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本附件包括：
List of figures vii
List of tables xi
Foreword xiii
Preface xiv
List of acronyms xvi
1 Active diversification of fixed-income portfolios 1
1.1 The investment process and benchmark selection 1
1.2 Tactical allocation and its building blocks 4
1.3 Top-down approach for a Euroland portfolio 9
2 Duration management 13
2.1 Factors influencing duration management 13
2.2 Decision-making methods for duration 14
3 Yield curve management 23
3.1 Market directionality of yield curves 23
3.2 Barbell analysis 33
3.3 Strips 44
3.4 Rolldown analysis 56
3.5 Box trade analysis 60
4 Basis management 75
4.1 Cheapest-to-deliver analysis 75
4.2 Delivery option 89
4.3 Calendar spreads 97
4.4 Portfolio replication 101
5 Volatility management 106
5.1 Volatility and yields 106
5.2 Yield volatility 110
5.3 Option risk parameters 112
5.4 Efficient Gamma trading 114
5.5 Options markets and economic data releases 119
6 Credit management 124
6.1 Introduction 124
6.2 Characteristics of corporate bonds 126
6.3 The top-down approach 136
6.4 Merton’s approach to evaluating a corporate bond 147
6.5 Market drivers (methodology) of credit spreads 156
6.6 Efficient frontiers and the Sharpe ratio 179
6.7 Industry selection 189
6.8 The bottom-up approach 201
6.9 Indentures of corporate bonds 221
6.10 Corporate bonds and defaults 224
Further reading 227
Index 229
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