{"product_id":"introduction-to-fixed-income-analytics-isbn-9780470572139","title":"Introduction to Fixed Income Analytics","description":"\u003cp\u003eA comprehensive introduction to the key concepts of fixed income analytics\u003c\/p\u003e \u003cp\u003eThe \u003ci\u003eFirst Edition\u003c\/i\u003e of \u003ci\u003eIntroduction to Fixed Income Analytics\u003c\/i\u003e skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change.\u003c\/p\u003e \u003cp\u003eThat's why authors Frank Fabozzi and Steven Mann have returned with a fully updated \u003ci\u003eSecond Edition\u003c\/i\u003e. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities).\u003c\/p\u003e \u003cul\u003e \u003cli\u003eOffers insights into value-at-risk, relative value measures, convertible bond analysis, and much more\u003c\/li\u003e \u003cli\u003eIncludes updated charts and descriptions using Bloomberg screens\u003c\/li\u003e \u003cli\u003eCovers important analytical concepts used by portfolio managers\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eUnderstanding fixed-income analytics is essential in today's dynamic financial environment. The \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eIntroduction to Fixed Income Analytics\u003c\/i\u003e will help you build a solid foundation in this field.\u003c\/p\u003e \u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAbout the Authors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1: Time Value of Money 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFuture Value of a Single Cash Flow 1\u003c\/p\u003e \u003cp\u003ePresent Value of a Single Cash Flow 4\u003c\/p\u003e \u003cp\u003eCompounding\/Discounting When Interest Is Paid More Than Annually 8\u003c\/p\u003e \u003cp\u003eFuture and Present Values of an Ordinary Annuity 10\u003c\/p\u003e \u003cp\u003eYield (Internal Rate of Return) 20\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 26\u003c\/p\u003e \u003cp\u003eAppendix: Compounding and Discounting in Continuous Time 27\u003c\/p\u003e \u003cp\u003eQuestions 31\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2: Yield Curve Analysis: Spot Rates and Forward Rates 33\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Bond Is a Package of Zero-Coupon Instruments 33\u003c\/p\u003e \u003cp\u003eTheoretical Spot Rates 34\u003c\/p\u003e \u003cp\u003eForward Rates 44\u003c\/p\u003e \u003cp\u003eDynamics of the Yield Curve 57\u003c\/p\u003e \u003cp\u003eConcepts Presented in this CHAPTER 60\u003c\/p\u003e \u003cp\u003eQuestions 60\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3: Day Count Conventions and Accrued Interest 63\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDay Count Conventions 63\u003c\/p\u003e \u003cp\u003eComputing the Accrued Interest 74\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 76\u003c\/p\u003e \u003cp\u003eQuestions 76\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4: Valuation of Option-Free Bonds 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Principles of Valuation 77\u003c\/p\u003e \u003cp\u003eDetermining a Bond’s Value 80\u003c\/p\u003e \u003cp\u003eThe Price\/Discount Rate Relationship 84\u003c\/p\u003e \u003cp\u003eTime Path of Bond 86\u003c\/p\u003e \u003cp\u003eValuing a Zero-Coupon Bond 90\u003c\/p\u003e \u003cp\u003eValuing a Bond Between Coupon Payments 90\u003c\/p\u003e \u003cp\u003eTraditional Approach to Valuation 94\u003c\/p\u003e \u003cp\u003eThe Arbitrage-Free Valuation Approach 96\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 107\u003c\/p\u003e \u003cp\u003eQuestions 108\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5: Yield Measures 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSources of Return 109\u003c\/p\u003e \u003cp\u003eTraditional Yield Measures 113\u003c\/p\u003e \u003cp\u003eYield to Call 121\u003c\/p\u003e \u003cp\u003eYield to Put 123\u003c\/p\u003e \u003cp\u003eYield to Worst 123\u003c\/p\u003e \u003cp\u003eCash Flow Yield 124\u003c\/p\u003e \u003cp\u003ePortfolio Yield Measures 125\u003c\/p\u003e \u003cp\u003eYield Measures for U.S. Treasury Bills 128\u003c\/p\u003e \u003cp\u003eYield Spread Measures Relative to a Spot Rate Curve 134\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 137\u003c\/p\u003e \u003cp\u003eAppendix: Mathematics of the Internal Rate of Return 138\u003c\/p\u003e \u003cp\u003eQuestions 139\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6: Analysis of Floating Rate Securities 141\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Features of Floaters 