Introduction to Fixed Income Analytics - Relative Value Analysis, Risk Measures and Valuation

Informationen zum Autor FRANK J. FABOZZI, PHD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. STEVEN V. MANN, PHD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in finance journals and many books on fixed income and derivatives topics, including The Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance (as a coeditor), and The Handbook of Fixed Income Securities (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment/commercial banks in the world as well as a number of Fortune 500 companies. Klappentext A comprehensive introduction to the key concepts of fixed income analyticsThe First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change.That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities).* Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more* Includes updated charts and descriptions using Bloomberg screens* Covers important analytical concepts used by portfolio managersUnderstanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field. Zusammenfassung A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Inhaltsverzeichnis Preface xiii About the Authors xv CHAPTER 1: Time Value of Money 1 Future Value of a Single Cash Flow 1 Present Value of a Single Cash Flow 4 Compounding/Discounting When Interest Is Paid More Than Annually 8 Future and Present Values of an Ordinary Annuity 10 Yield (Internal Rate of Return) 20 Concepts Presented in this Chapter 26 Appendix: Compounding and Discounting in Continuous Time 27 Questions 31 CHAPTER 2: Yield Curve Analysis: Spot Rates and Forward Rates 33 A Bond Is a Package of Zero-Coupon Instruments 33 Theoretical Spot Rates 34 Forward Rates 44 Dynamics of the Yield Curve 57 Concepts Presented in this CHAPTER 60 Questions 60 CHAPTER 3: Day Count Conventions and Accrued Interest 63 Day Count Conventions 63 Computing the Accrued Interest 74 Concepts Presented in this Chapter 76 Questions 76 CHAPTER 4: Valuation of Option-Free Bonds 77 General Principles of Valuation 77 Determining a Bond's Value 80 The Price/Discount Rate Relationship 84 Time Path of Bond 86 Valuing a Zero-Coupon Bond 90 Valuing a Bond Between Coupon Payments 90 Traditional Approach to Valuation 94 The Arbitrage-Free Valuation Approach 96 Concepts Presented in this Chapter 107 ...

List of contents

Preface.
 
About the Authors.
 
Chapter 1 Time Value of Money.
 
Future Value of a Single Cash Flow.
 
Present Value of a Single Cash Flow.
 
Compounding/Discounting When Interest Is Paid More Than Annually.
 
Future and Present Values of an Ordinary Annuity.
 
Yield (Internal Rate of Return).
 
Concepts Presented in this Chapter.
 
Appendix: Compounding and Discounting in Continuous Time.
 
Questions.
 
Chapter 2 Yield Curve Analysis: Spot Rates and Forward Rates.
 
A Bond Is a Package of Zero-Coupon Instruments.
 
Theoretical Spot Rates.
 
Forward Rates.
 
Dynamics of the Yield Curve.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 3 Day Count Conventions and Accrued Interest.
 
Day Count Conventions.
 
Computing the Accrued Interest.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 4 Valuation of Option-Free Bonds.
 
General Principles of Valuation.
 
Determining a Bond's Value.
 
The Price/Discount Rate Relationship.
 
Time Path of Bond.
 
Valuing a Zero-Coupon Bond.
 
Valuing a Bond Between Coupon Payments.
 
Traditional Approach to Valuation.
 
The Arbitrage-Free Valuation Approach.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 5 Yield Measures.
 
Sources of Return.
 
Traditional Yield Measures.
 
Yield to Call.
 
Yield to Put.
 
Yield to Worst.
 
Cash Flow Yield.
 
Portfolio Yield Measures.
 
Yield Measures for U.S. Treasury Bills.
 
Yield Spread Measures Relative to a Spot Rate Curve.
 
Concepts Presented in this Chapter.
 
Appendix: Mathematics of the Internal Rate of Return.
 
Questions.
 
Chapter 6 Analysis of Floating-Rate Securities.
 
General Features of Floaters.
 
Valuing a Risky Floater
 
Valuation of Floaters with Embedded Options.
 
Margin Measures.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 7 Valuation of Bonds with Embedded Options.
 
Overview of the Valuation of Bonds with Embedded Options.
 
Option-Adjusted Spread and Option Cost.
 
Lattice Model.
 
Binomial Model.
 
Illustration.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 8 Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities.
 
Cash Flow of Mortgage-Backed Securities.
 
Amortizing Asset-Backed Securities.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chatper 9 Valuation of Mortgage-Backed and Asset-Backed Securities.
 
Static Cash Flow Yield Analysis.
 
Monte Carlo Simulation/OAS.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 10 Analysis of Convertible Bonds.
 
General Characteristics of Convertible Bonds.
 
Tools for Analyzing Convertibles.
 
Call and Put Features.
 
Convertible Bond Arbitrage.
 
Other Types of Convertibles.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 11 Total Return.
 
Computing the Total Return.
 
OAS-Total Return.
 
Total Return to Maturity.
 
Total Return for a Mortgage-Backed Security.
 
Portfolio Total Return.
 
Total Return Analysis for Multiple Scenarios.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 12 Measuring

Product details

• Authors: Fabozzi, FJ Fabozzi, Frank Fabozzi, Frank J Fabozzi, Frank J. Fabozzi, Frank J. (School of Management Fabozzi, Frank J. Mann Fabozzi, FABOZZI FRANK J MANN STEVEN V, Fabozzi Frank J., Mann, Steven V Mann, Steven V. Mann, Steven V. Fabozzi Mann, Mann Steven V.
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 27.10.2010
• EAN: 9780470572139
• ISBN: 978-0-470-57213-9
• No. of pages: 496
• Series: Frank J. Fabozzi Series; Wiley Desktop Editions; Frank J. Fabozzi (Hardcover); Wiley Desktop Editions; Frank J. Fabozzi Series
• Subjects: Social sciences, law, business > Business > Business administration; Kapitalanlage, Finance & Investments, Finanz- u. Anlagewesen, Kapitalanlagen u. Wertpapiere, Investments & Securities