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Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook
| Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook |
| Autore | Subramani R. Venkata |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (743 p.) |
| Disciplina |
332.63/2044
332.632044 657.8333 |
| Soggetto topico |
Fixed-income securities
Portfolio management |
| ISBN |
1-119-19946-8
1-283-20358-8 9786613203588 0-470-82904-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Accounting for Investments; Contents; Foreword; Introduction; Preface; Acknowledgments; Chapter 1: Fixed Income Securities-Theory; Learning Objectives; Fixed Income Securities in General; Basics of the Bond Market; Types of issues and special characteristics; Bond coupon; Bond maturity; Bond pricing; Yield measures; Duration; Corporate bonds; Municipal bonds; Zero coupon bonds; Risks of investment in bonds; Definition of Financial Instruments; Financial asset; Financial liability; Equity instrument; Derivative; Categories of Financial Instruments-An Overview; Amendment made through IFRS 9
US GAAP proposals Fair value through profit or loss (FVPL); Available-for-sale; Held-to-Maturity (HTM); Questions; Theory questions; Chapter 2: Fixed Income Securities-Fair Value through Profit or Loss; Learning Objectives; Meaning and Definition of Fixed Income Securities; Classification of Debt Securities as ""Fair Value through Profit or Loss""; Fair value concept; Financial assets and financial liabilities held for trading; Fixed income security as a hedged item; Accounting for Fixed Income Securities; Trade Life Cycle for Fixed Income Securities-Fair Value through Profit or Loss Additional events in the trade life cycle Buy the bond; Accrued interest purchased; Pay the contracted amount for the bond; Corporate Action; Coupon accrual; Reversal of accrued interest purchased; Coupon receipt; On accounting for interest based on amortization; Accrual of interest on valuation date; Valuation of bond on valuation date; Reversal of interest accrued; On selling the bond (liquidation); Interest on bonds sold; Receive the consideration; Ascertain the profit/loss on the sale; FX revaluation process; FX translation process; Additional Events in the Trade Life Cycle Early redemption Maturity; Write off; Complete Solution to the Illustration; FX Revaluation and FX Translation Process; Functional currency, foreign currency and presentation currency; Primary economic environment; Primary factors; Additional factors; Additional factors for a foreign operation; Foreign currency transaction; Initial recognition; Monetary and non-monetary items; Carrying amount-non-monetary assets; Exchange differences on monetary items; Exchange differences on non-monetary items; FX revaluation process; FX translation process; FX revaluation entries; FX translation entries Consummated FX translation entry Transient FX translation entries; Distinction between Capital Gain and Currency Gain; Illustration 1: Investment in Bonds held for Trading Purposes; Bond-trading-Problem 1-USD; Solution to Illustration 1: Investment in Bonds held for Trading Purposes; Problem 1: Investment in Bonds (Trading) in Foreign Currency (AUD); Accounting Entries in Functional Currency; Summary; Questions; Theory questions; Objective questions; Journal questions; 1. Bond-trading-problem-USD; 2. Bond-trading-problem-GBP; 3. Bond-trading-problem-JPY Chapter 3: Fixed Income Securities-Available-for-Sale |
| Record Nr. | UNINA-9910139630303321 |
Subramani R. Venkata
|
||
| Chichester, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook
| Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook |
| Autore | Subramani R. Venkata |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (743 p.) |
| Disciplina |
332.63/2044
332.632044 657.8333 |
| Soggetto topico |
Fixed-income securities
Portfolio management |
| ISBN |
1-119-19946-8
1-283-20358-8 9786613203588 0-470-82904-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Accounting for Investments; Contents; Foreword; Introduction; Preface; Acknowledgments; Chapter 1: Fixed Income Securities-Theory; Learning Objectives; Fixed Income Securities in General; Basics of the Bond Market; Types of issues and special characteristics; Bond coupon; Bond maturity; Bond pricing; Yield measures; Duration; Corporate bonds; Municipal bonds; Zero coupon bonds; Risks of investment in bonds; Definition of Financial Instruments; Financial asset; Financial liability; Equity instrument; Derivative; Categories of Financial Instruments-An Overview; Amendment made through IFRS 9
