By Bruce Tuckman
From the again Cover
Praise for fastened source of revenue Securities, moment Edition
"What distinguishes this booklet from many others at the topic is that Tuckman has skillfully mixed intuitive purpose with mathematical research to provide readers a transparent and deep figuring out of the industry. Tuckman has written a accomplished reference e-book that are supposed to be chanced on at the desks of either professional practitioners and rookies alike."
-Gerald Lucas, Senior govt Strategist
Director, worldwide Securities examine, Merrill Lynch
"This notable publication deals a well-written and transparent educational for lots of of the state of the art analytical suggestions and versions utilized in perform. Combines a wealth of institutional wisdom, useful instruments, and life like examples, whereas giving a transparent knowing of the underlying theory."
-Francis Longstaff, Professor of Finance
The Anderson tuition at UCLA
"An first-class reference for an individual meaning to bridge the space among monetary arithmetic idea and the perform of economic markets."
-Marek Musiela, BNP Paribas
"This is an exceptionally readable publication with a stability among technical element and functional software. not like different books within the quarter, thorough and tightly knit chapters mirror Tuckman's distinctive historical past as a well-respected educational and industry participant."
-Tony D. Kao, handling Director, worldwide mounted Income
GM Asset Management
About the Author
BRUCE TUCKMAN, PhD, is a dealing with Director within the mounted source of revenue and Derivatives department of credits Suisse First Boston. After receiving his doctorate in economics from MIT, he turned a professor of finance at ny University's Stern university of commercial and a traveling professor at UCLA's Anderson Graduate university of administration. He begun his Wall road profession at Salomon Brothers' mounted source of revenue Proprietary buying and selling team.
Read or Download Fixed Income Securities: Tools for Today's Markets (2nd Edition) PDF
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Extra resources for Fixed Income Securities: Tools for Today's Markets (2nd Edition)
CHAPTER 2 Bond Prices, Spot Rates, and Forward Rates hile discount factors can be used to describe bond prices, investors often ﬁnd it more intuitive to quantify the time value of money with rates of interest. This chapter deﬁnes spot and forward rates, shows how they can be derived from bond prices, and explains why they are useful to investors. W SEMIANNUAL COMPOUNDING An investment of $100 at an annual rate of 5% earns $5 over the year, but when is the $5 paid? 50 is paid at the end of the year.
When does investor A, the investor who rolls over six-month investments, do better than B, the bond investor? 008% through August 15, 2003. 008%. 008%, but still winds up behind investor A. When does investor B do better than investor A? 75% and stayed there through August 15, 2003. 75%. In general, investors who roll over short-term investments do better than investors in longer-term bonds when the realized short-term rates exceed the forward rates built into bond prices. Investors in bonds do better when the realized short-term rates fall below these forward rates.
The rate rˆ (t) may be thought of as the semiannually compounded return from investing in a zero coupon bond that matures t years from now. 779 on February 15, 2001. 385%. 10) says that d(t) equals the value of one unit of currency discounted for t years at the semiannually compounded rate rˆ (t). 2. 886% at a maturity of two years, and then increase slowly. The relationship between spot rates and maturity, or term, is called the term structure of spot rates. 1, the term structure is said to be downward-sloping or inverted.