ENGLISH

Bond Math: The Theory behind the Formulas

By Donald J. Smith(auth.)

Book information

Year
2011
ISBN
9781576603062, 9781118268001
DOI
10.1002/9781118268001
Language
english
Format
PDF
Filesize
3 MB (3216353 bytes)
Pages
277\277
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00

Description

A guide to the theory behind bond math formulasBond Math explores the ideas and assumptions behind commonly used statistics on risk and return for individual bonds and on fixed income portfolios. But this book is much more than a series of formulas and calculations; the emphasis is on how to think about and use bond math. Author Donald J. Smith, a professor at Boston University and an experienced executive trainer, covers in detail money market rates, periodicity conversions, bond yields to maturity and horizon yields, the implied probability of default, after-tax rates of return, implied forward and spot rates, and duration and convexity. These calculations are used on traditional fixed-rate and zero-coupon bonds, as well as floating-rate notes, inflation-indexed securities, and interest rate swaps. Puts bond math in perspective through discussions of bond portfolios and investment strategies.Content: Chapter 1 Money Market Interest Rates (pages 1–22): Chapter 2 Zero?Coupon Bonds (pages 23–38): Chapter 3 Prices and Yields on Coupon Bonds (pages 39–63): Chapter 4 Bond Taxation (pages 65–82): Chapter 5 Yield Curves (pages 83–106): Chapter 6 Duration and Convexity (pages 107–135): Chapter 7 Floaters and Linkers (pages 137–162): Chapter 8 Interest Rate Swaps (pages 163–184): Chapter 9 Bond Portfolios (pages 185–207): Chapter 10 Bond Strategies (pages 209–229):

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