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Bond and Mortgages
Duration and Changes in Prices and Yields to Maturity
Investment Accumulation and Duration
11 other sections not shown
6-month periods adjustment amortized value annual realized rate Appendix approximation asset portfolio assumed basis points Bierwag bond price calculated callable bonds cash flows Chapter computed contingent immunization contract coupon bias coupon income coupon payment coupon rate decrease derived discount bonds discount factor discount function Downward sloping term duration gaps duration window equation error estimated example face value Figure Fisher-Weil formula forward rates futures market GAPN/A given hedging illustrated immunization strategy implies income stream increase interest rate changes interest rate risk investment fund investor Kaufman Macaulay Macaulay duration monthly payment months mortgage noted occur percentage change percentage price change portfolio duration premium bonds present value promised random variables rate of interest rate of return realized return Redington regression reinvestment securities shift shock shows sloping term structure specified stochastic process Table tion Toevs trigger yield U.S. Treasury weights worth yield changes yield to maturity zero coupon bond