Fixed income securities: concepts and applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boston ; Berlin
Walter de Gruyter Inc.
2020
|
| Schlagworte: | |
| Online-Zugang: | http://www.degruyter.com/search?f_0=isbnissn&q_0=9781547416738&searchTitles=true https://www.degruyter.com/doc/cover/9781547416738.jpg Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | xxv, 452 Seiten 24 cm, 798 g |
| ISBN: | 9781547416738 1547416734 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV046715570 | ||
| 003 | DE-604 | ||
| 005 | 20200527 | ||
| 007 | t | ||
| 008 | 200511s2020 xxu |||| 00||| eng d | ||
| 015 | |a 18,N29 |2 dnb | ||
| 015 | |a 20,A04 |2 dnb | ||
| 016 | 7 | |a 1162552476 |2 DE-101 | |
| 020 | |a 9781547416738 |c Broschur : EUR 68.99 (DE) (freier Preis), EUR 68.99 (AT) (freier Preis) |9 978-1-5474-1673-8 | ||
| 020 | |a 1547416734 |9 1-5474-1673-4 | ||
| 024 | 3 | |a 9781547416738 | |
| 035 | |a (OCoLC)1164635430 | ||
| 035 | |a (DE-599)DNB1162552476 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US |a gw |c XA-DE | ||
| 049 | |a DE-12 | ||
| 082 | 0 | |a 332.632044 |2 23/ger | |
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Parameswaran, Sunil K. |e Verfasser |0 (DE-588)1200879643 |4 aut | |
| 245 | 1 | 0 | |a Fixed income securities |b concepts and applications |c Sunil Kumar Parameswaran |
| 264 | 1 | |a Boston ; Berlin |b Walter de Gruyter Inc. |c 2020 | |
| 300 | |a xxv, 452 Seiten |c 24 cm, 798 g | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 0 | 7 | |a Festverzinsliches Wertpapier |0 (DE-588)4121262-9 |2 gnd |9 rswk-swf |
| 653 | |a Bond market, SEC, Mortgage-backed securities, Derivatives, High yield, Fixed income, Excel | ||
| 689 | 0 | 0 | |a Festverzinsliches Wertpapier |0 (DE-588)4121262-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 710 | 2 | |a Walter de Gruyter Inc. |0 (DE-588)2036938-4 |4 pbl | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe, PDF |z 978-1-5474-0066-9 |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe, EPUB |z 978-1-5474-0068-3 |
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| 856 | 4 | 2 | |m X:MVB |u https://www.degruyter.com/doc/cover/9781547416738.jpg |
| 856 | 4 | 2 | |m B:DE-101 |q application/pdf |u https://d-nb.info/1162552476/04 |3 Inhaltsverzeichnis |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032125900&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-032125900 | ||
Datensatz im Suchindex
| _version_ | 1804181452744556544 |
|---|---|
| adam_text | CONTENTS
ADVANCE
PRAISE
FOR
FIXED
INCOME
SECURITIES
*
V
FOREWORD
*
VII
PREFACE
*
LX
ACKNOWLEDGMENTS
*
XL
CHAPTER
1:
A
PRIMER
ON
THE
TIME
VALUE
OF
MONEY
*
1
NOMINAL
AND
EFFECTIVE
RATES
OF
INTEREST
*
1
VARIABLES
AND
TERMS
TO
BE
USED
AND
THE
CORRESPONDING
SYMBOLS
*
1
THE
CONCEPT
OF
SIMPLE
INTEREST
*
2
THE
CONCEPT
OF
COMPOUND
INTEREST
*
2
PROPERTIES
OF
SIMPLE
AND
COMPOUND
INTEREST
*
4
EFFECTIVE
VERSUS
NOMINAL
RATES
OF
INTEREST
*
5
A
SYMBOLIC
DERIVATION
OF
THE
RELATIONSHIP
BETWEEN
EFFECTIVE
AND
NOMINAL
RATES
OF
INTEREST
*
5
COMPUTING
EFFECTIVE
AND
NOMINAL
RATES
IN
EXCEL
*
6
PRINCIPLE
OF
EQUIVALENCY
OF
INTEREST
RATES
*
7
CONTINUOUS
COMPOUNDING
OF
INTEREST
*
7
USING
EXCEL
TO
COMPUTE
THE
EFFECTIVE
RATE
WITH
CONTINUOUS
COMPOUNDING
*
8
FUTURE
VALUE
OF
CASH
FLOWS
*
9
COMPUTING
THE
FUTURE
VALUE
USING
EXCEL
*
9
PRESENT
VALUE
OF
CASH
FLOWS
*
11
COMPUTING
PRESENT
VALUES
OF
CASH
FLOWS
USING
EXCEL
*
*
11
THE
INTERNAL
RATE
OF
RETURN
OF
AN
INVESTMENT
*
12
PURE
AND
MIXED
CASH
FLOWS
*
13
DESCARTES
*
RULE
OF
SIGNS
AND
THE
IRR
*
13
A
POINT
ABOUT
EFFECTIVE
RATES
OF
INTEREST
*
13
LEVEL
ANNUITIES
*
14
PRESENT
VALUE
OF
A
LEVEL
ANNUITY
*
15
FUTURE
VALUE
OF
A
LEVEL
ANNUITY
*
16
RELATIONSHIP
BETWEEN
PVIFA
AND
FVIFA
FOR
A
LEVEL
ANNUITY
*
*
16
LEVEL
ANNUITIES
DUE
*
17
PRESENT
VALUE
OF
A
LEVEL
ANNUITY
DUE
*
17
COMPUTATION
IN
EXCEL
OF
THE
PRESENT
VALUE
OF
AN
ANNUITY
DUE
*
18
FUTURE
VALUE
OF
AN
ANNUITY
DUE
*
18
COMPUTATION
OF
THE
FUTURE
VALUE
OF
AN
ANNUITY
DUE
IN
EXCEL
*
19
RELATIONSHIP
BETWEEN
PVIFA
AND
FVIFA
FOR
ANNUITY
DUES
*
19
XIV
*
CONTENTS
PERPETUITIES
*
19
THE
AMORTIZATION
METHOD
OF
LOAN
REPAYMENT
*
20
OBTAINING
THE
AMORTIZATION
SCHEDULE
USING
EXCEL
*
22
THE
RATIONALE
FOR
WHY
IPMT
AND
PPMT
CAN
BE
USED
WITH
TWO
DIFFERENT
SETS
OF
PARAMETERS
*
23
AMORTIZATION
WITH
A
BALLOON
PAYMENT
*
23
HANDLING
THE
BALLOON
USING
EXCEL
*
23
A
GROWING
ANNUITY
-----
24
PRESENT
VALUE
OF
A
GROWING
ANNUITY
*
24
FUTURE
VALUE
OF
A
GROWING
ANNUITY
*
25
GROWING
PERPETUITY
*
26
GROWING
ANNUITY
DUE
*
26
PRESENT
VALUE
OF
A
GROWING
ANNUITY
DUE
*
26
FUTURE
VALUE
OF
A
GROWING
ANNUITY
DUE
*
28
GROWING
PERPETUITY
DUE
*
28
CHAPTER
SUMMARY
*
29
CHAPTER
2:
AN
INTRODUCTION
TO
BONDS
*
30
THE
LEVERAGE
EFFECT
*
31
TAX
SHIELD
DUE
TO
INTEREST
PAYMENTS
*
31
VARIABLES
INFLUENCING
THE
BOND
PRICE
*
33
FACE
VALUE
*
33
TERM
TO
MATURITY
*
33
COUPON
*
34
YIELD
TO
MATURITY
*
34
VALUATION
OF
A
BOND
*
34
PAR,
PREMIUM,
AND
DISCOUNT
BONDS
*
35
INFLUENCE
OF
VARIABLES
ON
THE
BOND
PRICE
*
36
THE
PULL
TO
PAR
EFFECT
*
37
AN
INTERESTING
RESULT
ABOUT
BOND
PRICES
*
38
EUROBONDS
AND
FOREIGN
BONDS
*
40
COUPON
DATES
AND
COUPON
FREQUENCIES-
*
41
ZERO
COUPON
BONDS
*
42
CREATING
A
SYNTHETIC
ZERO
COUPON
BOND
*
42
PRICE
QUOTES
FOR
BONDS
*
44
COMPUTATION
OF
THE
BOND
PRICE
USING
EXCEL
*
44
DIFFERENT
BOND
TYPES
*
45
AMORTIZING
BONDS
*
45
BONDS
WITH
STEP-UP
COUPONS
AND
STEP-DOWN
COUPONS
*
47
PAYMENT-IN-KIND
(PIK)
BONDS
*
47
TREASURY
SECURITIES
*
48
TREASURY
AUCTIONS
*
48
CONTENTS
XV
ILLUSTRATION
OF
A
TREASURY
AUCTION
*
49
SECURITY
IDENTIFICATION
