CONTENTS
Foreword xiii
Acknowledgments xvii
Introduction xxi
Note on Rounding Differences xxvii
CHAPTER 1 Features of Debt Securities 1
CHAPTER 2 Risks Associated with Investing in Bonds 17
CHAPTER 3 Overview of Bond Sectors and Instruments 37
CHAPTER 4 Understanding Yield Spreads 74
CHAPTER 5 Introduction to the Valuation of Debt Securities 97
CHAPTER 6 Yield Measures, Spot Rates, and Forward Rates 119
CHAPTER 7 Introduction to the Measurement of Interest Rate Risk 157
CHAPTER 8 Term Structure and Volatility of Interest Rates 185
CHAPTER 9 Valuing Bonds with Embedded Options 215
CHAPTER 10 Mortgage-Backed Sector of the Bond Market 256
CHAPTER 11 Asset-Backed Sector of the BondMarket 302
CHAPTER 12 Valuing Mortgage-Backed and Asset-Backed Securities 335
CHAPTER 13 Interest Rate Derivative Instruments 360
CHAPTER 14 Valuation of Interest Rate Derivative Instruments 386
CHAPTER 15 General Principles of Credit Analysis 421
CHAPTER 16 Introduction to Bond Portfolio Management 462
CHAPTER 17 Measuring a Portfolio’s Risk Profile 476
CHAPTER 18 Managing Funds against a Bond Market Index 503
CHAPTER 19 Portfolio Immunization and Cash Flow Matching 541
CHAPTER 20 Relative-ValueMethodologies for Global Credit Bond Portfolio Management 560
CHAPTER 21International Bond Portfolio Management 583
CHAPTER 22 Controlling Interest Rate Risk with Derivatives 617
CHAPTER 23 HedgingMortgage Securities to Capture Relative Value 651
CHAPTER 24 Credit Derivatives in Bond Portfolio Management 673
About the CFA Program 695
About the Author 697
About the Contributors 699
Index 703