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Bond Math The Theory Behind the Formulas

ISBN-10: 1576603067

ISBN-13: 9781576603062

Edition: 2011

Authors: Donald J. Smith

List price: $78.00
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Description:

The book shows how to think about the essential math of bonds without getting involved in the more complex issues of various derivatives (such as futures and options). This quick and easy resource will put the intricacies of bond calculations into a clear and logical order. It is not meant to be a comprehensive and exhaustive coverage of all things bonds. Instead, it quickly gives the bond professional what he/she needs.
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Book details

List price: $78.00
Copyright year: 2011
Publisher: John Wiley & Sons, Incorporated
Publication date: 7/26/2011
Binding: Hardcover
Pages: 288
Size: 6.25" wide x 9.25" long x 1.00" tall
Weight: 1.056
Language: English

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