*
50
COUPON
STRIPS
-----
51
WHEN
ISSUED
(WL)
TRADING
*
53
COUPON
ROLLS
*
53
ACCOUNTING
FOR
BONDS
*
54
ISSUE
OF
DISCOUNT
BONDS
*
54
ISSUE
OF
PREMIUM
BONDS
*
56
RISKS
INHERENT
IN
BONDS
*
57
CREDIT
RISK
*
57
MOODY
*
S
RATINGS
SCALE
*
58
S&P
*
S
RATING
SCALE
*
58
FITCH
*
S
RATING
SCALE
*
59
LIQUIDITY
RISK
*
61
INTEREST
RATE
RISK
*
62
INFLATION
RISK
*
62
TIMING
RISK
-----
63
FOREIGN
EXCHANGE
RISK-
*
63
CHAPTER
SUMMARY
*
63
CHAPTER
3:
BONDS:
ADVANCED
CONCEPTS
*
65
REQUIRED
SYMBOLS
FOR
THE
VARIABLES
*
65
DAY-COUNT
CONVENTIONS
*
66
THE
ACTUAL/ACTUAL
APPROACH
*
66
THE
MARKET
METHOD
FOR
BOND
VALUATION
*
67
THE
TREASURY
METHOD
FOR
BOND
VALUATION
*
67
ACCRUED
INTEREST
*
68
THE
IMPACT
OF
TIME
ON
THE
DIRTY
PRICE
*
70
COMPUTATION
OF
PRICE
AND
ACCRUED
INTEREST
USING
EXCEL
*
*
71
COMPUTATION
OF
THE
YTM
BETWEEN
COUPON
DATES
*
73
OTHER
DAY-COUNT
CONVENTIONS
*
73
THE
30/360
NASD
APPROACH
*
73
30/360
EUROPEAN
CONVENTION
*
75
ACTUAL/365
CONVENTION
*
75
ACTUAL/360
CONVENTION
*
*
76
COMPARISON
OF
DAY-COUNT
CONVENTIONS
-
*
76
ADDITIONAL
COUPON-RELATED
EXCEL
FUNCTIONS
*
77
VALUING
A
BOND
IN
THE
FINAL
COUPON
PERIOD
*
78
YIELD
MEASURES:
AN
INTRODUCTION
*
79
CURRENT
YIELD
OF
A
BOND
*
79
SIMPLE
YIELD
TO
MATURITY
*
80
YIELD
TO
MATURITY
OF
A
BOND
*
81
XVI
CONTENTS
THE
APPROXIMATE
YIELD
TO
MATURITY
APPROACH
*
81
THE
RATIONALE
FOR
THE
AYM
APPROACH
*
81
THE
REALIZED
COMPOUND
YIELD
*
87
THE
HORIZON
OR
HOLDING
PERIOD
RETURN
*
88
THE
REALIZED
COMPOUND
YIELD
WITH
TAXES
*
89
COMPUTING
THE
YTM
WITH
TAXES
*
90
THE
PORTFOLIO
YIELD
FOR
BONDS
*
90
THE
TAXABLE
EQUIVALENT
YIELD
(TEY)
*
92
SINKING
FUND
PROVISIONS
*
92
SERIAL
BONDS
*
93
YIELD
TO
AVERAGE
LIFE
*
94
YIELD
TO
EQUIVALENT
LIFE
*
95
CHAPTER
SUMMARY
*
96
CHAPTER
4:
YIELD
CURVES
AND
THE
TERM
STRUCTURE
*
97
ANALYZING
THE
YIELD
CURVE
*
97
SPOT
RATES
OF
INTEREST
*
98
THE
RELATIONSHIP
BETWEEN
SPOT
RATES
AND
THE
YTM
*
98
YIELD
CURVE
VERSUS
THE
TERM
STRUCTURE
*
99
REQUIRED
SYMBOLS
*
100
BOOTSTRAPPING
TO
OBTAIN
SPOT
RATES
*
100
PRACTICAL
DIFFICULTIES
WITH
BOOTSTRAPPING
*
101
COUPON
YIELD
CURVES
AND
PAR
BOND
YIELD
CURVES
*
102
DEDUCING
A
PAR
BOND
YIELD
CURVE
*
103
IMPLIED
FORWARD
RATES
OF
INTEREST
*
104
FITTING
THE
YIELD
CURVE
*
105
INTERPOLATION
*
105
POLYNOMIAL
MODELS
OF
THE
YIELD
CURVE
*
106
REGRESSION
MODELS
OF
THE
YIELD
CURVE
*
106
THE
NELSON-SIEGEL
MODEL
OF
THE
YIELD
CURVE
*
106
INTERPRETATION
OF
THE
NELSON-SIEGEL
MODEL
*
107
THEORIES
OF
THE
TERM
STRUCTURE
*
109
THE
PURE
OR
UNBIASED
EXPECTATIONS
HYPOTHESIS
*
109
THE
LIQUIDITY
PREFERENCE
THEORY
(LPT)
*
110
THE
EXPECTATIONS HYPOTHESIS
VERSUS
THE
LPT:
A
MATHEMATICAL
ANALYSIS
*
111
THE
MONEY
SUBSTITUTE
HYPOTHESIS
*
114
THE
MARKET
SEGMENTATION
HYPOTHESIS
*
114
THE
PREFERRED
HABITAT
THEORY
*
115
FEATURES
OF
THE
DEBT
MARKET
AND
THEORIES
OF
THE
TERM
STRUCTURE
*
115
CHAPTER
SUMMARY
*
117
CONTENTS
XVII
CHAPTER
5:
DURATION,
CONVEXITY,
AND
IMMUNIZATION
*
118
A
MATHEMATICAL
DEFINITION
OF
DURATION
*
119
DURATION
OF
A
BOND
WHEN
THE
SETTLEMENT
DATE
IS
BETWEEN
TWO
COUPON
DATES
*
120
A
CONCISE
FORMULA
FOR
THE
DURATION
ON
A
COUPON
DATE
*
120
THE
CASE
OF
A
PAR
BOND
*
121
DURATION
OF
A
LEVEL
ANNUITY
*
121
DURATION
OF
A
PERPETUITY
*
122
THE
RATIONALE
BEHIND
DURATION
*
122
FACTORS
INFLUENCING
DURATION
*
123
TERM
TO
MATURITY
*
123
COUPON
*
125
YIELD
TO
MATURITY
*
126
ACCRUED
INTEREST
*
126
COUPON
FREQUENCY
*
127
PERCENTAGE
PRICE
CHANGE
AND
DURATION
*
127
DURATION
OF
ANNUITIES
DUE
AND
PERPETUITIES
DUE
*
128
DOLLAR
DURATION
*
129
COMPUTING
DURATION
AND
MODIFIED
DURATION
WITH
EXCEL
*
129
MODIFIED
DURATION
*
129
APPROXIMATING
DURATION
*
130
THE
CONCEPT
OF
EFFECTIVE
DURATION
*
130
DURATION
AS
A
CENTER
OF
GRAVITY
*
131
PORTFOLIO
DURATION
*
131
BOND
CONVEXITY
*
133
APPROXIMATING
THE
PRICE
CHANGE
OF
A
BOND
FORA
GIVEN
CHANGE
IN
YIELD
*
135
DISPERSION
OF
A
BOND
*
136
CONVEXITY
OF
A
ZERO
COUPON
BOND
*
137
DISPERSION
AS
AN
EXPECTED
VALUE
*
138
PORTFOLIO
CONVEXITY
AND
DISPERSION
*
138
PROPERTIES
OF
CONVEXITY
*
139
THE
IMPACT
OF
DURATION
*
139
THE
IRRELEVANCE
OF
THE
FACE
VALUE
*
139
DOLLAR
CONVEXITY
*
139
APPROXIMATE
CONVEXITY
*
140
CONVEXITY
OF
ANNUITIES
AND
PERPETUITIES
*
140
PERPETUITIES
*
142
IMMUNIZATION
OF
A
BOND
PORTFOLIO
*
142
CHAPTER
SUMMARY
*
144
APPENDIX
5.1:
DERIVATION
OF
A
CONCISE
FORMULA
FOR
DURATION
*
144
APPENDIX
5.2:
DURATION
OF
ANNUITIES
AND
PERPETUITIES
*
146
APPENDIX
5.3:
DURATION
AND
INTEREST
RATE
SENSITIVITY
*
148
XVIII
*
CONTENTS
APPENDIX
5.4:
CONVEXITY
OF
ANNUITIES
AND
PERPETUITIES
*
149
APPENDIX
5.5:
PROOF
OF
SINGLE-PERIOD
IMMUNIZATION
*
149
CHAPTER
6:
THE
MONEY
MARKET
-----
152
RISK
FACTORS
IN
THE
MONEY
MARKET
*
153
SUPERVISION
OF
THE
MONEY
MARKET
*
154
KEY
DATES
IN
MONEY
MARKET
TRANSACTIONS
*
155
ROLL
CONVENTIONS
IN
THE
EVENT
OF
MARKET
HOLIDAYS
-----
155
THE
END/END
RULE
*
156
THE
INTERBANK
MARKET
*
156
TYPES
OF
LOANS
IN
THE
INTER-BANK
MARKET
-----
157
LIBOR
-----
157
INTEREST
COMPUTATION
METHODS
-----
158
MONEY
MARKET
FORWARD
RATES
*
159
TERM
MONEY
MARKET
DEPOSITS
-----
160
FEDERAL
FUNDS
*
161
TREASURY
BILLS
*
161
RE-OPENINGS
OF
T-BILLS
*
162
DISCOUNT
RATES
AND
T-BILL
PRICES
*
163
THE
MONEY
MARKET
YIELD
OF
A
T-BILL
-----
163
THE
BOND
EQUIVALENT
YIELD
OF
A
T-BILL
*
164
HOLDING
PERIOD
RETURN
FOR
AN
INVESTOR
-----
166
CONCEPT
OF
A
TAIL
IN
A
T-BILL
TRANSACTION
*
166
T-BILL
RELATED
COMPUTATIONS
USING
EXCEL
*
167
REPURCHASE
AGREEMENTS
*
169
REPO
RATES
-----
170
MARGINS
IN
REPO
TRANSACTIONS
*
170
THE
FEDERAL
RESERVE
AND
REPOS
*
172
NEGOTIABLE
CERTIFICATES
OF
DEPOSIT
(CDS)
*
173
REQUIRED
SYMBOLS
*
173
TERM
CERTIFICATES
OF
DEPOSIT
*
174
NCDS
VS.
