Coverart for item
The Resource Bond math : the theory behind the formulas, Donald J. Smith

Bond math : the theory behind the formulas, Donald J. Smith

Label
Bond math : the theory behind the formulas
Title
Bond math
Title remainder
the theory behind the formulas
Statement of responsibility
Donald J. Smith
Creator
Subject
Language
eng
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1947-
http://library.link/vocab/creatorName
Smith, Donald J.
Dewey number
332.63/2301519
Illustrations
illustrations
Index
index present
LC call number
HG4651
LC item number
.S57 2011
Literary form
non fiction
Nature of contents
bibliography
Series statement
Wiley finance
http://library.link/vocab/subjectName
  • Bonds
  • Interest rates
  • Zero coupon securities
Label
Bond math : the theory behind the formulas, Donald J. Smith
Instantiates
Publication
Note
Series statement appears on dust jacket
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 6
  • The Relationship between Yield Duration and Maturity
  • 115
  • Yield Convexity
  • 118
  • Bloomberg Yield Duration and Convexity
  • 122
  • Curve Duration and Convexity
  • 127
  • Conclusion
  • 135
  • Two Cash Flows, Many Money Market Rates
  • Chapter 7
  • Floaters and Linkers
  • 137
  • Floating-Rate Notes in General
  • 138
  • A Simple Floater Valuation Model
  • 139
  • An Actual Floater
  • 143
  • Inflation-Indexed Bonds: C-Linkers and P-Linkers
  • 9
  • 149
  • Linker Taxation
  • 153
  • Linker Duration
  • 156
  • Conclusion
  • 161
  • Chapter 8
  • Interest Rate Swaps
  • 163
  • A History Lesson on Money Market Certificates
  • Pricing an Interest Rate Swap
  • 164
  • Interest Rate Forwards and Futures
  • 168
  • Inferring the Forward Curve
  • 170
  • Valuing an Interest Rate Swap
  • 174
  • Interest Rate Swap Duration and Convexity
  • 179
  • 12
  • Conclusion
  • 184
  • Chapter 9
  • Bond Portfolios
  • 185
  • Bond Portfolio Statistics in Theory
  • 185
  • Bond Portfolio Statistics in Practice
  • 189
  • A Real Bond Portfolio
  • Periodicity Conversions
  • 194
  • Thoughts on Bond Portfolio Statistics
  • 206
  • Conclusion
  • 207
  • Chapter 10
  • Bond Strategies
  • 209
  • Acting on a Rate View
  • 211
  • 13
  • An Interest Rate Swap Overlay Strategy
  • 215
  • Classic Immunization Theory
  • 218
  • Immunization Implementation Issues
  • 224
  • Liability-Driven Investing
  • 226
  • Closing Thoughts: Target-Duration Bond Funds
  • 227
  • Treasury Bill Auction Results
  • 15
  • The Future: Hourly Interest Rates?
  • Chapter 1
  • 20
  • Conclusion
  • 22
  • Chapter 2
  • Zero-Coupon Bonds
  • 23
  • The Story of TIGRS, CATS, LIONS, and STRIPS
  • 24
  • Yields to Maturity on Zero-Coupon Bonds
  • 27
  • Money Market Interest Rates
  • Horizon Yields and Holding-Period Rates of Return
  • 30
  • Changes in Bond Prices and Yields
  • 33
  • Credit Spreads and the Implied Probability of Default
  • 35
  • Conclusion
  • 38
  • Chapter 3
  • Prices and Yields on Coupon Bonds
  • 1
  • 39
  • Market Demand and Supply
  • 40
  • Bond Prices and Yields to Maturity in a World of No Arbitrage
  • 44
  • Some Other Yield Statistics
  • 49
  • Horizon Yields
  • 53
  • Some Uses of Yield-to-Maturity Statistics
  • Interest Rates in Textbook Theory
  • 55
  • Implied Probability of Default on Coupon Bonds
  • 56
  • Bond Pricing between Coupon Dates
  • 57
  • A Real Corporate Bond
  • 60
  • Conclusion
  • 63
  • Chapter 4
  • 2
  • Bond Taxation
  • 65
  • Basic Bond Taxation
  • 66
  • Market Discount Bonds
  • 68
  • A Real Market Discount Corporate Bond
  • 70
  • Premium Bonds
  • 74
  • Money Market Add-on Rates
  • Original Issue Discount Bonds
  • 77
  • Municipal Bonds
  • 79
  • Conclusion
  • 82
  • Chapter 5
  • Yield Curves
  • 83
  • An Intuitive Forward Curve
  • 3
  • 84
  • Classic Theories of the Term Structure of Interest Rates
  • 86
  • Accurate Implied Forward Rates
  • 91
  • Money Market Implied Forward Rates
  • 93
  • Calculating and Using Implied Spot (Zero-Coupon) Rates
  • 96
  • More Applications for the Implied Spot and Forward Curves
  • Money Market Discount Rates
  • 99
  • Conclusion
  • 105
  • Chapter 6
