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A short course of lectures
«Bond Math»





Money Market Interest RatesLINKER TAXATIONTHE STORY OF TIGRS, CATS, LIONS, AND STRIPSFLOATING-RATE NOTES IN GENERALTHE FUTURE: HUURLY INTEREST RATES?IMMUNIZATION IMPLEMENTATION ISSUESDiscount Rate, Actual/360YIELD DURATION AND CONVEXITY RELATIONSHIPSCALCULATING AND USING IMPLIED SPOT (ZERO-COUPON) RATESTWO CASH FLOWS, MANY MONEY MARKET RATESCHANGES IN BOND PRICES AND YIELDSTechnical AppendixAN ACTUAL FLOATERAdd-On Rate, 30/360BLOOMBERG YIELO BURATION ANB CONVEXITYHORIZON YIELDS AND HOLDING-PERIOD RATES OF RETURNIMPLIED PROBABILITY OF DEFAULT ON COUPON BONDSACCURATE IMPLIED FORWARD RATESCURVE DURATION AND CONVEXITYLIABILITY-DRIVEN INVESTINGZero-Coupon BondsBond StrategiesMORE APPLICATIONS FOR THE IMPLIED SPOT AND FORWARD CURVESYield CurvesMONEY MARKET DISCOUNT RATESA SOMEWHAT MORE COMPLEX FLOATER VALUATION MODELBOND PRICING BETWEEN COUPON DATESBOND PORTFOLIO STATISTICS IN PRACTICEFloaters and linkersAN INTUITIVE FORWARD CURVESOME OTHER YIELD STATISTICSCLASSIC IMMUNIZATION THEORYHORIZON YIELDSLINKER DURATIONINTEREST RATE FORWARDS AND FDTDRESAdd-On Rate, Actual/360A REAL MARKET DISCOUNT CORPORATE RONDTHE LIBOR FORWARD CURVE FOR OIS DISCOUNTINGINFERRING THE FORWARD CURVETHE RELATIONSHIP BETWEEN YIELD DURATION AND MATURITYPERIODICITY CONVERSIONSA HISTORY LESSON ON MONEY MARKET CERTIFICATESYIELD CONVEXITYBond PortfoliosA REAL CORPORATE BONDYIELDS TO MATURITY ON ZERO-COUPON RONDSAdd-On Rate, Actual/370COLLATERALIZED SWAPSA REAL BOND PORTFOLIOBOND PORTFOLIO STATISTICS IN THEORYTREASURY BILL AUCTION RESULTSSOME USES OF YIELD-TO-MATURITY STATISTICS IPRICING AN INTEREST RATE SWAPINFLATION-INDEXED BONDS: C LINKERS AND P-LINKERSTRADITIONAL LIBOR DISCOUNTINGMARKET DEMAND AND SUPPLYVALUING AN INTEREST RATE SWAPINTEREST RATES IN TEXTR00K THEORYTHOUGHTS ON BOND PORTFOLIO STATISTICSMONEY MARKET IMPLIED FORWARD RATESYIELD DURATIONCLOSING THOUGHTS: TARGET-DURATION ROND FUNDS IMONEY MARKET ADD-ON RATESMUNICIPAL BONDSACTING ON A RATE VIEWPreface to the First EditionCLASSIC THEORIES OF THE TERM STRUCTURE OF INTEREST RATESBASIC BOND TAXATIONInterest Rate SwapsPrices and Yields on Coupon BondsAdd-On Rate, Actual/365ORIGINAL ISSUE DISCOUNT BONDSDISCOUNT FACTORSOIS DISCOUNTINGDuration and ConvexityPreface to the Second EditionPREMIUM BONDSBOND PRICES AND YIELDS TO MATURITY IN A WORLD OF NO ARBITRAGEBond TaxationMARKET DISCOUNT BONDSINTEREST RATE SWAP DURATIONCREDIT SPREADS AND THE IMPLIED PROBABILITY OF DEFAULTAN INTEREST RATE SWAP OVERLAY STRATEGYA SIMPLE FLOATER VALUATION MODELMONEY MARKET INTEREST RATES
 
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