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Introduction to Fixed Income Analytics Relative Value Analysis, Risk Measures and Valuation

ISBN-10: 0470572132
ISBN-13: 9780470572139
Edition: 2nd 2010
List price: $70.00
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Description: A comprehensive introduction to the key concepts of fixed income analyticsThe First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to tie Bloomberg screens into its  More...

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Book details

List price: $70.00
Edition: 2nd
Copyright year: 2010
Publisher: John Wiley & Sons, Limited
Publication date: 10/27/2010
Binding: Hardcover
Pages: 479
Size: 6.50" wide x 9.50" long x 1.75" tall
Weight: 0.726
Language: English

A comprehensive introduction to the key concepts of fixed income analyticsThe First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to tie Bloomberg screens into its analysis. Since it'²s publication over eight years ago, major changes have taken place in the markets.That'²s why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on risk value analysis and risk measures and valuation, as well as information on instruments like TIPS (treasury inflation protected securities). Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more Includes updated charts and descriptions of Bloomberg screen presentations Covers important analytical concepts used by portfolio managersUnderstanding fixed-income analytics is essential in today'²s dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Preface
About the Authors
Time Value of Money
Future Value of a Single Cash Flow
Present Value of a Single Cash Flow
Compounding/Discounting When Interest Is Paid More Than Annually
Future and Present Values of an Ordinary Annuity
Yield (Internal Rate of Return)
Concepts Presented in this Chapter
Appendix: Compounding and Discounting in Continuous Time
Questions
Yield Curve Analysis: Spot Rates and Forward Rates
A Bond Is a Package of Zero-Coupon Instruments
Theoretical Spot Rates
Forward Rates
Dynamics of the Yield Curve
Concepts Presented in this Chapter
Questions
Day Count Conventions and Accrued Interest
Day Count Conventions
Computing the Accrued Interest
Concepts Presented in this Chapter
Questions
Valuation of Option-Free Bonds
General Principles of Valuation
Determining a Bond's Value
The Price/Discount Rate Relationship
Time Path of Bond
Valuing a Zero-Coupon Bond
Valuing a Bond Between Coupon Payments
Traditional Approach to Valuation
The Arbitrage-Free Valuation Approach
Concepts Presented in this Chapter
Questions
Yield Measures
Sources of Return
Traditional Yield Measures
Yield to Call
Yield to Put
Yield to Worst
Cash Flow Yield
Portfolio Yield Measures
Yield Measures for U.S. Treasury Bills
Yield Spread Measures Relative to a Spot Rate Curve
Concepts Presented in this Chapter
Appendix: Mathematics of the Internal Rate of Return
Questions
Analysis of Floating Rate Securities
General Features of Floaters
Valuing a Risky Floater
Valuation of Floaters with Embedded Options
Margin Measures
Concepts Presented in this Chapter
Questions
Valuation of Bonds with Embedded Options
Overview of the Valuation of Bonds with Embedded Options
Option-Adjusted Spread and Option Cost
Lattice Model
Binomial Model
Illustration
Concepts Presented in this Chapter
Questions
Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities
Cash Flow of Mortgage-Backed Securities
Amortizing Asset-Backed Securities
Concepts Presented in this Chapter
Questions
Valuation of Mortgage-Backed and Asset-Backed Securities
Static Cash Flow Yield Analysis
Monte Carlo Simulation/OAS
Concepts Presented in this Chapter
Questions
Analysis of Convertible Bonds
General Characteristics of Convertible Bonds
Tools for Analyzing Convertibles
Call and Put Features
Convertible Bond Arbitrage
Other Types of Convertibles
Concepts Presented in this Chapter
Questions
Total Return
Computing the Total Return
OAS-Total Return
Total Return to Maturity
Total Return for a Mortgage-Backed Security
Portfolio Total Return
Total Return Analysis for Multiple Scenarios
Concepts Presented in this Chapter
Questions
Measuring Interest Rate Risk
The Full Valuation Approach
Price Volatility Characteristics of Bonds
Duration
Other Duration Measures
Convexity
Price Value of a Basis Point
The Importance of Yield Volatility
Concepts Presented in this Chapter
Questions
Value-at-Risk Measure and Extensions
Value-at-Risk
Conditional Value-at-Risk
Concepts Presented in this Chapter
Questions
Analysis of Inflation-Protected Bonds
Breakeven Inflation rate
Valuation of TIPS
Measuring Interest Rate Risk
Concepts Presented in this Chapter
Questions
The Tools of Relative Value Analysis
How Portfolio Managers Add Value
Yield Spreads over Swap and Treasury Curves
Asset Swaps
Credit Default Swaps
Concepts Presented in this Chapter
Questions
Analysis of Interest Rate Swaps
Description of an Interest Rate Swap
Interpreting a Swap Position
Terminology, Conventions, and Market Quotes
Valuing Interest Rate Swaps
Primary Determinants of Swap Spreads
Dollar Duration of a Swap
Concepts Presented in this Chapter
Questions
Estimating Yield Volatility
Historical Volatility
Implied Volatility
Forecasting Yield Volatility
Concepts Presented in this Chapter
Questions
Index

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