Introduction to Fixed Income Analytics / Edition 1

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Overview

The expanding variety of fixed income vehicles, in addition to their increasing intricacy, has generated difficulties for finance managers and investors in determining accurate valuations and analyses. Introduction to Fixed Income Analytics has proven to be today's most complete reference on the subject through its revolutionary insights into the time value of money and its techniques for estimating yield volatility, as well as for analyzing valuations, yield measures, return, risk, and more.
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Product Details

  • ISBN-13: 9781883249946
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 5/18/2001
  • Series: Frank J. Fabozzi Series , #83
  • Edition number: 1
  • Pages: 346
  • Product dimensions: 0.88 (w) x 6.14 (h) x 9.21 (d)

Meet the Author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.
Steven V. Mann is an Associate Professor of Finance at the Darla Moore School of Business, University of South Carolina. He is a consultant to investment/commercial banks and has conducted more than 60 training programs for financial institutions throughout the United States.
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Table of Contents

1 Time Value of Money 1
2 Yield Curve Analysis: Spot Rates and Forward Rates 27
3 Day Count Conventions and Accrued Interest 53
4 Valuation of Option-Free Bonds 65
5 Yield Measures 91
6 Valuation of Bonds with Embedded Options 117
7 Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities 141
8 Valuation of Mortgage-Backed and Asset-Backed Securities 179
9 Analysis of Floating-Rate Securities 203
10 Total Return 227
11 Measuring Interest Rate Risk 249
12 Analysis of Interest Rate Swaps 297
13 Estimating Yield Volatility 327
Index 337
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