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9781883249946

Introduction to Fixed Income Analytics

by ;
  • ISBN13:

    9781883249946

  • ISBN10:

    1883249945

  • Format: Hardcover
  • Copyright: 2001-05-01
  • Publisher: Wiley
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Summary

The expanding variety of fixed income vehicles, in addition to their increasing intricacy, has generated difficulties for finance managers and investors in determining accurate valuations and analyses. Introduction to Fixed Income Analytics has proven to be today's most complete reference on the subject through its revolutionary insights into the time value of money and its techniques for estimating yield volatility, as well as for analyzing valuations, yield measures, return, risk, and 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

Time Value of Money
1(26)
Yield Curve Analysis: Spot Rates and Forward Rates
27(26)
Day Count Conventions and Accrued Interest
53(12)
Valuation of Option-Free Bonds
65(26)
Yield Measures
91(26)
Valuation of Bonds with Embedded Options
117(24)
Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities
141(38)
Valuation of Mortgage-Backed and Asset-Backed Securities
179(24)
Analysis of Floating-Rate Securities
203(24)
Total Return
227(22)
Measuring Interest Rate Risk
249(48)
Analysis of Interest Rate Swaps
297(30)
Estimating Yield Volatility
327(10)
Index 337

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