Valuing fixed-income investments and derivative securities: cash-flow analysis and calculations
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York u.a.
New York Inst. of Finance
1991
|
| Edition: | 1. print. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVII, 394 S. graph. Darst. |
| ISBN: | 0139317759 |
Staff View
MARC
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| 245 | 1 | 0 | |a Valuing fixed-income investments and derivative securities |b cash-flow analysis and calculations |c Steven L. Allen ; Arnold D. Kleinstein |
| 250 | |a 1. print. | ||
| 264 | 1 | |a New York u.a. |b New York Inst. of Finance |c 1991 | |
| 300 | |a XVII, 394 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Fixed-income securities | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-003844937 | ||
Record in the Search Index
| _version_ | 1804120312992759808 |
|---|---|
| adam_text | Contents
Preface xv
1. Financial Securities and Their Markets: An Overview 1
The Financial Markets 1
The Money Market 2
The U.S. Bond Market 3
The Euromarket 4
The Futures Market 5
The Options Market 5
2. General Principles of Pricing Securities 7
First Principle: Keep Your Eye on the Cash 7
Second Principle: On Any Particular Day, More Cash
In Is Better Than Less Cash In 8
Third Principle: All Other Things Being Equal, Choose the
Cash Flow with the Higher Present Value 8
Fourth Principle: If the Security Is Being Offered at a
Price That Is Different from the Fair Market Price,
You Have the Possibility of Making A Riskless Profit 9
3. Description of Money Market Securities 11
The Money Market 11
Interest Bearing Money Market Securities 12
Contents
Eurodollar Deposits 12
Federal Funds 13
Negotiable Certificates of Deposit 14
Repurchase Agreements 15
Discount Money Market Securities 16
Agency Notes 16
Bankers Acceptance 17
Commercial Paper 18
Treasury Bills 19
4. Interest and Day Count Conventions 21
Interest Rates 21
Interest Payment Formula for a Simple Interest Rate 22
Day Count Conventions 23
Days versus Nights 25
Day Count Functions on the Hewlett Packard 12C
Calculator 25
Algorithm for Calculating the Number of Days between
Two Dates with a 30/360 Day Count Convention 28
Payment at Maturity 30
Yield 32
Converting a Money Market Yield to a 365 Day Yield 35
Exercises 36
Solutions 37
Formulas 38
5. Money Market Securities 41
Cash Row of Money Market Securities 41
Interest Bearing and Discount Issues 42
Interest Bearing Money Market Securities 43
Accrued Interest 44
Discount Money Market Securities 45
Discount 45
Purchase Price of a Discount Security 46
Converting a Discount Rate into a Simple Interest Rate 47
Converting a Simple Interest Rate into a Discount Rate 52
Exercises 53
Solutions 53
Formulas 55
6. Reinvestment 59
Time Value of Money 59
Contents fa
Comparing Securities with Different Maturity Dates 61
Breakeven Rate for Interest Bearing Money Market
Securities 65
Calculating the Breakeven Rate 66
Exercises 67
Solutions 68
Formulas 71
7. Compound Interest 73
Compound Interest 73
Annual Compounding 74
Compounding Period Other Than Annual 75
Annualized Yield 78
Continuous Compounding 81
Bond Equivalent Yield 82
Bond Equivalent Yield for Discount Securities 85
Discount Rate to Bond Equivalent Yield for Half Year or
Less 86
Discount Rate for Bond Equivalent Yield for Over a Half
Year 86
Exercises 88
Solutions 89
Formulas 94
8. Bond Coupon Payments and Accrued Interest 97
Long Term Fixed Income Securities 97
Bond Coupon Payments 98
Irregular First Coupon Payments 99
Short Coupon Payment 99
Long Coupon Payment 101
Accrued Interest 102
Exercises 108
Solutions 108
Formulas 110
9. Present Value 113
The Concept of Present Value 113
Present Value of Several Future Payments 115
Generalized Present Value Formula 119
Equal Investment Rates 124
Equal Investment Rates with Level Payments at the End
of a Compounding Period 128
x Contents
Present Value of a Bond s Coupon Payments 132
Level Cash Payments Occurring at the Beginning of a
Compounding Period with Equal Investment Rates 134
Payments that Occur in the Middle of a Compounding
Period with Equal Investment Rates 137
Exercises 142
Solutions 142
Formulas 144
10. Bond Prices and Yields 151
Price/Yield Relationship When the First Payment is a
Compounding Period Away 152
Bond Price/Yield Relationship When the First Payment is
Less than a Compounding Period from the Present 155
Market Price 158
Market Price for a Bond with a Short or Long Coupon 159
Exercises 164
Solutions 164
Formulas 167
11. Application of Bond Price/Yield Relationship 171
Price and Yield for Treasury Notes, Bonds, and Agency
Bonds 171
Using the HP 12C to Calculate the Price of Treasury
Notes, Bonds, and Agency Bonds 172
Calculating Yield from Price Using the HP 12C 175
Corporate Bond Prices 176
Calculating an Approximate Market Price Using the
HP 12C 178
Computing Yield from Price for Corporate Bonds 179
Call Feature of Corporate Bonds 180
Yield to Call 180
Cost of Funds for Bond Issuers 182
Municipal Bonds 183
Eurobond Price/Yield Relationship 184
Comparing Eurobond and Treasury Bond Yields 186
Exercises 187
Solutions 188
Formulas 191
12. Description of Long Term Securities 195
Agency Bonds 195
Contents xi
Corporate Bonds 196
Eurobonds 197
Municipal Bonds 197
Treasury Notes and Bonds 198
13. Yields 201
Current Yield 201
Drawback of the Current Yield (Omitting Reinvestment) 203
Drawback of the Current Yield (Omitting Capital Gain or
Loss) 204
Yield to Maturity 205
Iteration Routine for Calculating the Yield to Maturity