MONEY
MARKET
TIME
DEPOSITS
-----
176
THE
EFFECTIVE
COST
OF
A
CD-----
177
COMMERCIAL
PAPER
*
177
LETTERS
OF
CREDIT
(LCS)-----
178
YANKEE
PAPER
*
178
CREDIT
RATING
*
179
MOODY
*
S
RATING
SCALE
*
179
S&P
*
S
RATING
SCALE
-
*
179
FITCH
*
S
RATING
SCALE
*
180
BILLS
OF
EXCHANGE
*
180
CHAPTER
SUMMARY
*
182
CONTENTS
*
XIX
CHAPTER
7:
FLOATING
RATE
BONDS
*
183
CALL
AND
PUT
PROVISIONS
IN
FLOATING
RATE
BONDS
*
183
CAPS
AND
FLOORS
FOR
THE
COUPON
RATE
*
184
VALUATION
OF
A
FLOATING
RATE
BOND
*
184
VARIATIONS
ON
THE
FLOATING
RATE
FEATURE
*
185
INVERSE
FLOATING
RATE
BONDS
*
185
DELEVERAGED
FLOATING
RATE
BONDS
*
186
DUAL-INDEXED
FLOATING
RATE
BONDS
*
187
RANGE
NOTES
*
187
VARIATIONS
ON
THE
PRINCIPAL
REPAYMENT
FEATURE
*
187
FLOATERS,
INVERSE
FLOATERS,
AND
PLAIN
VANILLA
BONDS
*
187
A
MORE
GENERAL
RELATIONSHIP
FOR
AN
INVERSE
FLOATER
*
188
DURATION
OF
A
FLOATING
RATE
BOND
*
188
CONVEXITY
OF
A
RISK-FREE
FLOATING
RATE
BOND
*
189
COMPARISON
WITH
A
ZERO
COUPON
BOND
*
189
MARGIN
MEASURES
FOR
FLOATERS
*
189
SIMPLE
MARGIN
*
190
ADJUSTED
SIMPLE
MARGIN
*
190
ADJUSTED
TOTAL
MARGIN
*
191
THE
DISCOUNT
MARGIN
*
192
INFLATION
INDEXED
BONDS
*
193
PRINCIPAL
LINKERS
OR
P-LINKERS
*
193
ANALYSIS
*
194
COUPON
LINKERS
OR
C-LINKERS
*
195
VALUING
A
RISKY
FLOATER
*
195
DURATION
OF
A
RISKY
FLOATER
-----
199
CHAPTER
SUMMARY
*
200
APPENDIX
7.1:
DURATION
OF
A
RISKY
FLOATER
*
201
APPENDIX
7.2:
DURATION
OF
A
RISKY
PERPETUAL
FLOATER
*
202
CHAPTER
8:
MORTGAGE
LOANS
*
203
IMPORTANT
MORTGAGE-RELATED
TERMS
*
203
RISKS
IN
MORTGAGE
LENDING
*
203
DEFAULT
RISK
*
204
LIQUIDITY
RISK
*
204
INTEREST
RATE
RISK
*
204
PREPAYMENT
RISK
*
204
THE
ROLE
OF
THE
MORTGAGE
RATE
IN
PREPAYMENTS
*
206
NEGATIVE
AMORTIZATION
*
207
OTHER
MORTGAGE
STRUCTURES
*
208
ADJUSTABLE
RATE
MORTGAGES
(ARMS)
*
208
OPTION
TO
CHANGE
THE
MATURITY
*
210
XX
*
CONTENTS
FEATURES
OF
ARMS
-----
210
VARIATIONS
ON
THE
ARM
STRUCTURE
*
210
INTEREST
RATE
CAPS
-----
212
EXAMPLE
OF
INTEREST
RATE
CAPS
*
212
PAYMENT
CAPS
*
213
GRADUATED
PAYMENT
MORTGAGES
*
213
GROWING
EQUITY
MORTGAGES
*
214
A
COMPARISON
OF
THE
THREE
MORTGAGE
STRUCTURES
*
214
MORTGAGE
SERVICING
-----
218
INCOME
FOR
THE
SERVICER
-----
219
MORTGAGE
INSURANCE
-----
221
SALE
OF
MORTGAGE
LOANS
-----
221
THE
AVERAGE
LIFE
OF
A
MORTGAGE
LOAN
*
222
PREPAYMENTS
OF
PRINCIPAL
-----
223
SINGLE
MONTH
MORTALITY
(SMM)
*
223
ANALYSIS
OF
A
LOAN
WITH
PREPAYMENTS
*
224
RELATIONSHIP
BETWEEN
CASH
FLOWS
WITH
AND
WITHOUT
PREPAYMENTS
*
225
CONDITIONAL
PREPAYMENT
RATE
(CPR)
*
227
AN
EQUAL
PRINCIPAL
REPAYMENT
LOAN
*
228
WEIGHTED
AVERAGE
COUPON
(WAC)
AND
WEIGHTED
AVERAGE
MATURITY
(WAM)
*
228
CHAPTER
SUMMARY
-----
229
APPENDIX
8.1
-----
229
CHAPTER
9:
MORTGAGE-BACKED
SECURITIES
*
233
CASH
FLOWS
FOR
A
PASS-THROUGH
SECURITY
-----
234
CASH
FLOW
YIELD
OF
A
PASS-THROUGH
SECURITY
-----
237
SYMBOLS
REQUIRED
FOR
THE
EXPOSITION
*
237
COLLATERALIZED
MORTGAGE
OBLIGATIONS
-----
238
EXTENSION
RISK
AND
CONTRACTION
RISK
FOR
MORTGAGE-BACKED
SECURITIES
*
242
ACCRUAL
BONDS
*
243
CREATING
FLOATING
RATE
TRANCHES
*
247
NOTIONAL
INTEREST-ONLY
TRANCHES
*
248
INTEREST-ONLY
AND
PRINCIPAL-ONLY
STRIPS
*
249
PLANNED
AMORTIZATION
CLASS
(PAC)
BONDS
*
249
ANALYSIS
OF
THE
SMM
--15%
SCENARIO
-----
253
CHAPTER
SUMMARY
*
254
APPENDIX
9.1
-----
254
CHAPTER
10:
A
PRIMER
ON
DERIVATIVES
*
258
FUTURES
AND
FORWARDS:
COMPARISONS
AND
CONTRASTS
*
258
THE
ROLE
OF
THE
CLEARINGHOUSE
IN
A
FUTURES
TRADE
*
260
MARGINS
FOR
FUTURES
TRADES
*
261
CONTENTS
*
XXI
MARKING
TO
MARKET
OF
FUTURES
CONTRACTS
*
261
THE
SETTLEMENT
PRICE
FOR
FUTURES
CONTRACTS
*
264
MOVEMENTS
IN
THE
MARGIN
ACCOUNT
*
264
OFFSETTING
OF
FUTURES
CONTRACTS
*
265
SPOT-FUTURES
CONVERGENCE
OF
PRICES
*
266
DELIVERY
IN
THE
CASE
OF
FUTURES
CONTRACTS
*
267
CASH
SETTLEMENT
OF
FUTURES
CONTRACTS
*
269
VALUATION
OF
FUTURES
AND
FORWARDS
*
269
THE
CASE
OF
ASSETS
MAKING
PAYOUTS
*
272
CONVERSION
FACTORS
WHEN
THERE
ARE
MULTIPLE
DELIVERABLE
GRADES
*
273
MULTIPLICATIVE
ADJUSTMENT
OF
THE
FUTURES
PRICE
*
273
ADDITIVE
ADJUSTMENT
OF
THE
FUTURES
PRICE
*
274
HEDGING
USING
FUTURES
CONTRACTS
*
275
HEDGING
AND
EX-POST
REGRET
*
276
HEDGING
AND
THE
CASE
OF
CASH-SETTLED
CONTRACTS
*
277
PERFECT
HEDGES
USING
FUTURES
CONTRACTS
*
278
THE
IMPORTANCE
OF
TERMINATING
THE
HEDGE
ON
THE
EXPIRATION
DATE
*
279
THE
IMPORTANCE
OF
HEDGING
AN
INTEGER
MULTIPLE
OF
THE
CONTRACT
SIZE
*
280
CHOOSING
AN
EXPIRATION
MONTH
FOR
HEDGING
*
281
SPECULATION
USING
FUTURES
CONTRACTS
*
281
INTRODUCTION
TO
OPTIONS
*
283
COMMON
TERMS
ASSOCIATED
WITH
OPTIONS
*
284
EXERCISE
PRICE
*
284
EXPIRATION
DATE
*
285
OPTION
PREMIUM
*
285
NOTATION
*
286
EXERCISING
CALL
AND
PUT
OPTIONS
*
286
PAYOFFS
AND
PROFITS:
A
SYMBOLIC
REPRESENTATION
*
287
MONEYNESS
OF
THE
OPTION
*
288
CALL
OPTIONS
*
288
PUT
OPTIONS
-----
288
INTRINSIC
VALUE
AND
TIME
VALUE
OF
OPTIONS
*
289
THE
ABSENCE
OF
ARBITRAGE
AND
ITS
IMPLICATIONS
FOR
OPTION
PRICES
*
289
NON-NEGATIVE
OPTION
PREMIA
*
290
NON-NEGATIVE
TIME
VALUE
OF
AMERICAN
OPTIONS
*
290
LOWER
BOUND
FOR
CALL
OPTIONS
*
291
LOWER
BOUND
FOR
PUT
OPTIONS
*
291
PUT-CALL
PARITY
FOR
EUROPEAN
OPTIONS
*
292
OPTION
PREMIA
AT
EXPIRATION
*
292
PROOF
*
292
VARIABLES
OF
INTEREST
FOR
OPTION
VALUATION
*
293
THE
CURRENT
STOCK
PRICE
*
293
CONTENTS
*
XXIII
CHAPTER
12:
INTEREST
RATE
FORWARDS
AND
FUTURES
*
341
FORWARD
RATE
AGREEMENTS
(FRAS)
*
341
DETERMINING
THE
CONTRACT
RATE
*
343
USING
SHORT
RATES
TO
DETERMINE
THE
FRA
RATE
*
345
EURODOLLAR
FUTURES
*
348
CALCULATING
PROFITS
AND
LOSSES
ON
ED
FUTURES
*
348
LOCKING
IN
A
BORROWING
RATE
*
349
LOCKING
IN
A
LENDING
RATE
*
351
CASH-AND-CARRY
ARBITRAGE
*
352
REVERSE
CASH-AND-CARRY
ARBITRAGE
*
353
THE
NO-ARBITRAGE
PRICING
EQUATION
*
353
HEDGING
AN
N-
DAY
LOAN
USING
ED
FUTURES
*
354
A
MORE
GENERAL
ARGUMENT
*
356
USING
ED
FUTURES
TO
CREATE
A
FIXED
RATE
LOAN
*
357
STACK
AND
STRIP
HEDGES
*
358
FRAS
VS.
