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Floating-Rate Securities

Author
Frank Fabozzi
Type
Book
Link
amazon.com
Cost
Paid
Published
2000
Updated
2008

Floating-Rate Securities is the only complete resource on floaters that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.

Floating-Rate Securities covers:

  1. Features and Investment Characteristics of Floaters.
  2. The Choice of a Floater's Reference Rate.
  3. Introduction to the Valuation of Floaters.
  4. Valuing Floaters with Embedded Options.
  5. Spread Measures and Spread Duration.
  6. Relative Value Analysis Using the Interest Rate Swap Market.
  7. Adjustable-Rate Mortgage Passthrough Securities.
  8. CMO Floaters.
  9. ABS Floaters.
  10. Analysis of MBS and ABS Floaters.
  11. Inverse Floaters.

Warnings and Disclaimers

The information contained herein is obtained from sources believed to be reliable, but its accuracy cannot be guaranteed. It is not designed to meet your personal financial situation - we are not investment advisors nor do we give personalized investment advice. The opinions expressed herein are those of the publisher and are subject to change without notice. It may become outdated an there is no obligation to update any such information.

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