Introduction to Fixed Income Analytics
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.
Introduction to Fixed Income Analytics skillfully covers the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations.
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.
It covers important analytical concepts used by portfolio managers.
Table of Contents
Yield Curve Analysis: Spot Rates and Forward Rates
Day Count Conventions and Accrued Interest
Yield Measures
Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities
Valuation of Mortgage-Backed and Asset-Backed Securities
Analysis of Floating-Rate Securities
Total Return
Measuring Interest Rate Risk
Analysis of Interest Rate Swaps
Estimating Yield Volatility