ED
FUTURES:
AN
IMPORTANT
POINT
*
360
FEDERAL
FUNDS
*
360
FED
FUNDS
FUTURES
*
363
T-NOTE
AND
T-BOND
FUTURES
*
363
T-BOND
CONTRACTS
*
364
CONVERSION
FACTORS
*
364
CALCULATING
THE
INVOICE
PRICE
FOR
A
T-BOND
*
366
THE
CHEAPEST-TO-DELIVER
(CTD)
BOND
*
367
THE
CHEAPEST-TO-DELIVER
BOND
PRIOR
TO
EXPIRATION
*
368
RISK
IN
AN
ARBITRAGE
STRATEGY
DUE
TO
MULTIPLE
DELIVERABLE
GRADES
*
370
SELLER
*
S
OPTIONS
*
373
THE
DELIVERY
PROCESS
*
373
THE
WILD
CARD
OPTION
*
374
THE
QUALITY
OPTION
*
377
THE
END-OF-MONTH
OPTION
*
377
HEDGING
*
378
HEDGING
THE
CHEAPEST-TO-DELIVER
BOND:
A
NAIVE
APPROACH
*
378
THE
CONVERSION
FACTOR
APPROACH
*
379
HEDGING
A
PORTFOLIO
OTHER
THAN
THE
CTD
BOND
*
380
CHANGING
THE
DURATION
OF
A
PORTFOLIO
OF
BONDS
*
381
CHAPTER
SUMMARY
*
382
APPENDIX
12.1:
DURATION-BASED
HEDGE
RATIO
*
382
APPENDIX
12.2:
REQUIRED
NUMBER
OF
CONTRACTS
TO
CHANGE
THE
DURATION
*
383
CHAPTER
13:
BONDS
WITH
EMBEDDED
OPTIONS
*
385
CALLABLE
BONDS
*
385
YIELD
TO
CALL
*
386
XXII
*
*
CONTENTS
THE
EXERCISE
PRICE
*
293
DIVIDENDS
*
293
VOLATILITY
*
293
TIME
TO
MATURITY
*
294
RISKLESS
RATE
OF
INTEREST
*
294
THE
BINOMIAL
MODEL
OF
OPTION
VALUATION
*
295
THE
ONE
PERIOD
BINOMIAL
MODEL
*
295
THE
TWO-PERIOD
CASE
-----
297
THE
BINOMIAL
MODEL
FOR
EUROPEAN
PUTS
-----
299
USING
THE
BINOMIAL
MODEL:
THE
CASE
OF
EUROPEAN
VS.
AMERICAN
PUTS
*
299
VALUING
A
EUROPEAN
PUT
USING
THE
BINOMIAL
MODEL
*
299
VALUING
AN
AMERICAN
PUT
USING
THE
BINOMIAL
MODEL
*
300
THE
BLACK-SCHOLES
FORMULA
FOR
VALUING
OPTIONS
*
301
PUT-CALL
PARITY
AND
OPTION
PRICING
MODELS
*
302
INTERPRETATION
OF
A/(T4)
AND
N(D
2
)
*
303
CHAPTER
SUMMARY
-----
303
CHAPTER
11:
THE
VALUATION
OF
INTEREST
RATE
OPTIONS
*
305
SHORT
RATES
-----
305
ISSUES
IN
THE
VALUATION
OF
INTEREST
RATE
DERIVATIVES
*
305
EQUILIBRIUM
MODELS
OF
THE
TERM
STRUCTURE
*
306
ARBITRAGE-FREE
TERM
STRUCTURE
MODELS
-----
306
THE
HO-LEE
MODEL
*
307
THE
HULL-WHITE
MODEL
-----
307
THE
BLACK-DERMAN-TOY
MODEL
*
307
THE
BINOMIAL
TREE
APPROACH
TO
THE
TERM
STRUCTURE
*
307
SOME
INSIGHTS
INTO
THE
HO-LEE
MODEL
*
309
CALIBRATING
THE
HO-LEE
MODEL
*
311
ARROW-DEBREU
SECURITIES
-----
312
CALIBRATING
THE
BLACK-DERMAN-TOY
MODEL
*
319
AN
ISSUE
WITH
RECOMBINATION
*
320
AN
ISSUE
WITH
CALIBRATION
*
324
VALUATION
OF
A
PLAIN
VANILLA
BOND
*
326
VALUATION
OF
A
ZERO
COUPON
BOND
-----
327
VALUING
A
EUROPEAN
CALL
*
330
VALUING
AN
AMERICAN
PUT
*
330
CAPS,
FLOORS,
AND
COLLARS
*
331
CAPS
AND
FLOORS:
A
DETAILED
PERSPECTIVE
*
333
INTEREST
RATE
COLLARS
*
336
CAPTIONS
AND
FLOORTIONS
*
339
CHAPTER
SUMMARY
*
340
XXIV
*
CONTENTS
RELATIONSHIP
BETWEEN
THE
YIELD
TO
CALL
AND
THE
YIELD
TO
MATURITY
*
387
THE
APPROXIMATE
YIELD
TO
CALL
APPROACH
*
388
REINVESTMENT
ASSUMPTION
-----
389
CONCEPT
OF
THE
YIELD
TO
WORST
*
389
VALUATION
OF
A
CALLABLE
BOND
*
390
PUTABLE
BONDS
-----
394
VALUATION
OF
A
PUTABLE
BOND
*
395
PRICING
THE
CALLABLE
AND
PUTABLE
BONDS
USING
THE
BDT
MODEL
*
397
THE
CALLABLE
BOND
AND
THE
BDT
MODEL
-----
398
VALUATION
OF
THE
PUTABLE
BOND
----
399
YIELD
SPREADS
FOR
CALLABLE
BONDS
*
401
THE
TRADITIONAL
YIELD
SPREAD
*
401
THE
STATIC
SPREAD
*
402
THE
OPTION-ADJUSTED
SPREAD
*
402
CONVERTIBLE
BONDS
-----
405
CHANGES
IN
THE
CONVERSION
RATIO
*
407
PROS
AND
CONS
OF
A
CONVERTIBLE
ISSUE:
THE
ISSUER
*
S
PERSPECTIVE
*
409
CONCEPT
OF
BREAK-EVEN
*
409
LIQUID
YIELD
OPTION
NOTES
(LYONS)
*
410
EXCHANGEABLE
BONDS
*
411
VALUING
A
CONVERTIBLE
BOND
WITH
BUILT-IN
CALL
AND
PUT
OPTIONS
*
411
CHAPTER
SUMMARY
*
414
CHAPTER
14:
INTEREST
RATE
SWAPS
AND
CREDIT
DEFAULT
SWAPS
*
416
INTEREST
RATE
SWAPS
-----
416
CONTRACT
TERMS
*
416
KEY
DATES
IN
A
SWAP
CONTRACT
*
420
THE
SWAP
RATE
*
420
RISK
*
421
QUOTED
SWAP
RATES
*
421
COMPARATIVE
ADVANTAGE
AND
CREDIT
ARBITRAGE
*
422
THE
ROLE
OF
BANKS
IN
THE
SWAP
MARKET
*
423
VALUING
AN
INTEREST
RATE
SWAP
*
423
VALUING
A
SWAP
AT
AN
INTERMEDIATE
STAGE
*
425
TERMINATING
A
SWAP
*
426
MOTIVES
FOR
THE
SWAP
*
427
SPECULATION
-----
427
HEDGING
A
LIABILITY
*
427
HEDGING
AN
ASSET
-----
428
EQUIVALENCE
WITH
FRAS
*
431
DETERMINING
THE
FIXED
RATE
*
431
FORWARD-START
SWAPS
*
434
CONTENTS
*
XXV
AMORTIZING
SWAPS
*
435
IN-ARREARS
SWAPS
*
436
EXTENDABLE
AND
CANCELABLE
SWAPS
*
436
SWAPTIONS
-----
437
CREDIT
DEFAULT
SWAPS
*
438
VALUATION
OF
A
CDS
*
440
USING
DEFAULT
PROBABILITIES
TO
DETERMINE
THE
SWAP
RATE
*
441
CHAPTER
SUMMARY
*
443
APPENDIX
A
*
444
GOAL
SEEK
*
444
SOLVER
*
445
BIBLIOGRAPHY
*
446
INDEX
*
448
|
| adam_txt |
CONTENTS
ADVANCE
PRAISE
FOR
FIXED
INCOME
SECURITIES
*
V
FOREWORD
*
VII
PREFACE
*
LX
ACKNOWLEDGMENTS
*
XL
CHAPTER
1:
A
PRIMER
ON
THE
TIME
VALUE
OF
MONEY
*
1
NOMINAL
AND
EFFECTIVE
RATES
OF
INTEREST
*
1
VARIABLES
AND
TERMS
TO
BE
USED
AND
THE
CORRESPONDING
SYMBOLS
*
1
THE
CONCEPT
OF
SIMPLE
INTEREST
*
2
THE
CONCEPT
OF
COMPOUND
INTEREST
*
2
PROPERTIES
OF
SIMPLE
AND
COMPOUND
INTEREST
*
4
EFFECTIVE
VERSUS
NOMINAL
RATES
OF
INTEREST
*
5
A
SYMBOLIC
DERIVATION
OF
THE
RELATIONSHIP
BETWEEN
EFFECTIVE
AND
NOMINAL
RATES
OF
INTEREST
*
5
COMPUTING
EFFECTIVE
AND
NOMINAL
RATES
IN
EXCEL
*
6
PRINCIPLE
OF
EQUIVALENCY
OF
INTEREST
RATES
*
7
CONTINUOUS
