Fixed Income Analytics: Bonds in High and Low Interest Rate Environments

Description

This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analyzed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of the benchmark industry is offered and an introduction to convertible bonds is given. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry. Front Matter ....Pages i-xvii Introduction (Wolfgang Marty)....Pages 1-4 The Time Value of Money (Wolfgang Marty)....Pages 5-16 The Flat Yield Curve Concept (Wolfgang Marty)....Pages 17-102 The Term Structure of Interest Rate (Wolfgang Marty)....Pages 103-128 Spread Analysis (Wolfgang Marty)....Pages 129-147 Different Fixed Income Instruments (Wolfgang Marty)....Pages 149-158 Fixed-Income Benchmarks (Wolfgang Marty)....Pages 159-171 Convertible (Wolfgang Marty)....Pages 173-183 Back Matter ....Pages 185-204