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

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

12.10.2010

Verlag

John Wiley & Sons Inc

Seitenzahl

496

Maße (L/B/H)

23,5/15,7/3,1 cm

Gewicht

864 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-0-470-57213-9

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

12.10.2010

Verlag

John Wiley & Sons Inc

Seitenzahl

496

Maße (L/B/H)

23,5/15,7/3,1 cm

Gewicht

864 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-0-470-57213-9

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Introduction to Fixed Income Analytics

  • Preface xiii

    About the Authors xv

    CHAPTER 1: Time Value of Money 1

    Future Value of a Single Cash Flow 1

    Present Value of a Single Cash Flow 4

    Compounding/Discounting When Interest Is Paid More Than Annually 8

    Future and Present Values of an Ordinary Annuity 10

    Yield (Internal Rate of Return) 20

    Concepts Presented in this Chapter 26

    Appendix: Compounding and Discounting in Continuous Time 27

    Questions 31

    CHAPTER 2: Yield Curve Analysis: Spot Rates and Forward Rates 33

    A Bond Is a Package of Zero-Coupon Instruments 33

    Theoretical Spot Rates 34

    Forward Rates 44

    Dynamics of the Yield Curve 57

    Concepts Presented in this CHAPTER 60

    Questions 60

    CHAPTER 3: Day Count Conventions and Accrued Interest 63

    Day Count Conventions 63

    Computing the Accrued Interest 74

    Concepts Presented in this Chapter 76

    Questions 76

    CHAPTER 4: Valuation of Option-Free Bonds 77

    General Principles of Valuation 77

    Determining a Bond's Value 80

    The Price/Discount Rate Relationship 84

    Time Path of Bond 86

    Valuing a Zero-Coupon Bond 90

    Valuing a Bond Between Coupon Payments 90

    Traditional Approach to Valuation 94

    The Arbitrage-Free Valuation Approach 96

    Concepts Presented in this Chapter 107

    Questions 108

    CHAPTER 5: Yield Measures 109

    Sources of Return 109

    Traditional Yield Measures 113

    Yield to Call 121

    Yield to Put 123

    Yield to Worst 123

    Cash Flow Yield 124

    Portfolio Yield Measures 125

    Yield Measures for U.S. Treasury Bills 128

    Yield Spread Measures Relative to a Spot Rate Curve 134

    Concepts Presented in this Chapter 137

    Appendix: Mathematics of the Internal Rate of Return 138

    Questions 139

    CHAPTER 6: Analysis of Floating Rate Securities 141

    General Features of Floaters 141

    Valuing a Risky Floater 150

    Valuation of Floaters with Embedded Options 157

    Margin Measures 157

    Concepts Presented in this Chapter 166

    Questions 167

    CHAPTER 7: Valuation of Bonds with Embedded Options 169

    Overview of the Valuation of Bonds with Embedded Options 169

    Option-Adjusted Spread and Option Cost 170

    Lattice Model 172

    Binomial Model 175

    Illustration 196

    Concepts Presented in this Chapter 198

    Questions 198

    CHAPTER 8: Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities 199

    Cash Flow of Mortgage-Backed Securities 199

    Amortizing Asset-Backed Securities 238

    Concepts Presented in this Chapter 242

    Questions 244

    CHAPTER 9: Valuation of Mortgage-Backed and Asset-Backed Securities 247

    Static Cash Flow Yield Analysis 247

    Monte Carlo Simulation/OAS 249

    Concepts Presented in this Chapter 270

    Questions 270

    CHAPTER 10: Analysis of Convertible Bonds 273

    General Characteristics of Convertible Bonds 273

    Tools for Analyzing Convertibles 276

    Call and Put Features 278

    Convertible Bond Arbitrage 279

    Other Types of Convertibles 283

    Concepts Presented in this Chapter 285

    Questions 285

    CHAPTER 11: Total Return 287

    Computing the Total Return 287

    OAS-Total Return 290

    Total Return to Maturity 291

    Total Return for a Mortgage-Backed Security 299

    Portfolio Total Return 301

    Total Return Analysis for Multiple Scenarios 301

    Concepts Presented in this Chapter 314

    Questions 314

    CHAPTER 12: Measuring Interest Rate Risk 317

    The Full Valuation Approach 317

    Price Volatility Characteristics of Bonds 324

    Duration 334

    Other Duration Measures 350

    Convexity 360

    Price Value of a Basis Point 365

    The Importance of Yield Volatility 367

    Concepts Presented in this Chapter 369

    Questions 370

    CHAPTER 13: Value-at-Risk Measure and Extensions 373

    Value-at-Risk 373

    Conditional Value-at-Risk 384

    Concepts Presented in this Chapter 385

    Questions 386

    CHAPTER 14: Analysis of Inflation-Protected Bonds 387

    Breakeven Inflation rate 388

    Valuation of TIPS 389

    Measuring Interest Rate Risk 394

    Concepts Presented in this Chapter 397

    Questions 397

    CHAPTER 15: The Tools of Relative Value Analysis 399

    How Portfolio Managers Add Value 399

    Yield Spreads over Swap and Treasury Curves 400

    Asset Swaps 403

    Credit Default Swaps 410

    Concepts Presented in this Chapter 413

    Questions 414

    CHAPTER 16: Analysis of Interest Rate Swaps 417

    Description of an Interest Rate Swap 417

    Interpreting a Swap Position 419

    Terminology, Conventions, and Market Quotes 421

    Valuing Interest Rate Swaps 424

    Primary Determinants of Swap Spreads 440

    Dollar Duration of a Swap 445

    Concepts Presented in this Chapter 447

    Questions 447

    CHAPTER 17: Estimating Yield Volatility 451

    Historical Volatility 451

    Implied Volatility 455

    Forecasting Yield Volatility 459

    Concepts Presented in this Chapter 463

    Questions 463

    Index 465