COMPOUNDING
OF
INTEREST
*
7
USING
EXCEL
TO
COMPUTE
THE
EFFECTIVE
RATE
WITH
CONTINUOUS
COMPOUNDING
*
8
FUTURE
VALUE
OF
CASH
FLOWS
*
9
COMPUTING
THE
FUTURE
VALUE
USING
EXCEL
*
9
PRESENT
VALUE
OF
CASH
FLOWS
*
11
COMPUTING
PRESENT
VALUES
OF
CASH
FLOWS
USING
EXCEL
*
*
11
THE
INTERNAL
RATE
OF
RETURN
OF
AN
INVESTMENT
*
12
PURE
AND
MIXED
CASH
FLOWS
*
13
DESCARTES
*
RULE
OF
SIGNS
AND
THE
IRR
*
13
A
POINT
ABOUT
EFFECTIVE
RATES
OF
INTEREST
*
13
LEVEL
ANNUITIES
*
14
PRESENT
VALUE
OF
A
LEVEL
ANNUITY
*
15
FUTURE
VALUE
OF
A
LEVEL
ANNUITY
*
16
RELATIONSHIP
BETWEEN
PVIFA
AND
FVIFA
FOR
A
LEVEL
ANNUITY
*
*
16
LEVEL
ANNUITIES
DUE
*
17
PRESENT
VALUE
OF
A
LEVEL
ANNUITY
DUE
*
17
COMPUTATION
IN
EXCEL
OF
THE
PRESENT
VALUE
OF
AN
ANNUITY
DUE
*
18
FUTURE
VALUE
OF
AN
ANNUITY
DUE
*
18
COMPUTATION
OF
THE
FUTURE
VALUE
OF
AN
ANNUITY
DUE
IN
EXCEL
*
19
RELATIONSHIP
BETWEEN
PVIFA
AND
FVIFA
FOR
ANNUITY
DUES
*
19
XIV
*
CONTENTS
PERPETUITIES
*
19
THE
AMORTIZATION
METHOD
OF
LOAN
REPAYMENT
*
20
OBTAINING
THE
AMORTIZATION
SCHEDULE
USING
EXCEL
*
22
THE
RATIONALE
FOR
WHY
IPMT
AND
PPMT
CAN
BE
USED
WITH
TWO
DIFFERENT
SETS
OF
PARAMETERS
*
23
AMORTIZATION
WITH
A
BALLOON
PAYMENT
*
23
HANDLING
THE
BALLOON
USING
EXCEL
*
23
A
GROWING
ANNUITY
-----
24
PRESENT
VALUE
OF
A
GROWING
ANNUITY
*
24
FUTURE
VALUE
OF
A
GROWING
ANNUITY
*
25
GROWING
PERPETUITY
*
26
GROWING
ANNUITY
DUE
*
26
PRESENT
VALUE
OF
A
GROWING
ANNUITY
DUE
*
26
FUTURE
VALUE
OF
A
GROWING
ANNUITY
DUE
*
28
GROWING
PERPETUITY
DUE
*
28
CHAPTER
SUMMARY
*
29
CHAPTER
2:
AN
INTRODUCTION
TO
BONDS
*
30
THE
LEVERAGE
EFFECT
*
31
TAX
SHIELD
DUE
TO
INTEREST
PAYMENTS
*
31
VARIABLES
INFLUENCING
THE
BOND
PRICE
*
33
FACE
VALUE
*
33
TERM
TO
MATURITY
*
33
COUPON
*
34
YIELD
TO
MATURITY
*
34
VALUATION
OF
A
BOND
*
34
PAR,
PREMIUM,
AND
DISCOUNT
BONDS
*
35
INFLUENCE
OF
VARIABLES
ON
THE
BOND
PRICE
*
36
THE
PULL
TO
PAR
EFFECT
*
37
AN
INTERESTING
RESULT
ABOUT
BOND
PRICES
*
38
EUROBONDS
AND
FOREIGN
BONDS
*
40
COUPON
DATES
AND
COUPON
FREQUENCIES-
*
41
ZERO
COUPON
BONDS
*
42
CREATING
A
SYNTHETIC
ZERO
COUPON
BOND
*
42
PRICE
QUOTES
FOR
BONDS
*
44
COMPUTATION
OF
THE
BOND
PRICE
USING
EXCEL
*
44
DIFFERENT
BOND
TYPES
*
45
AMORTIZING
BONDS
*
45
BONDS
WITH
STEP-UP
COUPONS
AND
STEP-DOWN
COUPONS
*
47
PAYMENT-IN-KIND
(PIK)
BONDS
*
47
TREASURY
SECURITIES
*
48
TREASURY
AUCTIONS
*
48
CONTENTS
XV
ILLUSTRATION
OF
A
TREASURY
AUCTION
*
49
SECURITY
IDENTIFICATION
*
50
COUPON
STRIPS
-----
51
WHEN
ISSUED
(WL)
TRADING
*
53
COUPON
ROLLS
*
53
ACCOUNTING
FOR
BONDS
*
54
ISSUE
OF
DISCOUNT
BONDS
*
54
ISSUE
OF
PREMIUM
BONDS
*
56
RISKS
INHERENT
IN
BONDS
*
57
CREDIT
RISK
*
57
MOODY
*
S
RATINGS
SCALE
*
58
S&P
*
S
RATING
SCALE
*
58
FITCH
*
S
RATING
SCALE
*
59
LIQUIDITY
RISK
*
61
INTEREST
RATE
RISK
*
62
INFLATION
RISK
*
62
TIMING
RISK
-----
63
FOREIGN
EXCHANGE
RISK-
*
63
CHAPTER
SUMMARY
*
63
CHAPTER
3:
BONDS:
ADVANCED
CONCEPTS
*
65
REQUIRED
SYMBOLS
FOR
THE
VARIABLES
*
65
DAY-COUNT
CONVENTIONS
*
66
THE
ACTUAL/ACTUAL
APPROACH
*
66
THE
MARKET
METHOD
FOR
BOND
VALUATION
*
67
THE
TREASURY
METHOD
FOR
BOND
VALUATION
*
67
ACCRUED
INTEREST
*
68
THE
IMPACT
OF
TIME
ON
THE
DIRTY
PRICE
*
70
COMPUTATION
OF
PRICE
AND
ACCRUED
INTEREST
USING
EXCEL
*
*
71
COMPUTATION
OF
THE
YTM
BETWEEN
COUPON
DATES
*
73
OTHER
DAY-COUNT
CONVENTIONS
*
73
THE
30/360
NASD
APPROACH
*
73
30/360
EUROPEAN
CONVENTION
*
75
ACTUAL/365
CONVENTION
*
75
ACTUAL/360
CONVENTION
*
*
76
COMPARISON
OF
DAY-COUNT
CONVENTIONS
-
*
76
ADDITIONAL
COUPON-RELATED
EXCEL
FUNCTIONS
*
77
VALUING
A
BOND
IN
THE
FINAL
COUPON
PERIOD
*
78
YIELD
MEASURES:
AN
INTRODUCTION
*
79
CURRENT
YIELD
OF
A
BOND
*
79
SIMPLE
YIELD
TO
MATURITY
*
80
YIELD
TO
MATURITY
OF
A
BOND
*
81
XVI
CONTENTS
THE
APPROXIMATE
YIELD
TO
MATURITY
APPROACH
*
81
THE
RATIONALE
FOR
THE
AYM
APPROACH
*
81
THE
REALIZED
COMPOUND
YIELD
*
87
THE
HORIZON
OR
HOLDING
PERIOD
RETURN
*
88
THE
REALIZED
COMPOUND
YIELD
WITH
TAXES
*
89
COMPUTING
THE
YTM
WITH
TAXES
*
90
THE
PORTFOLIO
YIELD
FOR
BONDS
*
90
THE
TAXABLE
EQUIVALENT
YIELD
(TEY)
*
92
SINKING
FUND
PROVISIONS
*
92
SERIAL
BONDS
*
93
YIELD
TO
AVERAGE
LIFE
*
94
YIELD
TO
EQUIVALENT
LIFE
*
95
CHAPTER
SUMMARY
*
96
CHAPTER
4:
YIELD
CURVES
AND
THE
TERM
STRUCTURE
*
97
ANALYZING
THE
YIELD
CURVE
*
97
SPOT
RATES
OF
INTEREST
*
98
THE
RELATIONSHIP
BETWEEN
SPOT
RATES
AND
THE
YTM
*
98
YIELD
CURVE
VERSUS
THE
TERM
STRUCTURE
*
99
REQUIRED
SYMBOLS
*
100
BOOTSTRAPPING
TO
OBTAIN
SPOT
RATES
*
100
PRACTICAL
DIFFICULTIES
WITH
BOOTSTRAPPING
*
101
COUPON
YIELD
CURVES
AND
PAR
BOND
YIELD
CURVES
*
102
DEDUCING
A
PAR
BOND
YIELD
CURVE
*
103
IMPLIED
FORWARD
RATES
OF
INTEREST
*
104
FITTING
THE
YIELD
CURVE
*
105
INTERPOLATION
*
105
POLYNOMIAL
MODELS
OF
THE
YIELD
CURVE
*
106
REGRESSION
MODELS
OF
THE
YIELD
CURVE
*
106
THE
NELSON-SIEGEL
MODEL
OF
THE
YIELD
CURVE
*
106
INTERPRETATION
OF
THE
NELSON-SIEGEL
MODEL
*
107
THEORIES
OF
THE
TERM
STRUCTURE
*
109
THE
PURE
OR
UNBIASED
EXPECTATIONS
HYPOTHESIS
*
109
THE
LIQUIDITY
PREFERENCE
THEORY
(LPT)
*
110
THE
EXPECTATIONS HYPOTHESIS
VERSUS
THE
LPT:
A
MATHEMATICAL
ANALYSIS
*
111
THE
