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| Dr Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Department of Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute. |
| Foreword Preface About the author Foreword Preface About the author 1 INTRODUCTION TO BONDS Description Outline of market participants Bond analysis Financial arithmetic: The time value of money Present value and discounting Discount factors Bond pricing and yield: The traditional approach Bond pricing Bond yield Accrued interest Clean and dirty bond prices Day-count conventions Illustrating bond yield using Excel spreadsheets Bibliography 2 THE YIELD CURVE, AND SPOT AND FORWARD YIELDS The yield curve Yield-to-maturity yield curve The par yield curve The zero-coupon (or spot) yield curve The forward yield curve Theories of the yield curve Spot rates Discount factors and the discount function Implied spot and forward rates Understanding forward rates The term structure of interest rates Bibliography 3 BOND INSTRUMENTS AND INTEREST-RATE RISK Duration, modified duration and convexity Duration Properties of Macaulay duration Modified duration Convexity Bibliography 4 REVIEW OF FLOATING-RATE NOTE BOND INSTRUMENTS 5 THE MONEY MARKETS 6 THE EUROBOND MARKET 7 CONVERTIBLE BONDS, MTNs AND WARRANTS 8 CREDIT RATINGS 9 INFLATION-LINKED BONDS 10 AN INTRODUCTION TO SECURITISED BONDS 11 INTRODUCTION TO DERIVATIVE INSTRUMENTS 12 INTRODUCTION TO CREDIT DERIVATIVES 13 APPROACHES TO GOVERNMENT BOND TRADING AND YIELD ANALYSIS 14 RISK MANAGEMENT Bibliography Glossary List of abbreviations Index |
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