By Bruce Tuckman
From the again Cover
Praise for fastened source of revenue Securities, moment Edition
"What distinguishes this ebook from many others at the topic is that Tuckman has skillfully mixed intuitive intent with mathematical research to provide readers a transparent and deep realizing of the marketplace. Tuckman has written a complete reference booklet that are meant to be chanced on at the desks of either professional practitioners and newcomers alike."
-Gerald Lucas, Senior govt Strategist
Director, international Securities study, Merrill Lynch
"This striking publication deals a well-written and transparent instructional for plenty of of the state of the art analytical strategies and versions utilized in perform. Combines a wealth of institutional wisdom, useful instruments, and sensible examples, whereas giving a transparent knowing of the underlying theory."
-Francis Longstaff, Professor of Finance
The Anderson institution at UCLA
"An very good reference for a person aspiring to bridge the distance among monetary arithmetic concept and the perform of economic markets."
-Marek Musiela, BNP Paribas
"This is an incredibly readable ebook with a stability among technical aspect and functional software. in contrast to different books within the region, thorough and tightly knit chapters replicate Tuckman's designated history as a well-respected educational and industry participant."
-Tony D. Kao, handling Director, worldwide mounted Income
GM Asset Management
About the Author
BRUCE TUCKMAN, PhD, is a handling Director within the mounted source of revenue and Derivatives department of credits Suisse First Boston. After receiving his doctorate in economics from MIT, he grew to become a professor of finance at big apple University's Stern institution of industrial and a vacationing professor at UCLA's Anderson Graduate university of administration. He all started his Wall highway occupation at Salomon Brothers' mounted source of revenue Proprietary buying and selling team.
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Extra info for Fixed Income Securities: Tools for Today's Markets (2nd Edition)
Under this very particular interest rate scenario, the text computes the investment results of investors A and B after two and one-half years. 851%. 25) The discussion now turns to investor B, who, on February 15, 2001, buys the 51/4s of August 15, 2003. 33 face value of the bond. 26) Investor B will reinvest this interest payment, reinvest the proceeds on February 15, 2002, reinvest those proceeds on August 15, 2002, and so on, until August 15, 2003. 30 on February 15, 2002. 67, respectively. 30 received on August 15, 2003, of course, has no time to earn interest on interest.
10) clearly demonstrate that yield-to-maturity is a summary of all the spot rates that enter into the bond pricing equation. 886%. 8875% is a blend of these four rates. 886% because most of this bond’s value comes from its principal payment to be made in two years. 10) can be used to be more precise about certain relationships between the spot rate curve and the yield of coupon bonds. First, consider the case of a ﬂat term structure of spot rates; that is, all of the spot rates are equal. 10) reveals that the yield must equal that one spot rate level as well.
1 graphs the spot rate curve, which is the collection of spot rates of all available terms, for settlement on February 15, 2001. 1 shows that the very start of the spot rate curve is downward-sloping. 1 shows that the curve is upward-sloping from then until a bit past 20 years, at which point the curve slopes downward. It is important to emphasize that spot rates of different terms are indeed different. Alternatively, the market provides different holding period returns from investments in ﬁve-year zero coupon bonds and from investments in 10-year zero coupon bonds.
Fixed Income Securities: Tools for Today's Markets (2nd Edition) by Bruce Tuckman