US GAAP proposals Fair value through profit or loss (FVPL); Available-for-sale; Held-to-Maturity (HTM); Questions; Theory questions; Chapter 2: Fixed Income Securities-Fair Value through Profit or Loss; Learning Objectives; Meaning and Definition of Fixed Income Securities; Classification of Debt Securities as ""Fair Value through Profit or Loss""; Fair value concept; Financial assets and financial liabilities held for trading; Fixed income security as a hedged item; Accounting for Fixed Income Securities; Trade Life Cycle for Fixed Income Securities-Fair Value through Profit or Loss Additional events in the trade life cycle Buy the bond; Accrued interest purchased; Pay the contracted amount for the bond; Corporate Action; Coupon accrual; Reversal of accrued interest purchased; Coupon receipt; On accounting for interest based on amortization; Accrual of interest on valuation date; Valuation of bond on valuation date; Reversal of interest accrued; On selling the bond (liquidation); Interest on bonds sold; Receive the consideration; Ascertain the profit/loss on the sale; FX revaluation process; FX translation process; Additional Events in the Trade Life Cycle Early redemption Maturity; Write off; Complete Solution to the Illustration; FX Revaluation and FX Translation Process; Functional currency, foreign currency and presentation currency; Primary economic environment; Primary factors; Additional factors; Additional factors for a foreign operation; Foreign currency transaction; Initial recognition; Monetary and non-monetary items; Carrying amount-non-monetary assets; Exchange differences on monetary items; Exchange differences on non-monetary items; FX revaluation process; FX translation process; FX revaluation entries; FX translation entries Consummated FX translation entry Transient FX translation entries; Distinction between Capital Gain and Currency Gain; Illustration 1: Investment in Bonds held for Trading Purposes; Bond-trading-Problem 1-USD; Solution to Illustration 1: Investment in Bonds held for Trading Purposes; Problem 1: Investment in Bonds (Trading) in Foreign Currency (AUD); Accounting Entries in Functional Currency; Summary; Questions; Theory questions; Objective questions; Journal questions; 1. Bond-trading-problem-USD; 2. Bond-trading-problem-GBP; 3. Bond-trading-problem-JPY Chapter 3: Fixed Income Securities-Available-for-Sale |
| Record Nr. | UNINA-9910818326503321 |
|
Subramani R. Venkata
|
||
| Chichester, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The advanced fixed income and derivatives management guide / / Saied Simozar
| The advanced fixed income and derivatives management guide / / Saied Simozar |
| Autore | Simozar Saied <1954-> |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (365 p.) |
| Disciplina | 332.63/2044 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Fixed-income securities
Derivative securities Portfoliio management |
| ISBN |
1-119-01417-4
1-119-01415-8 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; List of Tables; List of Figures; Abbreviations; Notation; Preface; Acknowledgement; Foreword; About the Author; Introduction; Chapter 1 Review of Market Analytics ; 1.1 Bond Valuation; 1.2 Simple Bond Analytics; 1.3 Portfolio Analytics; 1.4 Key Rate Durations; Chapter 2 Term Structure of Rates; 2.1 Linear and Non-linear Space; 2.2 Basis Functions; 2.3 Decay Coefficient; 2.4 Forward Rates; 2.5 Par Curve; 2.6 Application to the US Yield Curve; 2.7 Historical Yield Curve Components; 2.8 Significance of the Term Structure Components
