Introduction to Fixed Income Analytics, 2nd Edition

Book Description

Introduction to Fixed Income Analytics: Relative Value Analysis, Measures and Valuation (Frank J. Fabozzi)

A comprehensive introduction to the key concepts of fixed income analytics

The First Edition of Introduction to Fixed Income Analytics skillfully covered the of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the have experienced cathartic change.

That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and on instruments like TIPS (treasury inflation protected securities).

  • Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more
  • Includes updated charts and descriptions using Bloomberg screens
  • Covers important analytical concepts used by portfolio managers

Understanding fixed-income analytics is essential in today's environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Table of Contents

Chapter 1 Time Value of Money.
Chapter 2 Yield Curve Analysis: Spot Rates and Forward Rates.
Chapter 3 Day Count Conventions and Accrued Interest.
Chapter 4 Valuation of Option-Free Bonds.
Chapter 5 Yield Measures.
Chapter 6 Analysis of Floating-Rate Securities.
Chapter 7 Valuation of Bonds with Embedded Options.
Chapter 8 Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities.
Chatper 9 Valuation of Mortgage-Backed and Asset-Backed Securities.
Chapter 10 Analysis of Convertible Bonds.
Chapter 11 Total Return.
Chapter 12 Measuring Interest Rate Risk.
Chapter 13 Value-at-Risk Measure and Extensions.
Chatper 14 Analysis of Inflation-Protected Bonds.
Chapter 15 The Tools of Relative Value Analysis.
Chapter 16 Analysis of Interest Rate Swaps.
Chapter 17 Estimating Yield Volatility.

Book Details

  • Title: Introduction to Fixed Income Analytics, 2nd Edition
  • Author: ,
  • Length: 479 pages
  • Edition: 2
  • Language: English
  • Publisher:
  • Publication Date: 2010-10-12
  • ISBN-10: 0470572132
  • ISBN-13: 9780470572139
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