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ANALYSIS OF FIXED INCOME INVESTMENTS l
VALUING BONDS WITH EMBEDDED OPTIONS
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amortization amount analysis asset-backed securities assets assumed average basis points binomial interest rate bond classes borrower call option callable bond capital CFA Institute collateral common stock computed convertible bond corporate bond cost coupon rate credit enhancement credit risk debt default dividend effective duration embedded option Exhibit factors floater forward rates funds future income interest rate paths interest rate tree interest rate volatility inverse floater investment investor issue issuer LIBOR maturity measure million month mortgage loans mortgage rate mortgage-backed securities node nominal spread on-the-run operating cash flow option-adjusted spread option-free bond PAC tranche paid passthrough securities period pool premium prepayment rate prepayment risk principal payments put option rating agencies ratio referred sector securitization senior tranche specified spot rate spot rate curve straight value structure support tranches swap transaction Treasury securities underlying valuation model yield curve yield volatility zero-coupon