(Internal Rate of Return) 207
Difference Between the Yield to Maturity and Present
Value for Deciding Between Investments 214
Yield Curve 217
Linear Interpolation 220
Exercises 221
Solutions 222
Formulas 224
14. Fair Market Price, Spot Rates, and Forward Rates 229
Fair Market Price of a Cash Flow 229
Spot Rates 229
Fair Market Price, Present Value, and Spot Rates 231
Difference between Yield Curve Rates and Spot Rates 233
Deriving Spot Rates from Yield Curve Rates 234
Relationship between Yield Curve and Spot Rate Curve 241
Forward Rates 244
Deriving Forward Rates from Spot Rates 245
Forward Rates Curve 247
Exercises 249
Solutions 250
Formulas 251
15. Future Value and Total Rate of Return 255
Future Value 255
Determining the Future Value 256
Generalized Future Value Formula 257
Using Future Value to Decide Between Investments 260
Total Rate of Return 261
Calculating the Total Rate of Return 261
xil Contents
Realized Yield and Yield to Maturity 263
Exercises 265
Solutions 265
Formulas 267
16. Forwards and Futures 269
Description of Forwards and Futures 269
Delivery of Securities 270
Using Futures and Forwards 275
Futures with Payment Formulas 276
Margin and Credit Risk 278
Arbitrage with Forwards 279
Arbitrage with Futures 283
Mark to Market 285
Difference between Marking to Market a Future and a
Forward 289
Hedging with Futures and Forwards 290
Exercise 291
Solution 291
Formulas 292
17. Floating Rate Instruments 295
Pricing a Floating Rate Note 296
Pricing the Reference Floating Rate Instrument 299
Pricing a Floating Rate Note at the Beginning of a
Reset Period 300
Pricing a Corporate Floating Rate Note 301
Pricing a Floating Rate Note in the Middle of a Reset
Period 302
Exercises 304
Solutions 305
Formulas 307
18. Swaps 309
Pricing of Single Currency Interest Rate Swaps 312
Other Single Currency Swap Variations 315
Currency Exchange Agreements 316
Pricing a Currency Swap Agreement 317
Exercises 319
Solutions 320
Formulas 323
Contents xffl
19. Asset Backed Securities 325
Overview 325
Level Payments 326
Prepayments 330
Uncertainty of Prepayments 332
Exercises 334
Solutions 335
Formulas 337
20. Options on Fixed Rate Instruments 341
Terminology 341
Pricing European Options 344
Determining the Area Under the Normal Curve 351
Determining Price Volatility from Rate Volatility 352
Callable Bonds 354
American Options 357
Pricing Caps and Floors 359
Exercise 362
Solution 362
Formulas 364
21. Risk and Hedging 367
Risk 367
Hedging 371
Risk and Hedging for Options 374
Formulas 376
Appendix A: Summary of Fixed Interest Securities 377
Appendix B: Using the Hewlett Packard 12C Calculator 383
Appendix C: References 387
Index 389
|
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| author | Allen, Steven L. 1945- Kleinstein, Arnold D. |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. print. |
| format | Book |
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| id | DE-604.BV006088747 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:40:06Z |
| institution | BVB |
| isbn | 0139317759 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-003844937 |
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| owner | DE-703 DE-188 |
| owner_facet | DE-703 DE-188 |
| physical | XVII, 394 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | New York Inst. of Finance |
| record_format | marc |
| spelling | Allen, Steven L. 1945- Verfasser (DE-588)170982343 aut Valuing fixed-income investments and derivative securities cash-flow analysis and calculations Steven L. Allen ; Arnold D. Kleinstein 1. print. New York u.a. New York Inst. of Finance 1991 XVII, 394 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivative securities Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s DE-604 Kleinstein, Arnold D. Verfasser (DE-588)170982351 aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003844937&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Allen, Steven L. 1945- Kleinstein, Arnold D. Valuing fixed-income investments and derivative securities cash-flow analysis and calculations Derivative securities Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4121262-9 |
| title | Valuing fixed-income investments and derivative securities cash-flow analysis and calculations |
| title_auth | Valuing fixed-income investments and derivative securities cash-flow analysis and calculations |
| title_exact_search | Valuing fixed-income investments and derivative securities cash-flow analysis and calculations |
| title_full | Valuing fixed-income investments and derivative securities cash-flow analysis and calculations Steven L. Allen ; Arnold D. Kleinstein |
| title_fullStr | Valuing fixed-income investments and derivative securities cash-flow analysis and calculations Steven L. Allen ; Arnold D. Kleinstein |
| title_full_unstemmed | Valuing fixed-income investments and derivative securities cash-flow analysis and calculations Steven L. Allen ; Arnold D. Kleinstein |
| title_short | Valuing fixed-income investments and derivative securities |
| title_sort | valuing fixed income investments and derivative securities cash flow analysis and calculations |
| title_sub | cash-flow analysis and calculations |
| topic | Derivative securities Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Derivative securities Fixed-income securities Festverzinsliches Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003844937&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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