2.9 Estimating the Value of Decay CoefficientChapter 3 Comparison of Basis Functions; 3.1 Polynomial Basis Functions; 3.2 Exponential Basis Functions; 3.3 Orthogonal Basis Functions; 3.4 Key Basis Functions; 3.5 Transformation of Basis Functions; 3.6 Comparison with the Principal Components Analysis; 3.7 Mean Reversion; 3.8 Historical Tables of Basis Functions; Chapter 4 Risk Measurement; 4.1 Interest Rate Risks; 4.2 Zero Coupon Bonds Examples; 4.3 Eurodollar Futures Contracts Examples; 4.4 Conventional Duration of a Portfolio; 4.5 Risks and Basis Functions 4.6 Application to Key Rate Duration4.7 Risk Measurement of a Treasury Index; Chapter 5 Performance Attribution; 5.1 Curve Performance; 5.2 Yield Performance; 5.3 Security Performance; 5.4 Portfolio Performance; 5.5 Aggregation of Contribution to Performance; Chapter 6 Libor and Swaps; 6.1 Term Structure of Libor; 6.2 Adjustment Table for Rates; 6.3 Risk Measurement and Performance Attribution of Swaps; 6.4 Floating Libor Valuation and Risks; 6.5 Repo and Financing Rate; 6.6 Structural Problem of Swaps; Chapter 7 Trading; 7.1 Liquidity Management; 7.2 Forward Pricing; 7.3 Curve Trading 7.4 Synthetic Securities7.5 Real Time Trading; Chapter 8 Linear Optimization and Portfolio Replication; 8.1 Portfolio Optimization Example; 8.2 Conversion to and from Conventional KRD; 8.3 KRD and Term Structure Hedging; Chapter 9 Yield Volatility; 9.1 Price Function of Yield Volatility; 9.2 Term Structure of Yield Volatility; 9.3 Volatility Adjustment Table; 9.4 Forward and Instantaneous Volatility; Chapter 10 Convexity and Long Rates; 10.1 Theorem: Long Rates Can Never Change; 10.2 Convexity Adjusted TSIR; 10.3 Application to Convexity; 10.4 Convexity Bias of Eurodollar Futures Chapter 11 Real Rates and Inflation Expectations11.1 Term Structure of Real Rates; 11.2 Theorem: Real Rates Can't Have Log-normal Distribution; 11.3 Inflation Linked (IL) Bonds; 11.4 Seasonal Adjustments to Inflation; 11.5 Inflation Swaps; Chapter 12 Credit Spreads; 12.1 Equilibrium Credit Spread; 12.2 Term Structure of Credit Spreads; 12.3 Risk Measurement of Credit Securities; 12.4 Credit Risks Example; 12.5 Floating Rate Credit Securities; 12.6 TSCS Examples; 12.7 Relative Values of Credit Securities; 12.8 Performance Attribution of Credit Securities; 12.9 Term Structure of Agencies 12.10 Performance Contribution |
| Record Nr. | UNINA-9910140645203321 |
|
Simozar Saied <1954->
|
||
| Chichester, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Convertible Securities
| Convertible Securities |
| Autore | Maitland Tracy V |
| Edizione | [[2009 ed.]] |
| Pubbl/distr/stampa | New York : , : McGraw-Hill Education, , 2022 |
| Descrizione fisica | 1 online resource (486 pages) |
| Disciplina | 332.63/2044 |
| Altri autori (Persone) |
NelsonF. Barry
PartlowDaniel |
| Soggetto topico |
Convertible securities
Convertible preferred stocks Convertible bonds Portfolio management |
| ISBN | 1-260-46291-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910702892103321 |
|
Maitland Tracy V
|
||
| New York : , : McGraw-Hill Education, , 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Debt markets and analysis / / R. Stafford Johnson
| Debt markets and analysis / / R. Stafford Johnson |
| Autore | Johnson R. Stafford |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Bloomberg Press, an imprint of Wiley, , [2013] |
| Descrizione fisica | 1 online resource (722 p.) |
| Disciplina | 332.63/2044 |
| Collana | Bloomberg financial series |
| Soggetto topico |
Fixed-income securities
Debt Bonds Securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-23543-6
1-299-40226-7 1-118-22166-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Overview of the financial system -- Overview and guide to the Bloomberg system -- Bond value and return -- The level and structure of interest rates -- Bond risk -- Bond investment strategies -- Corporate debt securities -- Government securities and markets : Treasury, agencies, municipals, and sovereign debt securities -- Intermediary debt securities, investment funds, and markets -- Mortgage-backed and asset-backed securities and securitization -- Bond and interest rate futures contracts -- Bond and interest rate option contracts -- The valuation of bonds with embedded options and debt options--the binomial interest rate tree -- Interest rate and credit default swaps. |
| Record Nr. | UNINA-9910452433303321 |
|
Johnson R. Stafford
|
||
| Hoboken, New Jersey : , : Bloomberg Press, an imprint of Wiley, , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Debt markets and analysis / / R. Stafford Johnson
| Debt markets and analysis / / R. Stafford Johnson |
| Autore | Johnson R. Stafford |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Bloomberg Press, an imprint of Wiley, , [2013] |
| Descrizione fisica | 1 online resource (722 p.) |
| Disciplina | 332.63/2044 |
| Collana | Bloomberg financial series |
| Soggetto topico |
Fixed-income securities
Debt Bonds Securities |
| ISBN |
1-118-23543-6
