By Moorad Choudhry
The bond markets are an integral part of the realm economic system. The fourth variation of Professor Moorad Choudhry's benchmark reference textual content An advent to Bond Markets brings readers modern with most modern advancements and marketplace perform, together with the impression of the monetary quandary and problems with relevance for traders. This publication bargains an in depth but available examine bond tools, and is aimed particularly at rookies to the marketplace or these unusual with glossy mounted source of revenue items. the writer capitalises on his wealth of expertise within the fastened source of revenue markets to offer this concise but in-depth insurance of bonds and linked derivatives.
Topics coated include:
- Bond pricing and yield
- Duration and convexity
- Eurobonds and convertible bonds
- Structured finance securities
- Interest-rate derivatives
- Credit derivatives
- Relative price trading
Related subject matters akin to the money markets and ideas of possibility administration also are brought as worthy heritage for college kids and practitioners. The publication is key analyzing for all those that require an creation to the monetary markets.
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Extra info for An Introduction to Bond Markets
We do this ﬁrst by means of function references, then via a real-world illustration of how we can check yields quoted in the market using Excel. 4 shows the spreadsheet used to calculate price, yield and duration for a hypothetical bond traded for settlement on 10 December 2005. It has a 5% coupon and matures in July 2012. Given the price we can calculate yield, and given yield we can calculate price and duration. We need to also set the coupon frequency, in this case semiannual, and the accrued interest day-count basis, in this case act/act, in order for the formulae to work.
6. 4 showing cell formulae. 919 297 636 I Bond yield calculation, Ford and US Treasury securities, 3 January 2006. 5 Bloomberg page YA for Ford 734% 2007 bond, 3 Jan 2006. P. All rights reserved. Used with permission. 6 Bloomberg page DCX, 3 January 2006, settlement date for Ford bond. P. All rights reserved. Used with permission.
5. Can we check this on Excel? 6. 4 showing cell formulae. 919 297 636 I Bond yield calculation, Ford and US Treasury securities, 3 January 2006. 5 Bloomberg page YA for Ford 734% 2007 bond, 3 Jan 2006. P. All rights reserved. Used with permission. 6 Bloomberg page DCX, 3 January 2006, settlement date for Ford bond. P. All rights reserved. Used with permission.
An Introduction to Bond Markets by Moorad Choudhry