141\u003c\/p\u003e \u003cp\u003eValuing a Risky Floater 150\u003c\/p\u003e \u003cp\u003eValuation of Floaters with Embedded Options 157\u003c\/p\u003e \u003cp\u003eMargin Measures 157\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 166\u003c\/p\u003e \u003cp\u003eQuestions 167\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7: Valuation of Bonds with Embedded Options 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOverview of the Valuation of Bonds with Embedded Options 169\u003c\/p\u003e \u003cp\u003eOption-Adjusted Spread and Option Cost 170\u003c\/p\u003e \u003cp\u003eLattice Model 172\u003c\/p\u003e \u003cp\u003eBinomial Model 175\u003c\/p\u003e \u003cp\u003eIllustration 196\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 198\u003c\/p\u003e \u003cp\u003eQuestions 198\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8: Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities 199\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCash Flow of Mortgage-Backed Securities 199\u003c\/p\u003e \u003cp\u003eAmortizing Asset-Backed Securities 238\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 242\u003c\/p\u003e \u003cp\u003eQuestions 244\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9: Valuation of Mortgage-Backed and Asset-Backed Securities 247\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStatic Cash Flow Yield Analysis 247\u003c\/p\u003e \u003cp\u003eMonte Carlo Simulation\/OAS 249\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 270\u003c\/p\u003e \u003cp\u003eQuestions 270\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10: Analysis of Convertible Bonds 273\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Characteristics of Convertible Bonds 273\u003c\/p\u003e \u003cp\u003eTools for Analyzing Convertibles 276\u003c\/p\u003e \u003cp\u003eCall and Put Features 278\u003c\/p\u003e \u003cp\u003eConvertible Bond Arbitrage 279\u003c\/p\u003e \u003cp\u003eOther Types of Convertibles 283\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 285\u003c\/p\u003e \u003cp\u003eQuestions 285\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11: Total Return 287\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eComputing the Total Return 287\u003c\/p\u003e \u003cp\u003eOAS-Total Return 290\u003c\/p\u003e \u003cp\u003eTotal Return to Maturity 291\u003c\/p\u003e \u003cp\u003eTotal Return for a Mortgage-Backed Security 299\u003c\/p\u003e \u003cp\u003ePortfolio Total Return 301\u003c\/p\u003e \u003cp\u003eTotal Return Analysis for Multiple Scenarios 301\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 314\u003c\/p\u003e \u003cp\u003eQuestions 314\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12: Measuring Interest Rate Risk 317\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Full Valuation Approach 317\u003c\/p\u003e \u003cp\u003ePrice Volatility Characteristics of Bonds 324\u003c\/p\u003e \u003cp\u003eDuration 334\u003c\/p\u003e \u003cp\u003eOther Duration Measures 350\u003c\/p\u003e \u003cp\u003eConvexity 360\u003c\/p\u003e \u003cp\u003ePrice Value of a Basis Point 365\u003c\/p\u003e \u003cp\u003eThe Importance of Yield Volatility 367\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 369\u003c\/p\u003e \u003cp\u003eQuestions 370\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 13: Value-at-Risk Measure and Extensions 373\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eValue-at-Risk 373\u003c\/p\u003e \u003cp\u003eConditional Value-at-Risk 384\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 385\u003c\/p\u003e \u003cp\u003eQuestions 386\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 14: Analysis of Inflation-Protected Bonds 387\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBreakeven Inflation rate 388\u003c\/p\u003e \u003cp\u003eValuation of TIPS 389\u003c\/p\u003e \u003cp\u003eMeasuring Interest Rate Risk 394\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 397\u003c\/p\u003e \u003cp\u003eQuestions 397\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 15: The Tools of Relative Value Analysis 399\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow Portfolio Managers Add Value 399\u003c\/p\u003e \u003cp\u003eYield Spreads over Swap and Treasury Curves 400\u003c\/p\u003e \u003cp\u003eAsset Swaps 403\u003c\/p\u003e \u003cp\u003eCredit Default Swaps 410\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 413\u003c\/p\u003e \u003cp\u003eQuestions 414\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 16: Analysis of Interest Rate Swaps 