This comprehensive textbook on bonds takes a practical real-world approach focusing on the bond market and the tools for managing bond portfolios. It includes a detailed discussion of each type of bond and interest rate derivative. The text features comprehensive discussion of not only the instruments, but their investment characteristics, the state-of-the art technology for valuing them, and portfolio strategies for using them.
Features * Expanded coverage on asset-backed securities. * Cover commercial mortgage-backed securities; collateralized debt obligations; and credit derivatives. * Excerpts from weekly trade publications—As a component of end-of-chapter questions. * Latest analytical techniques for valuing complex bond structures * Discussion of interest rate derivative instruments. Portfolio strategies employing interest rate derivatives.
Contents * Introduction. * Pricing of Bonds. * Measuring Yield. * Bond Price Volatility. * Factors Affecting Bond Yields and the Term Structure of Interest Rates. * Treasury and Agency Securities Markets. * Corporate Debt Instruments. * Municipal Securities. * Non-U.S. Bonds. * Residential Mortgage Loans. * Mortgage Pass-Through Securities. * Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities. * Commercial Mortgage-Backed Securities. * Asset-Backed Securities. * Collateralized Debt Obligations. * Analysis of Bonds with Embedded Options. * Analysis of Residential Mortgage-Backed Securities. * Analysis of Convertible Bonds. * Active Bond Portfolio Management Strategies. * Indexing. * Liability Funding Strategies. * Bond Performance Measurement and Evaluation. * Interest-Rate Futures Contracts. * Interest-Rate Options. * Interest-Rate Swaps and Agreements. * Credit Derivatives. Index.