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A short course of lectures
«Bond Math»





VALUING AN INTEREST RATE SWAPINTEREST RATES IN TEXTR00K THEORYLIABILITY-DRIVEN INVESTINGTHE RELATIONSHIP BETWEEN YIELD DURATION AND MATURITYIMPLIED PROBABILITY OF DEFAULT ON COUPON BONDSAdd-On Rate, 30/360A REAL MARKET DISCOUNT CORPORATE RONDTREASURY BILL AUCTION RESULTSYield CurvesCURVE DURATION AND CONVEXITYCOLLATERALIZED SWAPSMONEY MARKET INTEREST RATESBOND PORTFOLIO STATISTICS IN THEORYYIELD CONVEXITYLINKER TAXATIONINTEREST RATE FORWARDS AND FDTDRESYIELDS TO MATURITY ON ZERO-COUPON RONDSAdd-On Rate, Actual/370Floaters and linkersAdd-On Rate, Actual/365CLOSING THOUGHTS: TARGET-DURATION ROND FUNDS ITRADITIONAL LIBOR DISCOUNTINGMARKET DISCOUNT BONDSAN INTEREST RATE SWAP OVERLAY STRATEGYACTING ON A RATE VIEWFLOATING-RATE NOTES IN GENERALBASIC BOND TAXATIONA SOMEWHAT MORE COMPLEX FLOATER VALUATION MODELMONEY MARKET DISCOUNT RATESBOND PRICING BETWEEN COUPON DATESACCURATE IMPLIED FORWARD RATESInterest Rate SwapsCLASSIC IMMUNIZATION THEORYBOND PRICES AND YIELDS TO MATURITY IN A WORLD OF NO ARBITRAGEOIS DISCOUNTINGYIELD DURATION AND CONVEXITY RELATIONSHIPSHORIZON YIELDS AND HOLDING-PERIOD RATES OF RETURNSOME OTHER YIELD STATISTICSDISCOUNT FACTORSTHE STORY OF TIGRS, CATS, LIONS, AND STRIPSPREMIUM BONDSMORE APPLICATIONS FOR THE IMPLIED SPOT AND FORWARD CURVESCLASSIC THEORIES OF THE TERM STRUCTURE OF INTEREST RATESPreface to the First EditionA HISTORY LESSON ON MONEY MARKET CERTIFICATESMARKET DEMAND AND SUPPLYMONEY MARKET ADD-ON RATESA REAL CORPORATE BONDTHE LIBOR FORWARD CURVE FOR OIS DISCOUNTINGAdd-On Rate, Actual/360Technical AppendixPERIODICITY CONVERSIONSPrices and Yields on Coupon BondsPreface to the Second EditionBLOOMBERG YIELO BURATION ANB CONVEXITYTHOUGHTS ON BOND PORTFOLIO STATISTICSZero-Coupon BondsMUNICIPAL BONDSINFERRING THE FORWARD CURVEINTEREST RATE SWAP DURATIONSOME USES OF YIELD-TO-MATURITY STATISTICS IMONEY MARKET IMPLIED FORWARD RATESCHANGES IN BOND PRICES AND YIELDSCALCULATING AND USING IMPLIED SPOT (ZERO-COUPON) RATESDiscount Rate, Actual/360PRICING AN INTEREST RATE SWAPTHE FUTURE: HUURLY INTEREST RATES?TWO CASH FLOWS, MANY MONEY MARKET RATESA SIMPLE FLOATER VALUATION MODELCREDIT SPREADS AND THE IMPLIED PROBABILITY OF DEFAULTORIGINAL ISSUE DISCOUNT BONDSBond StrategiesMoney Market Interest RatesBond TaxationBond PortfoliosYIELD DURATIONIMMUNIZATION IMPLEMENTATION ISSUESA REAL BOND PORTFOLIOAN ACTUAL FLOATERAN INTUITIVE FORWARD CURVEINFLATION-INDEXED BONDS: C LINKERS AND P-LINKERSBOND PORTFOLIO STATISTICS IN PRACTICEHORIZON YIELDSDuration and ConvexityLINKER DURATION
 
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