417\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDescription of an Interest Rate Swap 417\u003c\/p\u003e \u003cp\u003eInterpreting a Swap Position 419\u003c\/p\u003e \u003cp\u003eTerminology, Conventions, and Market Quotes 421\u003c\/p\u003e \u003cp\u003eValuing Interest Rate Swaps 424\u003c\/p\u003e \u003cp\u003ePrimary Determinants of Swap Spreads 440\u003c\/p\u003e \u003cp\u003eDollar Duration of a Swap 445\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 447\u003c\/p\u003e \u003cp\u003eQuestions 447\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 17: Estimating Yield Volatility 451\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHistorical Volatility 451\u003c\/p\u003e \u003cp\u003eImplied Volatility 455\u003c\/p\u003e \u003cp\u003eForecasting Yield Volatility 459\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 463\u003c\/p\u003e \u003cp\u003eQuestions 463\u003c\/p\u003e \u003cp\u003eIndex 465\u003c\/p\u003e   \u003cp\u003e\u003cb\u003eFRANK J. FABOZZI, P\u003csmall\u003eH\u003c\/small\u003eD, CFA, CPA,\u003c\/b\u003e is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the \u003ci\u003eJournal of Portfolio Management.\u003c\/i\u003e He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eSTEVEN V. MANN, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in finance journals and many books on fixed income and derivatives topics, including \u003ci\u003eThe Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance\u003c\/i\u003e (as a coeditor), and \u003ci\u003eThe Handbook of Fixed Income Securities\u003c\/i\u003e (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment\/commercial banks in the world as well as a number of Fortune 500 companies.      \u003c\/p\u003e\u003cp\u003eTo remain a competitive fixed income investor, both seasoned professionals and newcomers must stay up to date and knowledgeable about this continually evolving field. \u003c\/p\u003e\u003cp\u003eNobody understands this better than fixed income experts Frank Fabozzi and Steven Mann. And now, with the revised and updated \u003ci\u003eIntroduction to Fixed Income Analytics, Second Edition,\u003c\/i\u003e they provide complete coverage of the most important issues in this area. Following in the footsteps of the popular first edition, this reliable resource skillfully details the key analytical concepts used in the fixed income market and illustrates how they are computed. \u003c\/p\u003e\u003cp\u003eThis book addresses everything from the valuation of fixed income securities with embedded options to the features of structured products—such as mortgage-backed securities and asset-backed securities—while also offering insights on basic principles like the time value of money. Updated to reflect current market trends, \u003ci\u003eIntroduction to Fixed Income Analytics, Second Edition\u003c\/i\u003e will help practicing investment professionals invest wisely in this new era, as well as assist those aspiring to enter the field. Along the way, this practical guide: \u003c\/p\u003e\u003cul\u003e \u003cli\u003eOutlines approaches to bond valuation based on the discounted cash flow framework as well as relative value analysis\u003c\/li\u003e \u003cli\u003eTies in analytical concepts with what is available on the Bloomberg Terminal and walks you through relevant Bloomberg functions\u003c\/li\u003e \u003cli\u003eExplains a superior metric for quantifying a portfolio's risk exposure: conditional value-at-risk (VaR)\u003c\/li\u003e \u003cli\u003eDescribes the various issues associated with interest rate swaps—from counterparties and risk-return profile to economic interpretation—and illustrates how to value them\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eEach chapter includes end-of-chapter questions so readers can test their knowledge of the concepts discussed as well as refine any computational skills needed to succeed. \u003c\/p\u003e\u003cp\u003eUnderstanding fixed income analytics is essential in today's dynamic financial environment. The \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eIntroduction to Fixed Income Analytics\u003c\/i\u003e will help you build a solid foundation in this field.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989460041957,"sku":"NP9780470572139","price":105.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470572139.jpg?v=1761784186","url":"https:\/\/k12savings.com\/es\/products\/introduction-to-fixed-income-analytics-isbn-9780470572139","provider":"K12savings","version":"1.0","type":"link"}