Build or brush up on the foundation you need to be a sophisticated fixed income professional with this proven book
Fixed Income Securities: Tools for Today’s Markets has been a valued resource for practitioners and students for over 25 years. Clearly written, and drawing on a myriad of real market examples, it presents an overview of fixed income markets; explains the conceptual frameworks and quantitative tool kits used in the industry for pricing and hedging; and examines a wide range of fixed income instruments and markets, including: government bonds; interest rate swaps; repurchase agreements; interest rate futures; note and bond futures; bond options and swaptions; corporate bonds; credit default swaps; and mortgages and mortgage-backed securities.
Appearing a decade after its predecessor, this long-awaited Fourth Edition is comprehensively revised with:
- An up-to-date overview, including monetary policy with abundant reserves and the increasing electronification of market
- All new examples, applications, and case studies, including lessons from market upheavals through the pandemic
- New material on fixed income asset management
- The global transition from LIBOR to SOFR and other rates
Table of Contents
Preface ix
List of Acronyms xi
Chapter 0 Overview 1
Chapter 1 Prices, Discount Factors, and Arbitrage 49
Chapter 2 Swap, Spot, and Forward Rates 65
Chapter 3 Returns, Yields, Spreads, and P&L Attribution 79
Chapter 4 DV01, Duration, and Convexity 103
Chapter 5 Key-Rate, Partial, and Forward-Bucket ‘01s and Durations 135
Chapter 6 Regression Hedging and Principal Component Analysis 153
Chapter 7 Arbitrage Pricing with Term Structure Models 177
Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 197
Chapter 9 The Vasicek and Gauss+ Models 205
Chapter 10 Repurchase Agreements and Financing 223
Chapter 11 Note and Bond Futures 249
Chapter 12 Short-Term Rates and Their Derivatives 289
Chapter 13 Interest Rate Swaps 319
Chapter 14 Corporate Debt and Credit Default Swaps 347
Chapter 15 Mortgages and Mortgage-Backed Securities 395
Chapter 16 Fixed Income Options 433
Appendix to Chapter 1 Prices, Discount Factors, and Arbitrage 453
Appendix to Chapter 2 Swap, Spot, and Forward Rates 457
Appendix to Chapter 3 Returns, Yields, Spreads, and P&L Attribution 463
Appendix to Chapter 4 DV01, Duration, and Convexity 467
Appendix to Chapter 6 Regression Hedging and Principal Component Analysis 469
Appendix to Chapter 8 Expectations, Risk Premium, Convexity and the Shape of the Term Structure 477
Appendix to Chapter 9 The Vasicek and Gauss+ Models 479
Appendix to Chapter 11 Note and Bond Futures 491
Appendix to Chapter 12 Short-Term Rates and Their Derivatives 497
Appendix to Chapter 13 Interest Rate Swaps 501
Appendix to Chapter 14 Corporate Debt and Credit Default Swaps 505
Appendix to Chapter 15 Mortgages and Mortgage-Backed Securities 509
Appendix to Chapter 16 Fixed Income Options 513
About the Website 527
Index 529
