INTRODUCTION TO FIXED INCOME ANALYTICS

FABOZZI F.,MANN S.

wydawnictwo: WILEY FABOZZI , rok wydania 2001, wydanie I

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Introduction to Fixed Income Analytics

Frank J. Fabozzi
Steven V. Mann

Copyright: 2001

The expanding variety of fixed income vehicles, in addition to their increasing intricacy, has generated difficulties for finance managers and investors in determining accurate valuations and analyses. Introduction to Fixed Income Analytics has proven to be today's most complete reference on the subject through its revolutionary insights into the time value of money and its techniques for estimating yield volatility, as well as for analyzing valuations, yield measures, return, risk, and more.

Table of Contents

Time Value of Money.

Yield Curve Analysis: Spot Rates and Forward Rates.

Day Count Conventions and Accrued Interest.

Valuation of Option-Free Bonds.

Yield Measures.

Valuation of Bonds with Embedded Options.

Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities.

Valuation of Mortgage-Backed and Asset-Backed Securities.

Analysis of Floating-Rate Securities.

Total Return.

Measuring Interest Rate Risk.

Analysis of Interest Rate Swaps.

Estimating Yield Volatility.

Index.

346 pages

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