Holdings: Fixed income analytics

Fixed income analytics: bonds in high and low interest rate environments

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Bibliographic Details
Main Author:	Marty, Wolfgang (Author)
Format:	Book
Language:	English
Published:	Cham Springer [2017]
Subjects:	Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur Anleihe Rendite Portfoliomanagement
Online Access:	Inhaltsverzeichnis
Physical Description:	xvii, 204 Seiten Diagramme
ISBN:	9783319485409

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MARC


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Record in the Search Index

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adam_text	1 Introduction...................................................... 1 2 The Time Value of Money.............................................. 5 2.1 The Return Over a Time Unit..................................... 5 2.2 Discount Factors............................................... 7 2.3 Annuities.................................................... 12 3 The Flat Yield Curve Concept........................................ 17 3.1 The Description of a Straight Bond........................... 17 3.2 Yield Measures................................................. 24 3.3 Duration and Convexity......................................... 32 3.4 The Approximation of the Internal Rate of Return............... 55 3.4.1 The Direct Yield of a Portfolio.......................... 57 3.4.2 Different Approximation Scheme for the Internal Rate of Return.......................................... 71 3.4.3 Macaulay Duration Approximation Versus Modified Duration Approximation.................................. 81 3.4.4 Calculating the Macaulay Duration........................ 89 3.4.5 Numerical Illustrations.................................. 93 References......................................................... 102 4 The Term Structure of Interest Rate............................. 103 4.1 Spot Rate and the Forward Rate................................ 104 4.2 Discrete Forward Rate and the Instantaneous Forward Curve .... 107 4.3 Spot Rate and Yield Curve................................... Ill 4.4 The Effective Duration........................................ 126 References......................................................... 128 5 Spread Analysis.................................................... 129 5.1 Interest Rate Spread.......................................... 129 5.2 Rating Scales . .............................................. 133 5.3 Composite Rating.............................................. 142 5.4 Optionality................................................... 144 References......................................................... 147 xv 149 149 150 152 157 158 159 159 160 162 163 164 165 167 168 171 173 173 174 176 178 183 185 201 203 xvi 6 Different Fixed Income Instruments.............. 6.1 Segmentation of the Yield Curve............ 6.2 Floating Rate Note......................... 6.3 Interest Rate Swap ........................ 6.4 Asset Swap................................. References...................................... 7 Fixed-Income Benchmarks......................... 7.1 Definition and Fundamental Properties...... 7.2 Constructing a Fixed-Income Benchmark...... 73 Recent Developments in the Benchmark Industry 7.4 Fixed Income as Asset Class................ 7.4.1 Equity Benchmarks .................. 7.4.2 Fixed-Income Indices................ 7.4.3 Hedged Fixed-Income Indices ........ 7.4.4 Commodity Index..................... References...................................... 8 Convertible..................................... 8.1 Basics Notions............................. 8.2 The Stock Behavior......................... 8.3 The Bond Behavior.......................... 8.4 The Embedded Call Option................... References...................................... Appendices......................................... References......................................... Index.........................................
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dewey-tens	330 - Economics
discipline	Wirtschaftswissenschaften
format	Book
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isbn	9783319485409
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spelling	Marty, Wolfgang Verfasser (DE-588)1143259262 aut Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty Cham Springer [2017] © 2017 xvii, 204 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Anleihe (DE-588)4002107-5 gnd rswk-swf Rendite (DE-588)4049459-7 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Anleihe (DE-588)4002107-5 s Portfoliomanagement (DE-588)4115601-8 s Zinsstruktur (DE-588)4067855-6 s Rendite (DE-588)4049459-7 s DE-604 Erscheint auch als Online-Ausgabe 978-3-319-48541-6 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030048534&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Marty, Wolfgang Fixed income analytics bonds in high and low interest rate environments Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur (DE-588)4067855-6 gnd Anleihe (DE-588)4002107-5 gnd Rendite (DE-588)4049459-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd
subject_GND	(DE-588)4067855-6 (DE-588)4002107-5 (DE-588)4049459-7 (DE-588)4115601-8
title	Fixed income analytics bonds in high and low interest rate environments
title_auth	Fixed income analytics bonds in high and low interest rate environments
title_exact_search	Fixed income analytics bonds in high and low interest rate environments
title_full	Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty
title_fullStr	Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty
title_full_unstemmed	Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty
title_short	Fixed income analytics
title_sort	fixed income analytics bonds in high and low interest rate environments
title_sub	bonds in high and low interest rate environments
topic	Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur (DE-588)4067855-6 gnd Anleihe (DE-588)4002107-5 gnd Rendite (DE-588)4049459-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd
topic_facet	Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur Anleihe Rendite Portfoliomanagement
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030048534&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT martywolfgang fixedincomeanalyticsbondsinhighandlowinterestrateenvironments

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