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Introduction To Fixed Income Analytics "Relative Value Analysis, Risk Measures And Valuation"

Relative Value Analysis, Risk Measures And Valuation

Introduction To Fixed Income Analytics "Relative Value Analysis, Risk Measures And Valuation". Relative Value Analysis, Risk Measures And Valuation

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  • ISBN:9780470572139
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
  • Número de la edición: 2
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:480
  • Idiomas:Ingles

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comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). * Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more * Includes updated charts and descriptions using Bloomberg screens * Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Preface
About the Authors
Chapter 1 Time Value of Money 1
Future Value of a Single Cash Flow 1
Present Value of a Single Cash Flow 4
Compounding/Discounting When Interest is Paid More Than Annually 8
Future and Present Values of an Ordinary Annuity 10
Yield (Internal Rate of Return) 20
Concepts Presented in this Chapter 26
Appendix: Compounding and Discounting in Continuous Time 27
Questions 31
Chapter 2 Yield Curve Analysis: Spot Rates and Forward Rates 33
A Bond is a Package of Zero-Coupon Instruments 33
Theoretical Spot Rates 34
Forward Rates 44
Dynamics of the Yield Curve 57
Concepts Presented in this Chapter 60
Questions 60
Chapter 3 Day Count Conventions and Accrued Interest 68
Day Count Conventions 63
Computing the Accrued Interest 74
Concepts Presented in this Chapter 76
Questions 76
Chapter 4 Valuation of Option-Free Bonds 77
General Principles of Valuation 77
Determining a Bond's Value 80
The Price/Discount Rate Relationship 84
Time Path of Bond 86
Valuing a Zero-Coupon Bond 90

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