Description of An Introduction to Fixed Income Securities
An Introduction to Fixed Income Securities provides a comprehensive, authoritative description of fixed income or bond instruments.
The contents describe and define bonds within the context of the capital markets as a whole, as well as the different types of bonds that are traded.
There is also a look at the analytical techniques used in the market by traders and fund managers.
Topics include:
- Bond yield measurement
- Interest rate risk
- Variations such as floating-rate notes and callable bonds
- Derivatives
This book is aimed at beginners in the markets as well as students including postgraduates and those studying for professional exams.
Contents of An Introduction to Fixed Income Securities
1. Introduction
2. A Primer on Bond Basics
2.1 Description
2.1.1 Type of issuer
2.1.2 Term to maturity
2.1.3 Principal and coupon rate
2.1.4 Currency
2.2 Bond issuers
2.2.1 Issuers and participants
2.2.2 Capital market participants
2.3 World bond markets
2.4 Non-conventional bonds
2.5 Pricing a conventional bond
2.5.1 Bond cash flows
2.5.2 The discount rate
2.5.3 Bond pricing
2.5.4 Pricing undated bonds
2.5.5 Bond price quotations
2.6 Clean and dirty bond prices
2.6.1 Accrued interest
2.6.2 Accrual day count conventions
2.7 Market yield
2.7.1 Yield measurement
2.7.2 Current yield
2.7.3 Yield to maturity
2.7.4 Using the redemption yield calculation
2.8 Bond pricing and yield
2.9 The price/yield relationship
2.9.1 Coupon, yield and price relationship
2.10 Duration, modified duration and convexity
2.10.1 Duration
2.10.2 Properties of Macaulay duration
2.10.3 Modified duration
2.10.4 Convexity
3. Bond Futures
3.1 Introduction
3.1.1 Contract specifications
3.2 Futures pricing
3.2.1 Theoretical principle
3.2.2 Arbitrage-free futures pricing
3.3 Hedging using bond futures
3.3.1 Introduction
3.3.2 Hedging a bond portfolio
3.5.4 The margin process
Appendix 3.1 The conversion factor for the long gilt future
4. Interest-Rate Swaps
4.1 Interest rate swaps
4.1.1 Introduction
4.1.2 Market terminology
4.1.3 Swap spreads and the swap yield curve
4.2 Generic swap valuation
46.2.1 Generic swap pricing
4.2.2 Zero-coupon swap pricing
4.2.3 Calculating the forward rate from the spot rate
discount factors
4.2.4 Illustrating the principles for an interest rate swap
4.2.5 Valuation using final maturity discount factor
4.2.6 Summary of IR swap
4.3 Non-vanilla interest rate swaps
4.4 Currency swaps
4.4.1 Valuation of currency swaps
4.6 An overview of interest rate swap applications
4.6.1 Corporate applications
4.6.2 Hedging bond instruments using interest rate swaps
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