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by Moorad Choudhry
An Introduction to Bond Markets, Fourth Edition
The Chartered Institute for Securities & Investment
Title Page
Copyright Page
Dedication
Foreword
PREFACE
PREFACE TO THE FIRST EDITION
ABOUT THE AUTHOR
Epigraph
Chapter 1 - INTRODUCTION TO BONDS
DESCRIPTION
OUTLINE OF MARKET PARTICIPANTS
BOND ANALYSIS
BOND PRICING AND YIELD: THE TRADITIONAL APPROACH
ACCRUED INTEREST
ILLUSTRATING BOND YIELD USING EXCEL SPREADSHEETS
BIBLIOGRAPHY
Chapter 2 - THE YIELD CURVE, SPOT AND FORWARD YIELDS
THE YIELD CURVE
THE FORWARD YIELD CURVE
SPOT RATES
THE BOOT-STRAPPING METHOD: DERIVING THE THEORETICAL ZERO-COUPON (SPOT) RATE CURVE
THE TERM STRUCTURE OF INTEREST RATES
BIBLIOGRAPHY
Chapter 3 - BOND INSTRUMENTS AND INTEREST-RATE RISK
DURATION, MODIFIED DURATION AND CONVEXITY
BIBLIOGRAPHY
Chapter 4 - FLOATING-RATE NOTES AND OTHER BOND INSTRUMENTS
FLOATING-RATE NOTES
SYNTHETIC CONVERTIBLE NOTE
INTEREST DIFFERENTIAL NOTES
CONVERTIBLE QUANTO NOTE
BIBLIOGRAPHY
Chapter 5 - THE MONEY MARKETS
INTRODUCTION
SECURITIES QUOTED ON A YIELD BASIS
SECURITIES QUOTED ON A DISCOUNT BASIS
COMMERCIAL PAPER
REPO
Appendix 5.A CURRENCIES USING MONEY MARKET YEAR BASE OF 365 DAYS
Chapter 6 - THE EUROBOND MARKET
EUROBONDS
FOREIGN BONDS
EUROBOND INSTRUMENTS
THE ISSUE PROCESS: MARKET PARTICIPANTS
FEES, EXPENSES AND PRICING
ISSUING THE BOND
COVENANTS
TRUST SERVICES
FORM OF THE BOND
CLEARING SYSTEMS
MARKET ASSOCIATIONS
BLOOMBERG SCREENS
SECONDARY MARKET
SETTLEMENT
BIBLIOGRAPHY
Chapter 7 - CONVERTIBLE BONDS, MTNs AND WARRANTS
DESCRIPTION
VALUE AND PREMIUM ISSUES
WARRANTS
MEDIUM-TERM NOTES
Chapter 8 - CREDIT RATINGS
CREDIT RATINGS
Chapter 9 - INFLATION-LINKED BONDS
BASIC CONCEPTS
INDEX-LINKED BOND CASH FLOWS AND YIELDS
INFLATION-INDEXED DERIVATIVES
BIBLIOGRAPHY
Chapter 10 - AN INTRODUCTION TO ASSET-BACKED SECURITIES
THE CONCEPT OF SECURITISATION
THE PROCESS OF SECURITISATION
ILLUSTRATING THE PROCESS OF SECURITISATION
BLOOMBERG SCREENS
BIBLIOGRAPHY
Chapter 11 - INTRODUCTION TO DERIVATIVE INSTRUMENTS
INTEREST-RATE SWAPS
CROSS-CURRENCY SWAPS
FUTURES CONTRACTS
THE HEDGE RATIO
INTEREST-RATE OPTIONS
BIBLIOGRAPHY
Chapter 12 - INTRODUCTION TO CREDIT DERIVATIVES
INTRODUCTION
ASSET SWAPS
CREDIT DEFAULT SWAPS
CREDIT-LINKED NOTES
TOTAL RETURN SWAPS
CREDIT OPTIONS
THE CDS ITRAXX INDEX
GENERAL APPLICATIONS OF CREDIT DERIVATIVES
THE CREDIT DEFAULT SWAP BASIS
BIBLIOGRAPHY
Chapter 13 - APPROACHES TO GOVERNMENT BOND TRADING AND YIELD ANALYSIS
INTRODUCTION
COUPON SPREADS
BUTTERFLY TRADES
BLOOMBERG SCREENS
BOND SPREADS AND RELATIVE VALUE
BIBLIOGRAPHY
Chapter 14 - RISK MANAGEMENT AND VALUE-AT-RISK
CHARACTERISING RISK
RISK MANAGEMENT
INTEREST-RATE RISK
VALUE-AT-RISK
VaR METHODOLOGY FOR CREDIT RISK
BIBLIOGRAPHY
GLOSSARY
ABBREVIATIONS
INDEX
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