Bond math: the theory behind the formulas

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"This book is a guide to the calculations involved in managing bonds, with expert insight on the portfolios and investment strategies that puts the math in perspective. The book explains how to delineate the characteristics of different types of debt securities; calculate implied forward and spot rates and discount factors; work with rates of return, yield statistics, and interest rate swaps; and understand duration-based risk measures"--

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Title Statements

Full title :Bond math : the theory behind the formulas / Donald J. Smith.

Summary

Edition Statements

Publication Date:2014
Edition:Second edition

Publication Statements

Publisher(s):Bloomberg Press
Place of Publication:Hoboken, New Jersey
Language:eng
Publication Date:2014

The Physical Object

Description:1 online resource

Edition Identifiers

ISBN:1118866290, 9781118866290
oclc:ocn897775716
LC Classification:HG4651
Dewey Decimal:332.63/2301519

Bond Math; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Money Market Interest Rates; Interest Rates in Textbook Theory; Money Market Add-On Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; Add-On Rate, Actual/360; Add-On Rate, Actual/365; Add-On Rate, 30/360; Add-On Rate, Actual/370; Discount Rate, Actual/360; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS.

Yields to Maturity on Zero-Coupon BondsHorizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields; Credit Spreads and the Implied Probability of Default; Conclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bon…

Subjects

Bonds -- Mathematical models BUSINESS & ECONOMICS -- Investments & S… Interest rates -- mathematical models Obligations (Valeurs) -- Modèles mathém… Obligations à coupon zéro Taux d'intérêt -- Modèles mathématiques Zero coupon securities