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Contents Preface Introduction 1 What is a Bond and Who Issues them? 1.1 Description of a bond 1.1.1 The issuer 1.1.2 Size and currency 1.1.3 Type 1.1. Coupon payments and frequency 1.1.5 Redemption amount and maturity dates 1.1.6 Embedded options 1.1.7 Guarantee 1.1.8 Where quoted and traded 1.2 The difference between corporate bonds and equities 2 Types of Bonds and Other Instruments 2.1 Fixed-rate bonds 2.1.1 Straight coupon bonds 2.1.2 Zero-coupon bonds 2.1.3 Undated or irredeemable bonds 2.1. Strippable bond and strips 2.1.5 Bonds with sinking funds 2.1.6 Step-up or graduated-rate bonds 2.1.7 Annuities 2.2 Floating-rate notes 2.2.1 Undated or perpetual floating-rate notes 2.3 Index-linked bonds 2. Hybrid bonds 2.5 Other instrument types 2.5.1 Treasury bills 2.5.2 Certificates of deposit 2.5.3 Commercial paper 2.5. Medium-term notes 2.5.5 Preference shares 2.5.6 Permanent interest bearing shares 3 How Do You Price and Value a Bond? 3.1 Compound interest 3.2 Discounting and yield considerations 3.3 Accrued interest 3.4 How bonds are quoted 3.5 Bond pricing 3.6 Yields and related measures 3.6.1 Current yield 3.6.2 Simple yield to maturity 3.6.3 Redemption yield 3.6.4 Life and duration 3.6.5 Modified duration 3.6.6 Convexity 3.6.7 Dispersion 3.7 Floating-rate notes 3.7.1 Simple margin (FRN) 3.7.2 Discounted margin (FRN) 3.8 Real redemption yield 3.9 Money market yields and discounts 4 Bond Options and Variants 4.1 Callable bonds 4.2 Putable bonds 4.3 Convertible bonds 4.4 Dual currency bonds 4.5 Mortgage-backed securities 4.6 Collateralized debt obligations 4.7 Bonds with conditional coupon changes 4.8 Reverse floaters 4.9 Bonds with warrant attached 5 Yield Curves 5.1 Yield curve shapes 5.2 Zero-coupon or spot yield curves 5.3 Forward or forward-forward yield curves 5.4 Par yield curves 5.5 Investment strategies for possible yield curves changes 6 Repos 6.1 Classic repos 6.2 Sell/buy-backs 6.3 Stock borrowing/lending 7 Option Calculations 7.1 Buying a call option 7.2 Writing a call option 7.3 Buying a put option 7.4 Writing a put option 7.5 Theoretical value of an option 7.6 Combining options 8 Credit and Other Risks and Ratings 8.1 Credit risk 8.1.1 Covenants 8.1.2 Ratings 8.2 Liquidity 9 Swaps, Futures and Derivatives 9.1 Swaps 9.1.1 Interest rate swap 9.1.2 Asset swap 9.1.3 Cross-currency swap 9.1.4 Basis swap 9.1.5 Forward rate agreement 9.2 Credit risk in swaps 9.3 Swaptions 9.4 Futures 9.5 Credit default swaps 10 Portfolios and Other Considerations 10.1 Holding period returns 10.2 Immunization 10.3 Portfolio measures 10.4 Allowing for tax 11 Indices 11.1 Bond index classification 11.2 Choosing indices 11.3 Index data calculations 11.4 Index continuity 11.4.1 Large changes in the constituents of the index 11.4.2 Gaps in sub-index calculations 11.4.3 Bonds dropped due to lack of prices 11.4.4 Ratings downgrade Appendix A: Using the CD-ROM Appendix B: Mathematical Formulae A.1 Accrued interest A.2 Current yield A.3 Simple yield to maturity A.4 Redemption yield A.5 Duration A.6 Modified duration A.7 Convexity A.8 Dispersion A.9 Annuities A.10 Simple margin A.11 Discounted margin A.12 Real redemption yield A.13 Convertible calculation A.14 Discount A.15 Money market yield A.16 Certificate of deposit yield A.17 Warrant calculation A.18 Compounding frequency adjustments A.19 Portfolio yield A.20 Portfolio Macaulay duration A.21 Portfolio modified duration Appendix C: Bond Market Glossary References Index
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