Yield Curve Analysis: The Fundamentals of Risk and Return
With their increasing complexity, the fixed-income markets have made greater demands upon their participants. To be successful -- in this era of heightened volatility, especially -- requires a firm foundation in the precepts underlying the behavior of fixed-income investments. This book answers that need by presenting a comprehensive analysis of the two primary concepts: risk and return. Its four major sections develop and apply these concepts clearly and progressively, with outline and summary aids to enhance understanding and ample illustrations to reinforce the explanations.
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Future values and the compounding process
47 other sections not shown
30-year bond 30-year U.S. Treasury accrued interest beta bid-offer spread Bond Index bond market bond portfolio bond risk bond yields calculated callable bonds change in yield Chapter compound interest convexity factors coupon bond coupon cash flows coupon issue coupon rate coupon return coupon U.S. Treasury current yield current-coupon discount bond discount rate dollar duration-weighted enhancement swap example GMAC holding period illustration impact interest rate interest rate environment investment horizon investor issue data issuer sector long maturity bond market portfolio market yield level maturity issues maturity sector modified duration noncallable premium bond price return price:yield priced to yield reinvestment rate reinvestment return relative risk measure risk:return scientific amortization sector swaps Shearson Lehman short maturity sinking fund sizable SLGC index standard deviation term to maturity Total return enhancement trade U.S. Treasury bond versus WACF yield change yield curve yield environment yield spread yield to maturity YTM rate zero-coupon bond