1-299-40226-7 1-118-22166-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Overview of the financial system -- Overview and guide to the Bloomberg system -- Bond value and return -- The level and structure of interest rates -- Bond risk -- Bond investment strategies -- Corporate debt securities -- Government securities and markets : Treasury, agencies, municipals, and sovereign debt securities -- Intermediary debt securities, investment funds, and markets -- Mortgage-backed and asset-backed securities and securitization -- Bond and interest rate futures contracts -- Bond and interest rate option contracts -- The valuation of bonds with embedded options and debt options--the binomial interest rate tree -- Interest rate and credit default swaps. |
| Record Nr. | UNINA-9910779407103321 |
|
Johnson R. Stafford
|
||
| Hoboken, New Jersey : , : Bloomberg Press, an imprint of Wiley, , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Debt markets and analysis / / R. Stafford Johnson
| Debt markets and analysis / / R. Stafford Johnson |
| Autore | Johnson R. Stafford |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Bloomberg Press, an imprint of Wiley, , [2013] |
| Descrizione fisica | 1 online resource (722 p.) |
| Disciplina | 332.63/2044 |
| Collana | Bloomberg financial series |
| Soggetto topico |
Fixed-income securities
Debt Bonds Securities |
| ISBN |
1-118-23543-6
1-299-40226-7 1-118-22166-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Overview of the financial system -- Overview and guide to the Bloomberg system -- Bond value and return -- The level and structure of interest rates -- Bond risk -- Bond investment strategies -- Corporate debt securities -- Government securities and markets : Treasury, agencies, municipals, and sovereign debt securities -- Intermediary debt securities, investment funds, and markets -- Mortgage-backed and asset-backed securities and securitization -- Bond and interest rate futures contracts -- Bond and interest rate option contracts -- The valuation of bonds with embedded options and debt options--the binomial interest rate tree -- Interest rate and credit default swaps. |
| Record Nr. | UNINA-9910813115803321 |
|
Johnson R. Stafford
|
||
| Hoboken, New Jersey : , : Bloomberg Press, an imprint of Wiley, , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fixed income attribution [[electronic resource] /] / Andrew Colin
| Fixed income attribution [[electronic resource] /] / Andrew Colin |
| Autore | Colin Andrew |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2005 |
| Descrizione fisica | 1 online resource (163 p.) |
| Disciplina | 332.63/2044 |
| Collana | Wiley finance series |
| Soggetto topico |
Fixed-income securities
Portfolio management Rate of return |
| ISBN |
1-118-67356-5
1-280-27560-X 9786610275601 0-470-01358-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Fixed Income Attribution; Contents; Preface; Acknowledgements; A Note on Notation; PART I: CONCEPTS OF ATTRIBUTION; 1 Attribution in the Investment Process; 1.1 Introduction; 1.2 The problem; 1.3 Adding value to portfolios; 1.4 Skill in investment; 1.4.1 Luck; 1.4.2 Skill; 1.5 Picking the good from the bad; 1.6 Insight from attribution; 1.7 Example; 1.8 Living without attribution; 1.9 Why is attribution difficult?; 1.10 What does this book not cover?; 1.11 What are we aiming for?; 2 Calculation of Returns; 2.1 Introduction; 2.2 Getting it right; 2.3 Rate of return
2.4 Linking performance over multiple intervals2.5 Performance of single securities in the presence of cash flows; 2.6 Performance of portfolios without cash flows; 2.7 Performance of portfolios with cash flows; 2.8 Portfolio cash flow assumptions; 2.9 Example 1; 2.10 Performance contribution; 2.11 Bringing it all together; 2.12 The effects of futures on performance; 2.13 Short position; 2.14 Example 2: Some unusual asset allocations; 2.15 Example 3: A pathological case; 2.16 Example 4: A portfolio with zero market value; 2.17 Geometric compounding; 2.17.1 Stock return 2.17.2 Portfolio return2.17.3 Sector return; 2.18 Performance from several sources of return; 3 Simple Attribution; 3.1 Introduction; 3.2 Equity attribution; 3.3 Additive attribution; 3.4 Basic attribution: top-down or bottom-up?; 3.5 Which assumptions to use?; 3.6 Example; 3.6.1 Measuring overall investment performance; 3.7 Attribution at the sector level; 3.8 Attribution for single stocks; 3.9 Combining attribution returns over time; 3.10 Self-consistency across time; 3.11 Summary; 4 Yield Curves in Attribution; 4.1 Introduction; 4.2 Yield curves; 4.3 What is a yield curve? 