MONEY
SUBSTITUTE
HYPOTHESIS
*
114
THE
MARKET
SEGMENTATION
HYPOTHESIS
*
114
THE
PREFERRED
HABITAT
THEORY
*
115
FEATURES
OF
THE
DEBT
MARKET
AND
THEORIES
OF
THE
TERM
STRUCTURE
*
115
CHAPTER
SUMMARY
*
117
CONTENTS
XVII
CHAPTER
5:
DURATION,
CONVEXITY,
AND
IMMUNIZATION
*
118
A
MATHEMATICAL
DEFINITION
OF
DURATION
*
119
DURATION
OF
A
BOND
WHEN
THE
SETTLEMENT
DATE
IS
BETWEEN
TWO
COUPON
DATES
*
120
A
CONCISE
FORMULA
FOR
THE
DURATION
ON
A
COUPON
DATE
*
120
THE
CASE
OF
A
PAR
BOND
*
121
DURATION
OF
A
LEVEL
ANNUITY
*
121
DURATION
OF
A
PERPETUITY
*
122
THE
RATIONALE
BEHIND
DURATION
*
122
FACTORS
INFLUENCING
DURATION
*
123
TERM
TO
MATURITY
*
123
COUPON
*
125
YIELD
TO
MATURITY
*
126
ACCRUED
INTEREST
*
126
COUPON
FREQUENCY
*
127
PERCENTAGE
PRICE
CHANGE
AND
DURATION
*
127
DURATION
OF
ANNUITIES
DUE
AND
PERPETUITIES
DUE
*
128
DOLLAR
DURATION
*
129
COMPUTING
DURATION
AND
MODIFIED
DURATION
WITH
EXCEL
*
129
MODIFIED
DURATION
*
129
APPROXIMATING
DURATION
*
130
THE
CONCEPT
OF
EFFECTIVE
DURATION
*
130
DURATION
AS
A
CENTER
OF
GRAVITY
*
131
PORTFOLIO
DURATION
*
131
BOND
CONVEXITY
*
133
APPROXIMATING
THE
PRICE
CHANGE
OF
A
BOND
FORA
GIVEN
CHANGE
IN
YIELD
*
135
DISPERSION
OF
A
BOND
*
136
CONVEXITY
OF
A
ZERO
COUPON
BOND
*
137
DISPERSION
AS
AN
EXPECTED
VALUE
*
138
PORTFOLIO
CONVEXITY
AND
DISPERSION
*
138
PROPERTIES
OF
CONVEXITY
*
139
THE
IMPACT
OF
DURATION
*
139
THE
IRRELEVANCE
OF
THE
FACE
VALUE
*
139
DOLLAR
CONVEXITY
*
139
APPROXIMATE
CONVEXITY
*
140
CONVEXITY
OF
ANNUITIES
AND
PERPETUITIES
*
140
PERPETUITIES
*
142
IMMUNIZATION
OF
A
BOND
PORTFOLIO
*
142
CHAPTER
SUMMARY
*
144
APPENDIX
5.1:
DERIVATION
OF
A
CONCISE
FORMULA
FOR
DURATION
*
144
APPENDIX
5.2:
DURATION
OF
ANNUITIES
AND
PERPETUITIES
*
146
APPENDIX
5.3:
DURATION
AND
INTEREST
RATE
SENSITIVITY
*
148
XVIII
*
CONTENTS
APPENDIX
5.4:
CONVEXITY
OF
ANNUITIES
AND
PERPETUITIES
*
149
APPENDIX
5.5:
PROOF
OF
SINGLE-PERIOD
IMMUNIZATION
*
149
CHAPTER
6:
THE
MONEY
MARKET
-----
152
RISK
FACTORS
IN
THE
MONEY
MARKET
*
153
SUPERVISION
OF
THE
MONEY
MARKET
*
154
KEY
DATES
IN
MONEY
MARKET
TRANSACTIONS
*
155
ROLL
CONVENTIONS
IN
THE
EVENT
OF
MARKET
HOLIDAYS
-----
155
THE
END/END
RULE
*
156
THE
INTERBANK
MARKET
*
156
TYPES
OF
LOANS
IN
THE
INTER-BANK
MARKET
-----
157
LIBOR
-----
157
INTEREST
COMPUTATION
METHODS
-----
158
MONEY
MARKET
FORWARD
RATES
*
159
TERM
MONEY
MARKET
DEPOSITS
-----
160
FEDERAL
FUNDS
*
161
TREASURY
BILLS
*
161
RE-OPENINGS
OF
T-BILLS
*
162
DISCOUNT
RATES
AND
T-BILL
PRICES
*
163
THE
MONEY
MARKET
YIELD
OF
A
T-BILL
-----
163
THE
BOND
EQUIVALENT
YIELD
OF
A
T-BILL
*
164
HOLDING
PERIOD
RETURN
FOR
AN
INVESTOR
-----
166
CONCEPT
OF
A
TAIL
IN
A
T-BILL
TRANSACTION
*
166
T-BILL
RELATED
COMPUTATIONS
USING
EXCEL
*
167
REPURCHASE
AGREEMENTS
*
169
REPO
RATES
-----
170
MARGINS
IN
REPO
TRANSACTIONS
*
170
THE
FEDERAL
RESERVE
AND
REPOS
*
172
NEGOTIABLE
CERTIFICATES
OF
DEPOSIT
(CDS)
*
173
REQUIRED
SYMBOLS
*
173
TERM
CERTIFICATES
OF
DEPOSIT
*
174
NCDS
VS.
MONEY
MARKET
TIME
DEPOSITS
-----
176
THE
EFFECTIVE
COST
OF
A
CD-----
177
COMMERCIAL
PAPER
*
177
LETTERS
OF
CREDIT
(LCS)-----
178
YANKEE
PAPER
*
178
CREDIT
RATING
*
179
MOODY
*
S
RATING
SCALE
*
179
S&P
*
S
RATING
SCALE
-
*
179
FITCH
*
S
RATING
SCALE
*
180
BILLS
OF
EXCHANGE
*
180
CHAPTER
SUMMARY
*
182
CONTENTS
*
XIX
CHAPTER
7:
FLOATING
RATE
BONDS
*
183
CALL
AND
PUT
PROVISIONS
IN
FLOATING
RATE
BONDS
*
183
CAPS
AND
FLOORS
FOR
THE
COUPON
RATE
*
184
VALUATION
OF
A
FLOATING
RATE
BOND
*
184
VARIATIONS
ON
THE
FLOATING
RATE
FEATURE
*
185
INVERSE
FLOATING
RATE
BONDS
*
185
DELEVERAGED
FLOATING
RATE
BONDS
*
186
DUAL-INDEXED
FLOATING
RATE
BONDS
*
187
RANGE
NOTES
*
187
VARIATIONS
ON
THE
PRINCIPAL
REPAYMENT
FEATURE
*
187
FLOATERS,
INVERSE
FLOATERS,
AND
PLAIN
VANILLA
BONDS
*
187
A
MORE
GENERAL
RELATIONSHIP
FOR
AN
INVERSE
FLOATER
*
188
DURATION
OF
A
FLOATING
RATE
BOND
*
188
CONVEXITY
OF
A
RISK-FREE
FLOATING
RATE
BOND
*
189
COMPARISON
WITH
A
ZERO
COUPON
BOND
*
189
MARGIN
MEASURES
FOR
FLOATERS
*
189
SIMPLE
MARGIN
*
190
ADJUSTED
SIMPLE
MARGIN
*
190
ADJUSTED
TOTAL
MARGIN
*
191
THE
DISCOUNT
MARGIN
*
192
INFLATION
INDEXED
BONDS
*
193
PRINCIPAL
LINKERS
OR
P-LINKERS
*
193
ANALYSIS
*
194
COUPON
LINKERS
OR
C-LINKERS
*
195
VALUING
A
RISKY
FLOATER
*
195
DURATION
OF
A
RISKY
FLOATER
-----
199
CHAPTER
SUMMARY
*
200
APPENDIX
7.1:
DURATION
OF
A
RISKY
FLOATER
*
201
APPENDIX
7.2:
DURATION
OF
A
RISKY
PERPETUAL
FLOATER
*
202
CHAPTER
8:
MORTGAGE
LOANS
*
203
IMPORTANT
MORTGAGE-RELATED
TERMS
*
203
RISKS
IN
MORTGAGE
LENDING
*
203
DEFAULT
RISK
*
204
LIQUIDITY
RISK
*
204
INTEREST
RATE
RISK
*
204
PREPAYMENT
RISK
*
204
THE
ROLE
OF
THE
MORTGAGE
RATE
IN
PREPAYMENTS
*
206
NEGATIVE
AMORTIZATION
*
207
OTHER
MORTGAGE
STRUCTURES
*
208
ADJUSTABLE
RATE
MORTGAGES
(ARMS)
*
208
OPTION
TO
CHANGE
THE
MATURITY
*
210
XX
*
CONTENTS
FEATURES
OF
ARMS
-----
210
VARIATIONS
ON
THE
ARM
STRUCTURE
*
210
INTEREST
RATE
CAPS
-----
212
EXAMPLE
OF
INTEREST
RATE
CAPS
*
212
PAYMENT
CAPS
*
213
GRADUATED
PAYMENT
MORTGAGES
*
213
GROWING
EQUITY
MORTGAGES
*
214
A
COMPARISON
OF
THE
THREE
MORTGAGE
