IntroductiontoFixedIncomeAnalytics_Relat.epub - (EPUB全文下载)

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Table of Contents 
Title Page
Copyright Page
Dedication
Preface
About the Authors
CHAPTER 1 - Time Value of Money
FUTURE VALUE OF A SINGLE CASH FLOW
PRESENT VALUE OF A SINGLE CASH FLOW
COMPOUNDING/DISCOUNTING WHEN INTEREST IS PAID MORE THAN ANNUALLY
FUTURE AND PRESENT VALUES OF AN ORDINARY ANNUITY
YIELD (INTERNAL RATE OF RETURN)
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
APPENDIX: COMPOUNDING AND DISCOUNTING IN CONTINUOUS TIME
QUESTIONS
CHAPTER 2 - Yield Curve Analysis
A BOND IS A PACKAGE OF ZERO-COUPON INSTRUMENTS
THEORETICAL SPOT RATES
FORWARD RATES
DYNAMICS OF THE YIELD CURVE
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
QUESTIONS
CHAPTER 3 - Day Count Conventions and Accrued Interest
DAY COUNT CONVENTIONS
COMPUTING THE ACCRUED INTEREST
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
QUESTIONS
CHAPTER 4 - Valuation of Option-Free Bonds
GENERAL PRINCIPLES OF VALUATION
DETERMINING A BOND’S VALUE
THE PRICE/DISCOUNT RATE RELATIONSHIP
TIME PATH OF BOND
VALUING A ZERO-COUPON BOND
VALUING A BOND BETWEEN COUPON PAYMENTS
TRADITIONAL APPROACH TO VALUATION
THE ARBITRAGE-FREE VALUATION APPROACH
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
QUESTIONS
CHAPTER 5 - Yield Measures
SOURCES OF RETURN
TRADITIONAL YIELD MEASURES
YIELD TO CALL
YIELD TO PUT
YIELD TO WORST
CASH FLOW YIELD
PORTFOLIO YIELD MEASURES
YIELD MEASURES FOR U.S. TREASURY BILLS
YIELD SPREAD MEASURES RELATIVE TO A SPOT RATE CURVE
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
APPENDIX: MATHEMATICS OF THE INTERNAL RATE OF RETURN
QUESTIONS
CHAPTER 6 - Analysis of Floating Rate Securities
GENERAL FEATURES OF FLOATERS
VALUING A RISKY FLOATER
VALUATION OF FLOATERS WITH EMBEDDED OPTIONS
MARGIN MEASURES
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
QUESTIONS
CHAPTER 7 - Valuation of Bonds with Embedded Options
OVERVIEW OF THE VALUATION OF BONDS WITH EMBEDDED OPTIONS
OPTION-ADJUSTED SPREAD AND OPTION COST
LATTICE MODEL
BINOMIAL MODEL
ILLUSTRATION
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
QUESTIONS
CHAPTER 8 - Cash Flow for Mortgage-Backed Securities and Amortizing ...
CASH FLOW OF MORTGAGE-BACKED SECURITIES
AMORTIZING ASSET-BACKED SECURITIES
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)
QUESTIONS
CHAPTER 9 - Valuation of Mortgage-Backed and Asset-Backed Securities
STATIC CASH FLOW YIELD ANALYSIS
MONTE CARLO SIMULATION/OAS
CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATIO ............

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