ENGLISH

Fixed Income Analytics

By Kenneth D. Garbade

Book information

Publisher
The MIT Press
Year
1996
ISBN
0262071762, 9780262071765
Language
english
Format
PDF
Filesize
6 MB (6587969 bytes)
Series
Inside Technology
Pages
486\370
Topic
Economy
Time added
2016-08-23 22:42:29
Economics;Banks & Banking;Commerce;Commercial Poli

Description

Fixed Income Analytics brings together twenty influential papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of the few, if not only, books on fixed income analysis that focuses on applicable techniques while remaining analytically rigorous.Divided into four parts, Fixed Income Analytics presents quantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills, notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bond yield and bond duration; in part II, yield curves and the problem of assessing relative value; in part III, topics in fixed income portfolio management associated with change in the shape of the yield curve -- yield curve trades, butterfly trades, and hedging -- and in part IV, the characteristics and consequences of fluctuations in the shape of the yield curve.

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