STRUCTURES
*
214
MORTGAGE
SERVICING
-----
218
INCOME
FOR
THE
SERVICER
-----
219
MORTGAGE
INSURANCE
-----
221
SALE
OF
MORTGAGE
LOANS
-----
221
THE
AVERAGE
LIFE
OF
A
MORTGAGE
LOAN
*
222
PREPAYMENTS
OF
PRINCIPAL
-----
223
SINGLE
MONTH
MORTALITY
(SMM)
*
223
ANALYSIS
OF
A
LOAN
WITH
PREPAYMENTS
*
224
RELATIONSHIP
BETWEEN
CASH
FLOWS
WITH
AND
WITHOUT
PREPAYMENTS
*
225
CONDITIONAL
PREPAYMENT
RATE
(CPR)
*
227
AN
EQUAL
PRINCIPAL
REPAYMENT
LOAN
*
228
WEIGHTED
AVERAGE
COUPON
(WAC)
AND
WEIGHTED
AVERAGE
MATURITY
(WAM)
*
228
CHAPTER
SUMMARY
-----
229
APPENDIX
8.1
-----
229
CHAPTER
9:
MORTGAGE-BACKED
SECURITIES
*
233
CASH
FLOWS
FOR
A
PASS-THROUGH
SECURITY
-----
234
CASH
FLOW
YIELD
OF
A
PASS-THROUGH
SECURITY
-----
237
SYMBOLS
REQUIRED
FOR
THE
EXPOSITION
*
237
COLLATERALIZED
MORTGAGE
OBLIGATIONS
-----
238
EXTENSION
RISK
AND
CONTRACTION
RISK
FOR
MORTGAGE-BACKED
SECURITIES
*
242
ACCRUAL
BONDS
*
243
CREATING
FLOATING
RATE
TRANCHES
*
247
NOTIONAL
INTEREST-ONLY
TRANCHES
*
248
INTEREST-ONLY
AND
PRINCIPAL-ONLY
STRIPS
*
249
PLANNED
AMORTIZATION
CLASS
(PAC)
BONDS
*
249
ANALYSIS
OF
THE
SMM
--15%
SCENARIO
-----
253
CHAPTER
SUMMARY
*
254
APPENDIX
9.1
-----
254
CHAPTER
10:
A
PRIMER
ON
DERIVATIVES
*
258
FUTURES
AND
FORWARDS:
COMPARISONS
AND
CONTRASTS
*
258
THE
ROLE
OF
THE
CLEARINGHOUSE
IN
A
FUTURES
TRADE
*
260
MARGINS
FOR
FUTURES
TRADES
*
261
CONTENTS
*
XXI
MARKING
TO
MARKET
OF
FUTURES
CONTRACTS
*
261
THE
SETTLEMENT
PRICE
FOR
FUTURES
CONTRACTS
*
264
MOVEMENTS
IN
THE
MARGIN
ACCOUNT
*
264
OFFSETTING
OF
FUTURES
CONTRACTS
*
265
SPOT-FUTURES
CONVERGENCE
OF
PRICES
*
266
DELIVERY
IN
THE
CASE
OF
FUTURES
CONTRACTS
*
267
CASH
SETTLEMENT
OF
FUTURES
CONTRACTS
*
269
VALUATION
OF
FUTURES
AND
FORWARDS
*
269
THE
CASE
OF
ASSETS
MAKING
PAYOUTS
*
272
CONVERSION
FACTORS
WHEN
THERE
ARE
MULTIPLE
DELIVERABLE
GRADES
*
273
MULTIPLICATIVE
ADJUSTMENT
OF
THE
FUTURES
PRICE
*
273
ADDITIVE
ADJUSTMENT
OF
THE
FUTURES
PRICE
*
274
HEDGING
USING
FUTURES
CONTRACTS
*
275
HEDGING
AND
EX-POST
REGRET
*
276
HEDGING
AND
THE
CASE
OF
CASH-SETTLED
CONTRACTS
*
277
PERFECT
HEDGES
USING
FUTURES
CONTRACTS
*
278
THE
IMPORTANCE
OF
TERMINATING
THE
HEDGE
ON
THE
EXPIRATION
DATE
*
279
THE
IMPORTANCE
OF
HEDGING
AN
INTEGER
MULTIPLE
OF
THE
CONTRACT
SIZE
*
280
CHOOSING
AN
EXPIRATION
MONTH
FOR
HEDGING
*
281
SPECULATION
USING
FUTURES
CONTRACTS
*
281
INTRODUCTION
TO
OPTIONS
*
283
COMMON
TERMS
ASSOCIATED
WITH
OPTIONS
*
284
EXERCISE
PRICE
*
284
EXPIRATION
DATE
*
285
OPTION
PREMIUM
*
285
NOTATION
*
286
EXERCISING
CALL
AND
PUT
OPTIONS
*
286
PAYOFFS
AND
PROFITS:
A
SYMBOLIC
REPRESENTATION
*
287
MONEYNESS
OF
THE
OPTION
*
288
CALL
OPTIONS
*
288
PUT
OPTIONS
-----
288
INTRINSIC
VALUE
AND
TIME
VALUE
OF
OPTIONS
*
289
THE
ABSENCE
OF
ARBITRAGE
AND
ITS
IMPLICATIONS
FOR
OPTION
PRICES
*
289
NON-NEGATIVE
OPTION
PREMIA
*
290
NON-NEGATIVE
TIME
VALUE
OF
AMERICAN
OPTIONS
*
290
LOWER
BOUND
FOR
CALL
OPTIONS
*
291
LOWER
BOUND
FOR
PUT
OPTIONS
*
291
PUT-CALL
PARITY
FOR
EUROPEAN
OPTIONS
*
292
OPTION
PREMIA
AT
EXPIRATION
*
292
PROOF
*
292
VARIABLES
OF
INTEREST
FOR
OPTION
VALUATION
*
293
THE
CURRENT
STOCK
PRICE
*
293
CONTENTS
*
XXIII
CHAPTER
12:
INTEREST
RATE
FORWARDS
AND
FUTURES
*
341
FORWARD
RATE
AGREEMENTS
(FRAS)
*
341
DETERMINING
THE
CONTRACT
RATE
*
343
USING
SHORT
RATES
TO
DETERMINE
THE
FRA
RATE
*
345
EURODOLLAR
FUTURES
*
348
CALCULATING
PROFITS
AND
LOSSES
ON
ED
FUTURES
*
348
LOCKING
IN
A
BORROWING
RATE
*
349
LOCKING
IN
A
LENDING
RATE
*
351
CASH-AND-CARRY
ARBITRAGE
*
352
REVERSE
CASH-AND-CARRY
ARBITRAGE
*
353
THE
NO-ARBITRAGE
PRICING
EQUATION
*
353
HEDGING
AN
N-
DAY
LOAN
USING
ED
FUTURES
*
354
A
MORE
GENERAL
ARGUMENT
*
356
USING
ED
FUTURES
TO
CREATE
A
FIXED
RATE
LOAN
*
357
STACK
AND
STRIP
HEDGES
*
358
FRAS
VS.
ED
FUTURES:
AN
IMPORTANT
POINT
*
360
FEDERAL
FUNDS
*
360
FED
FUNDS
FUTURES
*
363
T-NOTE
AND
T-BOND
FUTURES
*
363
T-BOND
CONTRACTS
*
364
CONVERSION
FACTORS
*
364
CALCULATING
THE
INVOICE
PRICE
FOR
A
T-BOND
*
366
THE
CHEAPEST-TO-DELIVER
(CTD)
BOND
*
367
THE
CHEAPEST-TO-DELIVER
BOND
PRIOR
TO
EXPIRATION
*
368
RISK
IN
AN
ARBITRAGE
STRATEGY
DUE
TO
MULTIPLE
DELIVERABLE
GRADES
*
370
SELLER
*
S
OPTIONS
*
373
THE
DELIVERY
PROCESS
*
373
THE
WILD
CARD
OPTION
*
374
THE
QUALITY
OPTION
*
377
THE
END-OF-MONTH
OPTION
*
377
HEDGING
*
378
HEDGING
THE
CHEAPEST-TO-DELIVER
BOND:
A
NAIVE
APPROACH
*
378
THE
CONVERSION
FACTOR
APPROACH
*
379
HEDGING
A
PORTFOLIO
OTHER
THAN
THE
CTD
BOND
*
380
CHANGING
THE
DURATION
OF
A
PORTFOLIO
OF
BONDS
*
381
CHAPTER
SUMMARY
*
382
APPENDIX
12.1:
DURATION-BASED
HEDGE
RATIO
*
382
APPENDIX
12.2:
REQUIRED
NUMBER
OF
CONTRACTS
TO
CHANGE
THE
DURATION
*
383
CHAPTER
13:
BONDS
WITH
EMBEDDED
OPTIONS
*
385
CALLABLE
BONDS
*
385
YIELD
TO
CALL
*
386
XXII
*
*
CONTENTS
THE
EXERCISE
PRICE
*
293
DIVIDENDS
*
293
VOLATILITY
*
293
TIME
TO
MATURITY
*
294
RISKLESS
RATE
OF
INTEREST
*
294
THE
BINOMIAL
MODEL
OF
OPTION
VALUATION
*
295
THE
ONE
PERIOD
BINOMIAL
MODEL
*
295
THE
TWO-PERIOD
CASE
-----
297
THE
BINOMIAL
MODEL
FOR
EUROPEAN
PUTS
-----
299
USING
THE
BINOMIAL
MODEL:
THE
CASE
OF
EUROPEAN
VS.
