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A short course of lectures
«Bond Math»

Money Market Interest Rates LINKER TAXATION THE STORY OF TIGRS, CATS, LIONS, AND STRIPS FLOATING-RATE NOTES IN GENERAL THE FUTURE: HUURLY INTEREST RATES?IMMUNIZATION IMPLEMENTATION ISSUES Discount Rate, Actual/360 YIELD DURATION AND CONVEXITY RELATIONSHIPS CALCULATING AND USING IMPLIED SPOT (ZERO-COUPON) RATES TWO CASH FLOWS, MANY MONEY MARKET RATES CHANGES IN BOND PRICES AND YIELDS Technical Appendix AN ACTUAL FLOATER Add-On Rate, 30/360 BLOOMBERG YIELO BURATION ANB CONVEXITY HORIZON YIELDS AND HOLDING-PERIOD RATES OF RETURN IMPLIED PROBABILITY OF DEFAULT ON COUPON BONDS ACCURATE IMPLIED FORWARD RATES CURVE DURATION AND CONVEXITY LIABILITY-DRIVEN INVESTING Zero-Coupon Bonds Bond Strategies MORE APPLICATIONS FOR THE IMPLIED SPOT AND FORWARD CURVES Yield Curves MONEY MARKET DISCOUNT RATES A SOMEWHAT MORE COMPLEX FLOATER VALUATION MODEL BOND PRICING BETWEEN COUPON DATES BOND PORTFOLIO STATISTICS IN PRACTICE Floaters and linkers AN INTUITIVE FORWARD CURVE SOME OTHER YIELD STATISTICS CLASSIC IMMUNIZATION THEORY HORIZON YIELDS LINKER DURATION INTEREST RATE FORWARDS AND FDTDRES Add-On Rate, Actual/360 A REAL MARKET DISCOUNT CORPORATE ROND THE LIBOR FORWARD CURVE FOR OIS DISCOUNTING INFERRING THE FORWARD CURVE THE RELATIONSHIP BETWEEN YIELD DURATION AND MATURITY PERIODICITY CONVERSIONS A HISTORY LESSON ON MONEY MARKET CERTIFICATES YIELD CONVEXITY Bond Portfolios A REAL CORPORATE BOND YIELDS TO MATURITY ON ZERO-COUPON RONDS Add-On Rate, Actual/370 COLLATERALIZED SWAPS A REAL BOND PORTFOLIO BOND PORTFOLIO STATISTICS IN THEORY TREASURY BILL AUCTION RESULTS SOME USES OF YIELD-TO-MATURITY STATISTICS I PRICING AN INTEREST RATE SWAP INFLATION-INDEXED BONDS: C LINKERS AND P-LINKERS TRADITIONAL LIBOR DISCOUNTING MARKET DEMAND AND SUPPLY VALUING AN INTEREST RATE SWAP INTEREST RATES IN TEXTR00K THEORY THOUGHTS ON BOND PORTFOLIO STATISTICS MONEY MARKET IMPLIED FORWARD RATES YIELD DURATION CLOSING THOUGHTS: TARGET-DURATION ROND FUNDS I MONEY MARKET ADD-ON RATES MUNICIPAL BONDS ACTING ON A RATE VIEW Preface to the First Edition CLASSIC THEORIES OF THE TERM STRUCTURE OF INTEREST RATES BASIC BOND TAXATION Interest Rate Swaps Prices and Yields on Coupon Bonds Add-On Rate, Actual/365 ORIGINAL ISSUE DISCOUNT BONDS DISCOUNT FACTORS OIS DISCOUNTING Duration and Convexity Preface to the Second Edition PREMIUM BONDS BOND PRICES AND YIELDS TO MATURITY IN A WORLD OF NO ARBITRAGE Bond Taxation MARKET DISCOUNT BONDS INTEREST RATE SWAP DURATION CREDIT SPREADS AND THE IMPLIED PROBABILITY OF DEFAULT AN INTEREST RATE SWAP OVERLAY STRATEGY A SIMPLE FLOATER VALUATION MODEL MONEY MARKET INTEREST RATES

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