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«Bond Math»

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

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