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Inside the Yield Book : the Classic That Created the Science of Bond Analysis.
A completely updated edition of the guide to modern bond analysis First published in 1972, Inside the Yield Book revolutionized the fixed-income industry and forever altered the way investors looked at bonds. Over forty years later, it remains a standard primer and reference among market professiona...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
Wiley,
2013.
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| Edición: | 3rd ed. |
| Colección: | Bloomberg Financial.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Inside the Yield Book: The Classic That Created the Science of Bond Analysis; Copyright; Contents; Preface to the 2013 Edition; Acknowledgments; Part I: Duration Targeting: A New Look at Bond Portfolios (2013 Edition); Introduction; Accrual Offsets of Price Effects; Trendline Model; The Effective Maturity; Terminal Yield Distributions; Non-Trendline Paths; Tracking Error and Total Volatility; Key Findings; Chapter 1: Duration Targeting and the Trendline Model; Duration Targeting; Trendlines; Generality of the TL Model; A Jump Yield Path; Mirror-Image Paths; Random Paths.
- Random Paths to the Same Ending YieldTrendline Duration; Horizon Effects; Conclusion; Chapter 2: Volatility and Tracking Error; Introduction; TL Volatility; Non-Trendline Yield Paths; Tracking Errors; Total Volatility; Random Yield Walks with Drift; Chapter 3: Historical Convergence to Yield; Introduction; Historical Yield Paths; Historical Yield Volatilities; Historical Tracking Errors; Conclusion; Chapter 4: Barclays Index and Convergence to Yield; Introduction; Historical Data; Holding Period Returns for a December 2000 Investment; Holding Period Returns for Three Different Entry Points.
- Holding Period Returns for All Entry PointsTotal Return Volatility; Barclays Returns and Tracking Error; Individual Credit and Government Index Analysis; Conclusion; Chapter 5: Laddered Portfolio Convergence to Yield; Introduction; Laddered Portfolio with a Stable Flat Yield Curve; Laddered Portfolio Rebalancing After a Parallel Curve Shift; Laddered Portfolio Yield Pathways; Laddered Portfolio Duration; Laddered Portfolio Convergence to Yield; Laddered Portfolio Barbell versus Single Bond Bullet; Conclusion; Appendix: Path Return and Volatility; Trendline Returns; Trendline Volatility.
- Total VolatilityTracking Error; A Simple Approximation for Zero-Coupon Bond Returns; References; Part II: Some Topics That Didn't Make It Into the 1972 Edition (2004 Edition); Contents of the 2004 Edition; Foreword; Preface to the 2004 Edition: A Historical Perspective; Acknowledgments; Some Topics That Didn't Make It into the 1972 Edition; The Basic Concept of Present Value; The Reinvested Future Value; The Horizon Present Value (HPV); The Total Future Value TFV (H); The FV versus the PV; Bond Prices and Yields; PV Volatility; The Macaulay Duration; PV Volatility and the Modified Duration.
- Reinvestment VolatilityThe Total Future Value Volatility at Longer Horizons; Horizon Duration and the Generalized TFV Volatility; Immunization; Horizon Analysis; Generalizing the PV Model to Equities; Spread Flows and Opportunity PVs; The PV as a Hypothetical Ratio; Market-Based versus Subjective Estimates; A Final Note; Technical Appendix to ""Some Topics""; Present Value (PV); Reinvested Future Value (RFV) at Horizon H; Horizon Present Value (HPV) of ""Tail"" Cash Flow at Horizon H; Total Future Value (TFV) at Horizon H; Macaulay Duration D (1, H); PV Volatility PV-VOL (1, H).