4.4 Why yield curves matter in attribution4.5 Different types of yield; 4.5.1 Coupon rate; 4.5.2 Current yield (or running yield); 4.5.3 Yield to maturity; 4.6 Zero-coupon yield; 4.7 Sovereign and credit curves; 4.8 What should a curve look like?; 4.9 Different types of curve - advantages and disadvantages; 4.9.1 Par curves; 4.9.2 Duration curves; 4.9.3 Zero-coupon curves; 4.10 Comparing different curve types; 4.11 How do yield curves behave?; 4.12 Credit curves; 4.13 Finding yield curve data; 5 Interest Rate Risk and Portfolio Management; 5.1 Introduction 5.2 Return in fixed income portfolios5.3 Risk numbers and interest rate sensitivity; 5.4 Aggregating risk numbers; 5.5 Hedging risk; 5.6 Portfolio structure; 5.7 Risk immunization; 6 Measuring Changes in Yield Curves; 6.1 Introduction; 6.2 Curve shapes; 6.3 Curves - the raw data; 6.4 A typical curve movement; 6.5 Describing curve changes; 6.5.1 Should one go any further?; 6.5.2 Can one use other movement descriptions?; 6.6 Worked examples; 6.7 Model-free representations of curves; 6.8 Fitted model representations; 6.9 Shift and curve positioning analysis; 6.10 Polynomial term structure models 6.10.1 Example 1: Worked example for polynomial model |
| Record Nr. | UNINA-9910143691203321 |
|
Colin Andrew
|
||
| Hoboken, NJ, : Wiley, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fixed income attribution / / Andrew Colin
| Fixed income attribution / / Andrew Colin |
| Autore | Colin Andrew |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2005 |
| Descrizione fisica | 1 online resource (163 p.) |
| Disciplina | 332.63/2044 |
| Collana | Wiley finance series |
| Soggetto topico |
Fixed-income securities
Portfolio management Rate of return |
| ISBN |
1-118-67356-5
1-280-27560-X 9786610275601 0-470-01358-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Fixed Income Attribution; Contents; Preface; Acknowledgements; A Note on Notation; PART I: CONCEPTS OF ATTRIBUTION; 1 Attribution in the Investment Process; 1.1 Introduction; 1.2 The problem; 1.3 Adding value to portfolios; 1.4 Skill in investment; 1.4.1 Luck; 1.4.2 Skill; 1.5 Picking the good from the bad; 1.6 Insight from attribution; 1.7 Example; 1.8 Living without attribution; 1.9 Why is attribution difficult?; 1.10 What does this book not cover?; 1.11 What are we aiming for?; 2 Calculation of Returns; 2.1 Introduction; 2.2 Getting it right; 2.3 Rate of return
2.4 Linking performance over multiple intervals2.5 Performance of single securities in the presence of cash flows; 2.6 Performance of portfolios without cash flows; 2.7 Performance of portfolios with cash flows; 2.8 Portfolio cash flow assumptions; 2.9 Example 1; 2.10 Performance contribution; 2.11 Bringing it all together; 2.12 The effects of futures on performance; 2.13 Short position; 2.14 Example 2: Some unusual asset allocations; 2.15 Example 3: A pathological case; 2.16 Example 4: A portfolio with zero market value; 2.17 Geometric compounding; 2.17.1 Stock return 2.17.2 Portfolio return2.17.3 Sector return; 2.18 Performance from several sources of return; 3 Simple Attribution; 3.1 Introduction; 3.2 Equity attribution; 3.3 Additive attribution; 3.4 Basic attribution: top-down or bottom-up?; 3.5 Which assumptions to use?; 3.6 Example; 3.6.1 Measuring overall investment performance; 3.7 Attribution at the sector level; 3.8 Attribution for single stocks; 3.9 Combining attribution returns over time; 3.10 Self-consistency across time; 3.11 Summary; 4 Yield Curves in Attribution; 4.1 Introduction; 4.2 Yield curves; 4.3 What is a yield curve? 4.4 Why yield curves matter in attribution4.5 Different types of yield; 4.5.1 Coupon rate; 4.5.2 Current yield (or running yield); 4.5.3 Yield to maturity; 4.6 Zero-coupon yield; 4.7 Sovereign and credit curves; 4.8 What should a curve look like?; 4.9 Different types of curve - advantages and disadvantages; 4.9.1 Par curves; 4.9.2 Duration curves; 4.9.3 Zero-coupon curves; 4.10 Comparing different curve types; 4.11 How do yield curves behave?; 4.12 Credit curves; 4.13 Finding yield curve data; 5 Interest Rate Risk and Portfolio Management; 5.1 Introduction 5.2 Return in fixed income portfolios5.3 Risk numbers and interest rate sensitivity; 5.4 Aggregating risk numbers; 5.5 Hedging risk; 5.6 Portfolio structure; 5.7 Risk immunization; 6 Measuring Changes in Yield Curves; 6.1 Introduction; 6.2 Curve shapes; 6.3 Curves - the raw data; 6.4 A typical curve movement; 6.5 Describing curve changes; 6.5.1 Should one go any further?; 6.5.2 Can one use other movement descriptions?; 6.6 Worked examples; 6.7 Model-free representations of curves; 6.8 Fitted model representations; 6.9 Shift and curve positioning analysis; 6.10 Polynomial term structure models 6.10.1 Example 1: Worked example for polynomial model |
