4

34

 

John Wiley & Sons, Inc. (Visit publisher website)

2002

English

 

 

 

Basic

 

 

Accrued interest, compounding, actual/360 interest convention, phenomenon of bad days, curve fitting, linear yield interpolation, piecewise cubic polynomials

 

This chapter relaxes the convenient assumption that cash flows occur in even intervals and considers the reality of cash flows paid at any time, which requires consideration of accrued interest and general compounding conventions. The chapter builds further to explain estimation of discount rates for any horizon using curve fitting. As always with this book, technical explanations are coupled with effective and easy-to-follow examples.

 

4.1 Accured interest
4.2 Compunding conventions
4.3 Yield and compounding conventions
4.4 Bad days
4.5 Introduction to curve fitting
4.6 Piecewise cubics
4.7 Application: Fitting the term structure in the U.S. Treasury market on February 15, 2001
4.8 Trading case study: A 7s-8s-9s Butterfly
4.9 Appendix 4A: Continuous compounding
4.10 Appendix 4B: A simple cubic spline

 

If you are interested in purchasing the book, please click here.

 

*** From the publisher ***
Praise for Fixed Income Securities, Second Edition
"What distinguishes this book from many others on the subject is that Tuckman has skillfully combined intuitive rationale with mathematical analysis to give readers a clear and deep understanding of the market. Tuckman has written a comprehensive reference book that should be found on the desks of both seasoned practitioners and novices alike." Gerald Lucas, Senior Government Strategist, Director, Global Securities Research, Merrill Lynch

"This outstanding book offers a well-written and clear tutorial for many of the cutting-edge analytical techniques and models used in practice. Combines a wealth of institutional knowledge, practical tools, and realistic examples, while giving a clear understanding of the underlying theory." Francis Longstaff, Professor of Finance, The Anderson School at UCLA

"An excellent reference for anyone intending to bridge the gap between financial mathematics theory and the practice of financial markets." Marek Musiela, BNP Paribas

"This is an extremely readable book with a balance between technical detail and practical application. Unlike other books in the area, thorough and tightly knit chapters reflect Tuckman s unique background as a well-respected academic and market participant." Tony D. Kao, Managing Director, Global Fixed Income GM Asset Management