Prices, Discount Factors, and Arbitrage -- Swap, Spot, and Forward Rates -- Returns, Yields, Spreads, and P&L Attribution -- DV01, Duration, and Convexity -- Key-Rate-, Partial-, and Forward-Bucket '01s and Durations -- Regression Hedging and Principal Component Analysis -- Arbitrage Pricing with Term Structure Models -- Expectations, Risk Premium, Convexity, and the Shape of the Term Structure -- The Vasicek and Gauss Models -- Repurchase Agreements and Financing -- Note and Bond Futures -- Short-Term Rates and Their Derivatives -- Interest Rate Swaps -- Corporate Debt and Credit Default Swaps -- Mortgages and Mortgage-Backed Securities -- Fixed Income Options. |