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9781883249656

Floating-Rate Securities

by ;
  • ISBN13:

    9781883249656

  • ISBN10:

    1883249651

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2000-06-15
  • Publisher: Wiley

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Summary

Floating-Rate Securities is the only complete resource on "floaters" that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.

Author Biography

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Table of Contents

About the Authors iv
Features and Investment Characteristics of Floaters
1(18)
The Choice of a Floater's Reference Rate
19(18)
Introduction to the Valuation of Floaters
37(24)
Valuing Floaters with Embedded Options
61(26)
Spread Measures and Spread Duration
87(12)
Relative Value Analysis Using the Interest Rate Swap Market
99(28)
Adjustable-Rate Mortgage Passthrough Securities
127(14)
CMO Floaters
141(26)
ABS Floaters
167(16)
Analysis of MBS and ABS Floaters
183(18)
Inverse Floaters
201(20)
Index 221

Supplemental Materials

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