  • Duration and Convexity
  • 107
  • Yield Duration and Convexity Relationships
  • 108
  • Yield Duration
  • 111
Control code
698451494
Dimensions
24 cm
Extent
xiv, 272 pages
Isbn
9781576603062
Isbn Type
(cloth)
Lccn
2011002031
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)698451494
Label
Bond math : the theory behind the formulas, Donald J. Smith
Publication
Note
Series statement appears on dust jacket
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 6
  • The Relationship between Yield Duration and Maturity
  • 115
  • Yield Convexity
  • 118
  • Bloomberg Yield Duration and Convexity
  • 122
  • Curve Duration and Convexity
  • 127
  • Conclusion
  • 135
  • Two Cash Flows, Many Money Market Rates
  • Chapter 7
  • Floaters and Linkers
  • 137
  • Floating-Rate Notes in General
  • 138
  • A Simple Floater Valuation Model
  • 139
  • An Actual Floater
  • 143
  • Inflation-Indexed Bonds: C-Linkers and P-Linkers
  • 9
  • 149
  • Linker Taxation
  • 153
  • Linker Duration
  • 156
  • Conclusion
  • 161
  • Chapter 8
  • Interest Rate Swaps
  • 163
  • A History Lesson on Money Market Certificates
  • Pricing an Interest Rate Swap
  • 164
  • Interest Rate Forwards and Futures
  • 168
  • Inferring the Forward Curve
  • 170
  • Valuing an Interest Rate Swap
  • 174
  • Interest Rate Swap Duration and Convexity
  • 179
  • 12
  • Conclusion
  • 184
  • Chapter 9
  • Bond Portfolios
  • 185
  • Bond Portfolio Statistics in Theory
  • 185
  • Bond Portfolio Statistics in Practice
  • 189
  • A Real Bond Portfolio
  • Periodicity Conversions
  • 194
  • Thoughts on Bond Portfolio Statistics
  • 206
  • Conclusion
  • 207
  • Chapter 10
  • Bond Strategies
  • 209
  • Acting on a Rate View
  • 211
  • 13
  • An Interest Rate Swap Overlay Strategy
  • 215
  • Classic Immunization Theory
  • 218
  • Immunization Implementation Issues
  • 224
  • Liability-Driven Investing
  • 226
  • Closing Thoughts: Target-Duration Bond Funds
  • 227
  • Treasury Bill Auction Results
  • 15
  • The Future: Hourly Interest Rates?
  • Chapter 1
  • 20
  • Conclusion
  • 22
  • Chapter 2
  • Zero-Coupon Bonds
  • 23
  • The Story of TIGRS, CATS, LIONS, and STRIPS
  • 24
  • Yields to Maturity on Zero-Coupon Bonds
  • 27
  • Money Market Interest Rates
  • Horizon Yields and Holding-Period Rates of Return
  • 30
  • Changes in Bond Prices and Yields
  • 33
  • Credit Spreads and the Implied Probability of Default
  • 35
  • Conclusion
  • 38
  • Chapter 3
  • Prices and Yields on Coupon Bonds
  • 1
  • 39
  • Market Demand and Supply
  • 40
  • Bond Prices and Yields to Maturity in a World of No Arbitrage
  • 44
  • Some Other Yield Statistics
  • 49
  • Horizon Yields
  • 53
  • Some Uses of Yield-to-Maturity Statistics
  • Interest Rates in Textbook Theory
  • 55
  • Implied Probability of Default on Coupon Bonds
  • 56
  • Bond Pricing between Coupon Dates
  • 57
  • A Real Corporate Bond
  • 60
  • Conclusion
  • 63
  • Chapter 4
  • 2
  • Bond Taxation
  • 65
  • Basic Bond Taxation
  • 66
  • Market Discount Bonds
  • 68
  • A Real Market Discount Corporate Bond
  • 70
  • Premium Bonds
  • 74
  • Money Market Add-on Rates
  • Original Issue Discount Bonds
  • 77
  • Municipal Bonds
  • 79
  • Conclusion
  • 82
  • Chapter 5
  • Yield Curves
  • 83
  • An Intuitive Forward Curve
  • 3
  • 84
  • Classic Theories of the Term Structure of Interest Rates
  • 86
  • Accurate Implied Forward Rates
  • 91
  • Money Market Implied Forward Rates
  • 93
  • Calculating and Using Implied Spot (Zero-Coupon) Rates
  • 96
  • More Applications for the Implied Spot and Forward Curves
  • Money Market Discount Rates
  • 99
  • Conclusion
  • 105
  • Chapter 6
  • Duration and Convexity
  • 107
  • Yield Duration and Convexity Relationships
  • 108
  • Yield Duration
  • 111
Control code
698451494
Dimensions
24 cm
Extent
xiv, 272 pages
Isbn
9781576603062
Isbn Type
(cloth)
Lccn
2011002031
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)698451494

Library Locations

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      1 University Blvd, St. Louis, MO, 63121, US
      38.710138 -90.311107
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