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Contents......Page 2 Part 1. Introduction to Bonds......Page 8 Ch 1. The Bond Instrument ......Page 9 The Time Value of Money ......Page 10 Bond pricing and yield: the traditional approach ......Page 21 Accrued Interest ......Page 32 Duration, Modified duration, Convexity ......Page 35 Zero-coupon bonds ......Page 50 Coupon bonds ......Page 52 Bond price in continuous time ......Page 54 Forward rates ......Page 60 Term structure hypotheses ......Page 66 Basic concepts ......Page 70 One-factor term-structure models ......Page 74 Further one-factor term-structure models ......Page 76 Two-factor interest rate models ......Page 78 Choosing a term-structure model ......Page 82 Ch 5. Fitting the Yield Curve ......Page 85 Non-parametric methods ......Page 90 Comparing curves ......Page 94 Part 2. Selected Cash and Derivative Instruments ......Page 95 Forwards and futures ......Page 96 Forward-spot parity ......Page 100 Basis and implied repo rate ......Page 102 Ch 7. Swaps......Page 106 Interest rate swaps ......Page 107 Generic swap valuation ......Page 113 Non-plain vanilla interest rate swaps ......Page 120 Swaptions ......Page 123 Interest rate swap applications ......Page 125 Ch 8.

Who reads Fixed Income Securities And Derivatives Handbook. Analysis And Valuation?

Author

Choudhry

Publisher

Bloomberg Press

Published

2005

Language

EN

Category

nonfiction

Subjects

Business, Investing