AMERICAN
PUTS
*
299
VALUING
A
EUROPEAN
PUT
USING
THE
BINOMIAL
MODEL
*
299
VALUING
AN
AMERICAN
PUT
USING
THE
BINOMIAL
MODEL
*
300
THE
BLACK-SCHOLES
FORMULA
FOR
VALUING
OPTIONS
*
301
PUT-CALL
PARITY
AND
OPTION
PRICING
MODELS
*
302
INTERPRETATION
OF
A/(T4)
AND
N(D
2
)
*
303
CHAPTER
SUMMARY
-----
303
CHAPTER
11:
THE
VALUATION
OF
INTEREST
RATE
OPTIONS
*
305
SHORT
RATES
-----
305
ISSUES
IN
THE
VALUATION
OF
INTEREST
RATE
DERIVATIVES
*
305
EQUILIBRIUM
MODELS
OF
THE
TERM
STRUCTURE
*
306
ARBITRAGE-FREE
TERM
STRUCTURE
MODELS
-----
306
THE
HO-LEE
MODEL
*
307
THE
HULL-WHITE
MODEL
-----
307
THE
BLACK-DERMAN-TOY
MODEL
*
307
THE
BINOMIAL
TREE
APPROACH
TO
THE
TERM
STRUCTURE
*
307
SOME
INSIGHTS
INTO
THE
HO-LEE
MODEL
*
309
CALIBRATING
THE
HO-LEE
MODEL
*
311
ARROW-DEBREU
SECURITIES
-----
312
CALIBRATING
THE
BLACK-DERMAN-TOY
MODEL
*
319
AN
ISSUE
WITH
RECOMBINATION
*
320
AN
ISSUE
WITH
CALIBRATION
*
324
VALUATION
OF
A
PLAIN
VANILLA
BOND
*
326
VALUATION
OF
A
ZERO
COUPON
BOND
-----
327
VALUING
A
EUROPEAN
CALL
*
330
VALUING
AN
AMERICAN
PUT
*
330
CAPS,
FLOORS,
AND
COLLARS
*
331
CAPS
AND
FLOORS:
A
DETAILED
PERSPECTIVE
*
333
INTEREST
RATE
COLLARS
*
336
CAPTIONS
AND
FLOORTIONS
*
339
CHAPTER
SUMMARY
*
340
XXIV
*
CONTENTS
RELATIONSHIP
BETWEEN
THE
YIELD
TO
CALL
AND
THE
YIELD
TO
MATURITY
*
387
THE
APPROXIMATE
YIELD
TO
CALL
APPROACH
*
388
REINVESTMENT
ASSUMPTION
-----
389
CONCEPT
OF
THE
YIELD
TO
WORST
*
389
VALUATION
OF
A
CALLABLE
BOND
*
390
PUTABLE
BONDS
-----
394
VALUATION
OF
A
PUTABLE
BOND
*
395
PRICING
THE
CALLABLE
AND
PUTABLE
BONDS
USING
THE
BDT
MODEL
*
397
THE
CALLABLE
BOND
AND
THE
BDT
MODEL
-----
398
VALUATION
OF
THE
PUTABLE
BOND
----
399
YIELD
SPREADS
FOR
CALLABLE
BONDS
*
401
THE
TRADITIONAL
YIELD
SPREAD
*
401
THE
STATIC
SPREAD
*
402
THE
OPTION-ADJUSTED
SPREAD
*
402
CONVERTIBLE
BONDS
-----
405
CHANGES
IN
THE
CONVERSION
RATIO
*
407
PROS
AND
CONS
OF
A
CONVERTIBLE
ISSUE:
THE
ISSUER
*
S
PERSPECTIVE
*
409
CONCEPT
OF
BREAK-EVEN
*
409
LIQUID
YIELD
OPTION
NOTES
(LYONS)
*
410
EXCHANGEABLE
BONDS
*
411
VALUING
A
CONVERTIBLE
BOND
WITH
BUILT-IN
CALL
AND
PUT
OPTIONS
*
411
CHAPTER
SUMMARY
*
414
CHAPTER
14:
INTEREST
RATE
SWAPS
AND
CREDIT
DEFAULT
SWAPS
*
416
INTEREST
RATE
SWAPS
-----
416
CONTRACT
TERMS
*
416
KEY
DATES
IN
A
SWAP
CONTRACT
*
420
THE
SWAP
RATE
*
420
RISK
*
421
QUOTED
SWAP
RATES
*
421
COMPARATIVE
ADVANTAGE
AND
CREDIT
ARBITRAGE
*
422
THE
ROLE
OF
BANKS
IN
THE
SWAP
MARKET
*
423
VALUING
AN
INTEREST
RATE
SWAP
*
423
VALUING
A
SWAP
AT
AN
INTERMEDIATE
STAGE
*
425
TERMINATING
A
SWAP
*
426
MOTIVES
FOR
THE
SWAP
*
427
SPECULATION
-----
427
HEDGING
A
LIABILITY
*
427
HEDGING
AN
ASSET
-----
428
EQUIVALENCE
WITH
FRAS
*
431
DETERMINING
THE
FIXED
RATE
*
431
FORWARD-START
SWAPS
*
434
CONTENTS
*
XXV
AMORTIZING
SWAPS
*
435
IN-ARREARS
SWAPS
*
436
EXTENDABLE
AND
CANCELABLE
SWAPS
*
436
SWAPTIONS
-----
437
CREDIT
DEFAULT
SWAPS
*
438
VALUATION
OF
A
CDS
*
440
USING
DEFAULT
PROBABILITIES
TO
DETERMINE
THE
SWAP
RATE
*
441
CHAPTER
SUMMARY
*
443
APPENDIX
A
*
444
GOAL
SEEK
*
444
SOLVER
*
445
BIBLIOGRAPHY
*
446
INDEX
*
448 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Parameswaran, Sunil K. |
| author_GND | (DE-588)1200879643 |
| author_facet | Parameswaran, Sunil K. |
| author_role | aut |
| author_sort | Parameswaran, Sunil K. |
| author_variant | s k p sk skp |
| building | Verbundindex |
| bvnumber | BV046715570 |
| ctrlnum | (OCoLC)1164635430 (DE-599)DNB1162552476 |
| dewey-full | 332.632044 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632044 |
| dewey-search | 332.632044 |
| dewey-sort | 3332.632044 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV046715570 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T14:31:57Z |
| indexdate | 2024-07-10T08:51:53Z |
| institution | BVB |
| institution_GND | (DE-588)2036938-4 |
| isbn | 9781547416738 1547416734 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032125900 |
| oclc_num | 1164635430 |
| open_access_boolean | |
| owner | DE-12 |
| owner_facet | DE-12 |
| physical | xxv, 452 Seiten 24 cm, 798 g |
| publishDate | 2020 |
| publishDateSearch | 2020 |
| publishDateSort | 2020 |
| publisher | Walter de Gruyter Inc. |
| record_format | marc |
| spelling | Parameswaran, Sunil K. Verfasser (DE-588)1200879643 aut Fixed income securities concepts and applications Sunil Kumar Parameswaran Boston ; Berlin Walter de Gruyter Inc. 2020 xxv, 452 Seiten 24 cm, 798 g txt rdacontent n rdamedia nc rdacarrier Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Bond market, SEC, Mortgage-backed securities, Derivatives, High yield, Fixed income, Excel Festverzinsliches Wertpapier (DE-588)4121262-9 s DE-604 Walter de Gruyter Inc. (DE-588)2036938-4 pbl Erscheint auch als Online-Ausgabe, PDF 978-1-5474-0066-9 Erscheint auch als Online-Ausgabe, EPUB 978-1-5474-0068-3 X:MVB http://www.degruyter.com/search?f_0=isbnissn&q_0=9781547416738&searchTitles=true X:MVB https://www.degruyter.com/doc/cover/9781547416738.jpg B:DE-101 application/pdf https://d-nb.info/1162552476/04 Inhaltsverzeichnis DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032125900&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Parameswaran, Sunil K. Fixed income securities concepts and applications Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4121262-9 |
| title | Fixed income securities concepts and applications |
| title_auth | Fixed income securities concepts and applications |
| title_exact_search | Fixed income securities concepts and applications |
| title_exact_search_txtP | Fixed income securities concepts and applications |
| title_full | Fixed income securities concepts and applications Sunil Kumar Parameswaran |
| title_fullStr | Fixed income securities concepts and applications Sunil Kumar Parameswaran |
| title_full_unstemmed | Fixed income securities concepts and applications Sunil Kumar Parameswaran |
| title_short | Fixed income securities |
| title_sort | fixed income securities concepts and applications |
| title_sub | concepts and applications |
| topic | Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Festverzinsliches Wertpapier |
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| work_keys_str_mv | AT parameswaransunilk fixedincomesecuritiesconceptsandapplications AT walterdegruyterinc fixedincomesecuritiesconceptsandapplications |
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