Bond Math by Smith, Donald J. -- Read -- Imperial Library of Trantor

Index

Cover Title Page Copyright Dedication Preface Chapter 1: 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

Chapter 2: 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

Chapter 3: 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

Chapter 4: Bond Taxation

Basic Bond Taxation Market Discount Bonds A Real Market Discount Corporate Bond Premium Bonds Original Issue Discount Bonds Municipal Bonds Conclusion

Chapter 5: 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

Chapter 6: 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

Chapter 7: 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

Chapter 8: 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

Chapter 9: Bond Portfolios

Bond Portfolio Statistics in Theory Bond Portfolio Statistics in Practice A Real Bond Portfolio Thoughts on Bond Portfolio Statistics Conclusion

Chapter 10: 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

Chapter 1: Money Market Interest Rates Chapter 3: Prices and Yields on Coupon Bonds Chapter 6: Duration and Convexity Chapter 7: Floaters and Linkers Chapter 9: Bond Portfolios

Acronyms Bibliographic Notes

Chapter 1: Money Market Interest Rates Chapter 2: Zero-Coupon Bonds Chapter 3: Prices and Yields on Coupon Bonds Chapter 4: Bond Taxation Chapter 5: Yield Curves Chapter 6: Duration and Convexity Chapter 7: Floaters and Linkers Chapter 8: Interest Rate Swaps Chapter 9: Bond Portfolios Chapter 10: Bond Strategies

About the Author Acknowledgments Index