(债券市场导论)AN INTRODUCTION TO BOND MARKETS

内容概要

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

书籍目录

Foreword Preface About the author ForewordPrefaceAbout the author1　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　Bibliography2　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　Bibliography3　BOND INSTRUMENTS AND　INTEREST-RATE RISK　Duration, modified duration and convexity　Duration　Properties of Macaulay duration　Modified duration　Convexity　Bibliography4 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

作者简介

This book describes and defines bonds within the context of the capital markets and the different types of bonds that are traded. It includes a detailed look at the analytical techniques used in the market by traders and fund managers. This new edition will update the section on swaps and risk management, update all exercises and examples, add a new section on credit derivatives, add a section on structured finance securities & add a section on trading. Contents also include: Bond yield Measurement, Interest Rate Risk, The UK gilt market and corporate debt markets, Risk Management, Off-balance sheet instruments, including swaps and options, and Overseas and emerging markets.

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