Statistics -- Implied Probability of Default on Coupon Bonds -- Bond Pricing between Coupon Dates -- A Real Corporate Bond -- Conclusion -- CHAPTER 4 Bond Taxation -- Basic Bond Taxation -- Market Discount Bonds -- A Real Market Discount Corporate Bond -- Premium Bonds -- Original Issue Discount Bonds -- Municipal Bonds -- Conclusion -- CHAPTER 5 Yield Curves -- An Intuitive Forward Curve -- Classic Theories of the Term Structure of Interest Rates -- Accurate Implied Forward Rates -- Money Market Implied Forward Rates -- Calculating and Using Implied Spot (Zero-Coupon) Rates -- More Applications for the Implied Spot and Forward Curves -- Discount Factors -- Conclusion -- CHAPTER 6 Duration and Convexity -- Yield Duration and Convexity Relationships -- Yield Duration.

The Relationship between Yield Duration and Maturity -- Yield Convexity -- Bloomberg Yield Duration and Convexity -- Curve Duration and Convexity -- Conclusion -- CHAPTER 7 Floaters and Linkers -- Floating-Rate Notes in General -- A Simple Floater Valuation Model -- A Somewhat More Complex Floater Valuation Model -- An Actual Floater -- Inflation-Indexed Bonds: C-Linkers and P-Linkers -- Linker Taxation -- Linker Duration -- Conclusion -- CHAPTER 8 Interest Rate Swaps -- Pricing an Interest Rate Swap -- Interest Rate Forwards and Futures -- Inferring the Forward Curve -- Valuing an Interest Rate Swap -- Interest Rate Swap Duration -- Collateralized Swaps -- Traditional LIBOR Discounting -- OIS Discounting -- The LIBOR Forward Curve for OIS Discounting -- Conclusion -- CHAPTER 9 Bond Portfolios -- Bond Portfolio Statistics in Theory -- Bond Portfolio Statistics in Practice -- A Real Bond Portfolio -- Thoughts on Bond Portfolio Statistics -- Conclusion -- CHAPTER 10 Bond Strategies -- Acting on a Rate View -- An Interest Rate Swap Overlay Strategy -- Classic Immunization Theory -- Immunization Implementation Issues -- Liability-Driven Investing -- Closing Thoughts: Target-Duration Bond Funds -- Technical Appendix -- Acronyms -- Bibliographic Notes -- About the Author -- Acknowledgments -- About the Companion Website -- Index -- EULA.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.