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Handbook of Global Fixed Income Calculations

Participants in the global fixed income market need a solid understanding of the standard formulas and conventions used for pricing and hedging. And although it is common financial knowledge that the full price of any fixed income security is the sum of the present values of its future cash flows at settlement date, in practice, all pricing conventions must be correctly specified for bond prices and sensitivity measures to be calculated accurately.

In the Handbook of Global Fixed Income Calculations, Wall Street professional Dragomir Krgin provides an up-to-date, informative, and detailed guide for the calculation of measures as used by bond market participants around the world. This invaluable book provides comprehensive coverage on a global scale of a number of fixed income calculation issues. Whether you're an analyst, portfolio manager, or CIO, you'll benefit from the straightforward conventions and formulas for calculating prices, yields, and other measures on periodic payment fixed income instruments that are presented in this book.

Filled with expert advice and proven techniques, the Handbook of Global Fixed Income Calculations:

Provides you with general price/yield formulas for periodic payment fixed income securities

Shows you how to compute accrued interest (covers twenty-six countries)

Offers sample calculations for periodic payment fixed income securities

Demonstrates how to determine coupon dates for periodic payment fixed income securities

Continuing down the path of global fixed income calculations, this complete guide also provides in-depth coverage of cash flow calculations, forward pricing analysis, futures conversion factor, and futures analytics for U.S. securities, as well as foreign government bonds.

With numerous examples that cover all possible cases, the Handbook of Global Fixed Income Calculations can easily be understood by both experienced financial professionals and newcomers to the global fixed income market. From U.S. corporate bonds to the bonds of European Monetary Union (EMU) countries, the Handbook of Global Fixed Income Calculations oners the most comprehensive treatment of fixed income calculations available. The financial world does not carry many guarantees, but with the Handbook of Global Fixed Income Calculations you're guaranteed to understand the standards and methodologies for fixed income calculations.

DRAGOMIR KRGIN has been working for Merrill Lynch for fifteen years. He was in a debt analytics group where he developed fixed income analytics for Merrill Lynch, which is now used by the company's trading, sales, and research employees throughout the world. He received a BS in mathematics, a BS in electrical engineering, and an MS in operation research and cybernetics, all in Yugoslavia.

378 pages