Fixed Income MathematicsThe standard reference for fixed income portfolio managers Despite their conservative nature, fixed income instruments are among the investment industry's most complex and potentially risky investments. Fixed Income Mathematics is recognized worldwide as the essential professional reference for understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments. This fully revised and updated fourth edition features all-new illustrations of the future and present value of money, with appendices on continuous compounding and new sections and chapters addressing risk measures, cash flow characteristics of credit-sensitive mortgage-backed and asset-backed securities, and more. |
From inside the book
Results 1-3 of 70
Page 301
... Cash Flow and Servicing Fee For an investor who owns a mortgage , the scheduled cash flow is the monthly mortgage payment . A mortgage , however ... Cash Flow for a Mortgage with Servicing Fee Cash Flow Characteristics of Mortgages 301.
... Cash Flow and Servicing Fee For an investor who owns a mortgage , the scheduled cash flow is the monthly mortgage payment . A mortgage , however ... Cash Flow for a Mortgage with Servicing Fee Cash Flow Characteristics of Mortgages 301.
Page 312
... cash flow must be determined . For a mortgage pass- through security , the cash flow depends on the cash flow of the underlying pool of mortgages . The cash flow of a mortgage consists of monthly mortgage payments representing interest ...
... cash flow must be determined . For a mortgage pass- through security , the cash flow depends on the cash flow of the underlying pool of mortgages . The cash flow of a mortgage consists of monthly mortgage payments representing interest ...
Page 364
... cash flow yield , assuming 100 % PSA , is 10.21 % ( see Illustration 16-1 ) . The portfolio manager has a six- month investment horizon and believes the following ... cash flow Projected cash flow plus 364 Bonds with Embedded Call Options.
... cash flow yield , assuming 100 % PSA , is 10.21 % ( see Illustration 16-1 ) . The portfolio manager has a six- month investment horizon and believes the following ... cash flow Projected cash flow plus 364 Bonds with Embedded Call Options.
Other editions - View all
Fixed Income Mathematics: Analytical & Statistical Techniques Frank J. Fabozzi No preview available - 1997 |
Common terms and phrases
annual interest rate assuming basis points bond price volatility bond's CALIFORNIA/SANTA CRUZ call option price call-adjusted duration callable bond change in price computed convexity coupon bond selling coupon interest payments coupon rate delta dollar duration dollar price change financial instrument formula future value horizon return Illustration interest on interest interest rate volatility interest-on-interest component investment horizon investor issuer Macaulay duration market yield maturity value modified duration monthly mortgage payment mortgage balance mortgage pass-through security noncallable bond number of days Number of periods option pricing model option-free bond ordinary annuity par value percentage price change Periodic interest rate portfolio manager prepayment rate present value price value price/yield relationship projected cash flow put option reinvestment rate required yield six months strike price tangent line Taylor series total dollar return total future amount underlying bond UNIVERSITY OF CALIFORNIA/SANTA yield changes yield curve yield to call yield to maturity zero-coupon bond