Foreword | |
Acknowledgments | |
Introduction | |
Note on Rounding Differences | |
Features of Debt Securities | |
Introduction | |
Indenture and Covenants | |
Maturity | |
Par Value | |
Coupon Rate | |
Provisions for Paying Off Bonds | |
Conversion Privilege | |
Put Provision | |
Currency Denomination | |
Embedded Options | |
Borrowing Funds to Purchase Bonds | |
Risks Associated with Investing in Bonds | |
Introduction | |
Interest Rate Risk | |
Yield Curve Risk | |
Call and Prepayment Risk | |
Reinvestment Risk | |
Credit Risk | |
Liquidity Risk | |
Exchange Rate or Currency Risk | |
Inflation or Purchasing Power Risk | |
Volatility Risk | |
Event Risk | |
Sovereign Risk | |
Overview of Bond Sectors and Instruments | |
Introduction | |
Sectors of the Bond Market | |
Sovereign Bonds | |
Semi-Government/Agency Bonds | |
State and Local Governments | |
Corporate Debt Securities | |
Asset-Backed Securities | |
Collateralized Debt Obligations | |
Primary Market and Secondary Market for Bonds | |
Understanding Yield Spreads | |
Introduction | |
Interest Rate Determination | |
U.S. Treasury Rates | |
Yields on Non-Treasury Securities | |
Non-U.S. Interest Rates | |
Swap Spreads | |
Introduction to the Valuation of Debt Securities | |
Introduction | |
General Principles of Valuation | |
Traditional Approach to Valuation | |
The Arbitrage-Free Valuation Approach | |
Valuation Models | |
Yield Measures, Spot Rates, and Forward Rates | |
Introduction | |
Sources of Return | |
Traditional Yield Measures | |
Theoretical Spot Rates | |
Forward Rates | |
Introduction to the Measurement of Interest Rate Risk | |
Introduction | |
The Full Valuation Approach | |
Price Volatility Characteristics of Bonds | |
Duration | |
Convexity Adjustment | |
Price Value of a Basis Point | |
The Importance of Yield Volatility | |
Term Structure and Volatility of Interest Rates | |
Introduction | |
Historical Look at the Treasury Yield Curve | |
Treasury Returns Resulting from Yield Curve Movements | |
Constructing the Theoretical Spot Rate Curve for Treasuries | |
The Swap Curve (LIBOR Curve) | |
Expectations Theories of the Term Structure of Interest Rates | |
Measuring Yield Curve Risk | |
Yield Volatility and Measurement | |
Valuing Bonds with Embedded Options | |
Introduction | |
Elements of a Bond Valuation Model | |
Overview of the Bond Valuation Process | |
Review of How to Value an Option-Free Bond | |
Valuing a Bond with an Embedded Option Using the Binomial Model | |
Valuing and Analyzing a Callable Bond | |
Valuing a Putable Bond | |
Valuing a Step-Up Callable Note | |
Valuing a Capped Floater | |
Analysis of Convertible Bonds | |
Mortgage-Backed Sector of the Bond Market | |
Introduction | |
Residential Mortgage Loans | |
Mortgage Passthrough Securities | |
Collateralized Mortgage Obligations | |
Stripped Mortgage-Backed Securities | |
Nonagency Residential Mortgage-Backed Securities | |
Commercial Mortgage-Backed Securities | |
Asset-Backed Sec | |
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