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| Preface | |
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| Money Market Interest Rates | |
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| Interest Rates in Textbook Theory | |
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| Money Market Add-on Rates | |
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| Money Market Discount Rates | |
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| Two Cash Flows, Many Money Market Rates | |
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| A History Lesson on Money Market Certificates | |
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| Periodicity Conversions | |
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| Treasury Bill Auction Results | |
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| The Future: Hourly Interest Rates? | |
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| Conclusion | |
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| Zero-Coupon Bonds | |
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| The Story of TIGRS, CATS, LIONS, and STRIPS | |
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| Yields to Maturity on Zero-Coupon Bonds | |
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| Horizon Yields and Holding-Period Rates of Return | |
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| Changes in Bond Prices and Yields | |
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| Credit Spreads and the Implied Probability of Default | |
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| Conclusion | |
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| Prices and Yields on Coupon Bonds | |
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| Market Demand and Supply | |
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| Bond Prices and Yields to Maturity in a World of No Arbitrage | |
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| Some Other Yield Statistics | |
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| Horizon Yields | |
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| Some Uses of Yield-to-Maturity Statistics | |
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| Implied Probability of Default on Coupon Bonds | |
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| Bond Pricing between Coupon Dates | |
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| A Real Corporate Bond | |
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| Conclusion | |
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| Bond Taxation | |
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| Basic Bond Taxation | |
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| Market Discount Bonds | |
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| A Real Market Discount Corporate Bond | |
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| Premium Bonds | |
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| Original Issue Discount Bonds | |
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| Municipal Bonds | |
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| Conclusion | |
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| Yield Curves | |
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| An Intuitive Forward Curve | |
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| Classic Theories of the Term Structure of Interest Rates | |
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| Accurate Implied Forward Rates | |
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| Money Market Implied Forward Rates | |
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| Calculating and Using Implied Spot (Zero-Coupon) Rates | |
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| More Applications for the Implied Spot and Forward Curves | |
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| Conclusion | |
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| Duration and Convexity | |
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| Yield Duration and Convexity Relationships | |
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| Yield Duration | |
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| The Relationship between Yield Duration and Maturity | |
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| Yield Convexity | |
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| Bloomberg Yield Duration and Convexity | |
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| Curve Duration and Convexity | |
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| Conclusion | |
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| Floaters and Linkers | |
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| Floating-Rate Notes in General | |
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| A Simple Floater Valuation Model | |
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| An Actual Floater | |
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| Inflation-Indexed Bonds: C-Linkers and P-Linkers | |
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| Linker Taxation | |
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| Linker Duration | |
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| Conclusion | |
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| Interest Rate Swaps | |
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| Pricing an Interest Rate Swap | |
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| Interest Rate Forwards and Futures | |
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| Inferring the Forward Curve | |
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| Valuing an Interest Rate Swap | |
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| Interest Rate Swap Duration and Convexity | |
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| Conclusion | |
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| Bond Portfolios | |
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| Bond Portfolio Statistics in Theory | |
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| Bond Portfolio Statistics in Practice | |
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| A Real Bond Portfolio | |
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| Thoughts on Bond Portfolio Statistics | |
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| Conclusion | |
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| Bond Strategies | |
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| Acting on a Rate View | |
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| An Interest Rate Swap Overlay Strategy | |
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| Classic Immunization Theory | |
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| Immunization Implementation Issues | |
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| Liability-Driven Investing | |
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| Closing Thoughts: Target-Duration Bond Funds | |
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| Technical Appendix | |
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| Acronyms | |
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| Bibliographic Notes | |
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| About the Author | |
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| Acknowledgments | |
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| Index | |