Bond math : the theory behind the formulas / Donald J. Smith.

Format:

Book

Author/Creator:

Smith, Donald J., 1947- author.

Series:

Wiley finance series.

Wiley Finance Series

Language:

English

Subjects (All):

Bonds--Mathematical models.

Bonds.

Interest rates--Mathematical models.

Interest rates.

Zero coupon securities.

Physical Description:

1 online resource (307 p.)

Edition:

Second edition.

Place of Publication:

Hoboken, New Jersey : Wiley, 2014.

Summary:

A bond calculation quick reference, complete with context and application insights Bond Math is a quick and easy resource that puts the intricacies of bond calculations into a clear and logical order. This simple, readable guide provides a handy reference, teaching the reader how to think about the essentials of bond math. Much more than just a book of formulas, the emphasis is on how to think about bonds and the associated math, with plenty of examples, anecdotes, and thought-provoking insights that sometimes run counter to conventional wisdom. This updated second edition includes popular Blo

Contents:

Bond Math; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Money Market Interest Rates; Interest Rates in Textbook Theory; Money Market Add-On Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; Add-On Rate, Actual/360; Add-On Rate, Actual/365; Add-On Rate, 30/360; Add-On Rate, Actual/370; Discount Rate, Actual/360; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS

Yields to Maturity on Zero-Coupon BondsHorizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields; Credit Spreads and the Implied Probability of Default; Conclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds

A Real Market Discount Corporate BondPremium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion; CHAPTER 5 Yield Curves; An Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Discount Factors; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity

Bloomberg Yield Duration and ConvexityCurve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers; Floating-Rate Notes in General; A Simple Floater Valuation Model; A Somewhat More Complex Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration; Collateralized Swaps; Traditional LIBOR Discounting; OIS Discounting

The LIBOR Forward Curve for OIS DiscountingConclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies; Acting on a Rate View; An Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; About the Companion Website; Index; EULA

Notes:

Includes index.

Description based on print version record.

ISBN:

1-118-86629-0

OCLC:

897775716