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"Smith, J. Donald"
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Bond math : the theory behind the formulas
\"This book is a guide to the calculations involved in managing bonds, with expert insight on the portfolios and investment strategies that puts the math in perspective. The book explains how to delineate the characteristics of different types of debt securities; calculate implied forward and spot rates and discount factors; work with rates of return, yield statistics, and interest rate swaps; and understand duration-based risk measures\"-- Provided by publisher.
Book
Bond Math
A bond calculation quick reference, complete with context and application insights
Bond Math is a quick and easy resource that puts the intricacies of bond calculations into a clear and logical order. This simple, readable guide provides a handy reference, teaching the reader how to think about the essentials of bond math. Much more than just a book of formulas, the emphasis is on how to think about bonds and the associated math, with plenty of examples, anecdotes, and thought-provoking insights that sometimes run counter to conventional wisdom. This updated second edition includes popular Bloomberg pages used in fixed-income analysis, including the Yield and Spread Analysis page, plus a companion website complete with an Online Workbook of multiple choice questions and answers and spreadsheet exercises. Detailed coverage of key calculations, including thorough explanations, provide practical guidance to working bond professionals.
The bond market is the largest and most liquid in the world, encompassing everything from Treasuries and investment grade corporate paper to municipals and junk bonds, trading over $900 billion daily in the U.S. alone. Bond Math is a guide to the inevitable calculations involved in managing bonds, with expert insight on the portfolios and investment strategies that puts the math in perspective. Clear and concise without sacrificing detail, this book helps readers to:
* Delineate the characteristics of different types of debt securities
* Calculate implied forward and spot rates and discount factors
* Work with rates of return, yield statistics, and interest rate swaps
* Understand duration-based risk measures, and more
Memorizing formulas is one thing, but really learning how to mentally approach the math behind bonds is something else entirely. This approach places calculations in context, and enables easier transition from theory to application. For the bond professional seeking a quick math reference, Bond Math provides that and so much more.
eBook
Fixed income analysis
In this text, readers will be introduced to a variety of important fixed income analysis issues, including the general principles of credit analysis, term structure and volatility of interest rates, and valuing bonds with embedded options.
Book
Poemhood, our black revival : history, folklore & the Black experience: a young adult poetry anthology
Featuring contributions from an award-winning, bestselling group of Black voices, past and present, this powerful poetry anthology elicits vital conversations about race, belonging, history and faith to highlight Black joy and pain.
Book
Hidden Debt: From Enron's Commodity Prepays to Lehman's Repo 105s
Enron Corporation's commodity prepays and Lehman Brothers' Repo 105s are recent examples of hidden debt intended to improve the appearance of a company's financial condition. Enron used derivatives to \"transform\" cash flow from financing to cash flow from operations; Lehman used sale-repurchase (repo) agreements to remove debt from its balance sheet for dates surrounding quarterly reporting periods. Both tactics relied on external auditors' narrowly focusing on internal procedures and accounting rules.
Journal Article
Valuing interest rate swaps using overnight indexed swap (OIS) discounting
The role of LIBOR in interest rate swaps and other financial derivatives is to be the effective \"riskless\" rate, based on the premise that while banks that could borrow in the market at LIBOR flat were not completely risk-free, the rate corresponded to a high credit quality, approximately AA. The 2008 financial crisis left most banks financial weakened, including the largest banks, which provide the quotes from which LIBOR is computed. LIBOR spiked upward following the Lehman bankruptcy and was well above other \"riskless\" rates, notably the overnight indexed swap (OIS) rate. Since that time, much of the over-the-counter (OTC) interest rate derivatives market has shifted over to discounting at OIS rates. Since these are lower than LIBOR, one result is that when the floating leg of a LIBOR-based swap is repriced, it will not be valued at par with OIS discounting. This issue is becoming increasingly important, as swaps and other interest rate derivatives are transitioning to central clearing. In this article, Smith clarifies the issues and works through some examples to illustrate the size of the effects involved. [PUBLICATION ABSTRACT]
Journal Article
Bad Bond Math: An Object Lesson Using Bloomberg’s After-Tax Yields on Market Discount Bonds
Defining information to be a subset of data (information is data that has utility in decision making), the author offers an object lesson to demonstrate the challenge facing an investor using after-tax yield data presented on a widely viewed Bloomberg page. He demonstrates that users of \"black box\" technologies need to be able to confirm the numbers that are presented to them by data suppliers and check those calculations and underlying assumptions on a regular basis. Failure to understand these assumptions can lead investors to erroneous conclusions, as illustrated in the comparison of two categories of bonds, deeply discounted U.S. corporate bonds, distressed tax-exempt U.S. municipal bonds, and the projected after-tax rates of return on all of the securities under consideration (given assumed tax rates on ordinary income and capital gains and, of course, assuming no default). [PUBLICATION ABSTRACT]
Journal Article
Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration
Recent legislation and accounting rule changes motivate defined-benefit pension plans to manage the interest rate risk arising from volatility in their liabilities, as measured by either the accumulated benefit obligation (ABO) or the projected benefit obligation (PBO). For either measure, asset portfolios comprising equity and fixed-income bonds usually have much lower average durations than do liabilities. This article discusses how interest rate derivatives overlay strategies can be used to reduce or eliminate the negative duration gap. A theoretical model is developed to show how to calculate the ABO and PBO measures and their duration statistics.
Journal Article
Alternative Designs for Inflation-Indexed Bonds: P-Linkers vs. C-Linkers
This paper analyzes the before-tax and after-tax cash flows for two stylized types of inflation-indexed bonds—\"P-Linkers\" and \"C-Linkers. \"P-Linkers, like U.S. TIPS, have a fixed interest rate and link the accrued principal to changes in the consumer price index. C-Linkers are floating-rate notes that adjust the coupon interest rate for inflation while the principal is held constant. While both types of linkers provide protection from unexpected inflation, they differ significantly in terms of the amount and timing of cash flows, how and when cash flows are taxed, as well as in their price sensitivities to changes in real rates (i.e., their duration statistics). These differences impact investor strategies, especially those at aim to match the durations of assets and liabilities, and decisions about holding the inflation-indexed bonds in a tax-deferred structure like a retirement plan.
Journal Article