Debt Markets and Analysis

Preface ix
 
Acknowledgments xiii
 
PART i: BOND EVALUATION AND SELECTION
 
CHAPTER 1 Overview of the Financial System 3
 
Chapter 2 Overview and Guide to the Bloomberg System 29
 
Chapter 3 Bond Value and Return 85
 
CHAPTER 4 The Level and Structure of Interest Rates 135
 
CHAPTER 5 Bond Risk 179
 
CHAPTER 6 Bond Investment Strategies 225
 
PART ii: DEBT MARKETS AND SECURITIES
 
CHAPTER 7 Corporate Debt Securities 267
 
CHAPTER 8 Government Securities and Markets: Treasury, Agencies, Municipals, and Sovereign Debt Securities 319
 
CHAPTER 9 Intermediary Debt Securities, Investment Funds, and Markets 369
 
CHAPTER 10 Mortgage-Backed and Asset-Backed Securities and Securitization 413
 
PART iii: DEBT DERIVATIVES
 
CHAPTER 11 Bond and Interest Rate Futures Contracts 479
 
CHAPTER 12 Bond and Interest Rate Option Contracts 517
 
CHAPTER 13 The Valuation of Bonds with Embedded Options and Debt Options--The Binomial Interest Rate Tree 565
 
CHAPTER 14 Interest Rate and Credit Default Swaps 613
 
SUPPLEMENTAL APPENDICES
 
Appendix A: Primer on Return, Present Value, and Future Value 667
 
Appendix B: Uses of Exponents and Logarithms 679
 
Appendix C: Directory Listing of Bloomberg Screens by Menu and Function 685
 
Index 697

R. STAFFORD JOHNSON is Professor of Finance at the Williams College of Business, Xavier University. He is the coauthor of Options and Futures, and author of Introduction to Derivatives as well as the first two editions of Bond Evaluation, Selection, and Management. Debt Markets and Analysis is the first of three books in a series: upcoming are Derivatives, and Equity Markets and Portfolio Analysis. Johnson has written many articles appearing in journals such as Applied Economics, Journal of Financial Education, International Review of Economics and Business, Journal of Economics, the Financial Review, and the Review of Quantitative Finance and Accounting.