| Record Nr. | UNINA-9910810581503321 |
|
Colin Andrew
|
||
| Hoboken, NJ, : Wiley, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fixed income mathematics [[electronic resource] /] / Robert Zipf
| Fixed income mathematics [[electronic resource] /] / Robert Zipf |
| Autore | Zipf Robert |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Academic Press, c2003 |
| Descrizione fisica | 1 online resource (343 p.) |
| Disciplina | 332.63/2044 |
| Soggetto topico |
Fixed-income securities - Mathematics
Rate of return |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-02413-9
9786611024130 1-4294-9509-X 0-08-050655-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Fixed Income Mathematics; Copyright Page; Contents; Chapter 1. Introduction-Who this Book is for and What it Hopes to Accomplish; Historical Background-The Big Change in Investment, Loan, and Money Management; What this Book Hopes to Accomplish; What Sort of Problems Might this Book Help You to Solve?; Who this Book is Meant to Address; The Mathematical Knowledge Required for this Book; The Role of Examples and Problems in this Book; Chapter 2. Interest, Its Calculation, and Return on Investment; A General Introduction to Interest; How to Compute Interest; Notation
Percentage Rate and Time PeriodReturn on Investment; Analysis of Investments or Returns without Explicit Money Values, and Intangible Investments and Returns; Chapter Summary; Chapter 3. Compound Interest; What is Compound Interest?; Using Compound Interest Tables; Looking at the Compound Interest Tables; Compounding within a Period; The Equations for Compound Interest-Compounding within a Period; Continuous Compounding: How it Works and When it Applies; The Derivation of the Equations for Continuous Compounding; What is a Mathematical Model?; Some Famous Mathematical Models Reasons for Using Continuous Functions in Financial ModelsA Business Example of Use of Continuous Functions; Further Reflections on Approach 3; Computing i, Given S, Snt, T, and N; Accuracy Requirements; Legal Requirements for Accuracy; An Example from Compound Interest; Using Tables and Interpolating between Values; The Rule of 72; A Zero Interest Rate?; Negative Interest Rates?; Real and Nominal Rates; Chapter Summary; Suggestions for Further Study; Chapter 4. Present Values; What is Present Value?; The Equation for Present Value; The General Equation for Present Value The Present Value TablesUsing Present Values to Make Project Decisions; Example of Project Analysis; Using Different Interest Rates in the Analysis; The Equations for Flow of Funds Analysis; The Various Number Systems and What They Mean; Solving Polynomial Equations; Practical Considerations in Using Calculators and Computers to Solve Polynomial Equations; Using the Bisection Method to Find Real Solutions; What if the Exponents are not Integers?; Chapter Summary; Suggestions for Further Study; Chapter 5. Annuities Certain; What is an Annuity Certain?; Examples of Annuities Certain Why Annuities Certain are ImportantThe Equation for the Present Value of an Annuity Certain; A Look at the Tables for an Annuity Certain; Solving for the Interest Rate, Given the Annuity Certain and Its Cost; The Perpetuity; The Annuity Due; Further Comments; Analysis and Calculation of Some Combination Annuities Certain; Chapter Summary; Chapter 6. Bond Price Calculation; What is a Bond?; How Bonds are Described; How to Read a Bond Market Report; What is a Call Feature?; What is a Put Option?; Discount Securities; The General Equation for Computing a Bond Price, Given the Yield A Note on Yield |
| Record Nr. | UNINA-9910458497803321 |
|
Zipf Robert
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| Amsterdam ; ; Boston, : Academic Press, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
