By Frank J. Fabozzi, Steven V. Mann(auth.)
Chapter 1 Time price of cash (pages 1–32):
Chapter 2 Yield Curve research: Spot premiums and ahead premiums (pages 33–61):
Chapter three Day count number Conventions and collected curiosity (pages 63–76):
Chapter four Valuation of Option?Free Bonds (pages 77–108):
Chapter five Yield Measures (pages 109–140):
Chapter 6 research of Floating fee Securities (pages 141–168):
Chapter 7 Valuation of Bonds with Embedded ideas (pages 163–198):
Chapter eight money stream for Mortgage?Backed Securities and Amortizing Asset?Backed Securities (pages 199–245):
Chapter nine Valuation of Mortgage?Backed and Asset?Backed Securities (pages 247–271):
Chapter 10 research of Convertible Bonds (pages 273–286):
Chapter eleven overall go back (pages 287–315):
Chapter 12 Measuring rate of interest chance (pages 317–372):
Chapter thirteen Value?at?Risk degree and Extensions (pages 373–386):
Chapter 14 research of Inflation?Protected Bonds (pages 387–397):
Chapter 15 The instruments of Relative price research (pages 399–415):
Chapter sixteen research of rate of interest Swaps (pages 417–449):
Chapter 17 Estimating Yield Volatility (pages 451–464):
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Additional resources for Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures, and Valuation, Second Edition
In practice, however, the observed yields for the on-the-run Treasury coupon issues are not usually used directly. 3 Accordingly, the par yield curve is the adjusted on-the-run Treasury yield curve where coupon issues are at par value and the coupon rate is therefore equal to the yield to maturity. The exception is for the 6-month and 1-year issues that are Treasury bills; the bond-equivalent yields for these two issues are already spot rates. Deriving a par curve from a set of eight points starting with the yield on the 6-month bill and ending the yield on the 30-year bond is not a trivial matter.
Assume the notional principal is $50 million, and that payments are exchanged every six months for the next ﬁve years. 5). 5. 5). 2 Let’s compute the present value of the ﬁxed rate payments made by party A. As we see in Chapter 2, every cash ﬂow should be discounted using its own interest rate. These interest rates are determined using Eurodollar futures contracts as described in Chapter 13. For now, we take the interest rates as given. 54 The present value of this interest rate swap’s ﬁxed rate payments using the appropriate semiannual interest rates is shown below:3 2 We see in Chapter 13 that the payments must be adjusted by the number of days in the payment period.
Therefore, the yield is 6%. Although the formula for the yield is based on annual cash ﬂows, the formula can be easily generalized to any number of periodic payments delivered during a year. 11) is now the yield for the period. If the cash ﬂows are delivered semiannually, the yield is a semiannual yield. If the cash ﬂows are delivered quarterly, the yield is a quarterly yield, and so forth. The annual rate is determined by multiplying the yield for the period by the number of periods per year (m).