Chapter 1 Introduction 1
Chapter 2 Pricing of Bonds 13
Chapter 3 Measuring Yield 35
Chapter 4 Bond Price Volatility 58
Chapter 5 Factors Affecting Bond Yields and the Term Structure of Interest Rates 92
Chapter 6 Treasury and Agency Securities Markets 123
Chapter 7 Corporate Debt Instruments 142
Chapter 8 Municipal Securities 173
Chapter 9 Non-US.Bonds 194
Chapter 10 Residential Mortgage Loans 211
Chapter 11 Mortgage Pass-Through Securities 229
Chapter 12 Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities 254
Chapter 13 Commercial Mortgage-Backed Securities 285
Chapter 14 Asset-Backed Securities 307
Chapter 15 Collateralized Debt Obligations 329
Chapter 16 Analysis of Bonds with Embedded Options 343
Chapter 17 Analysis of Residential Mortgage-Backed Securities 375
Chapter 18 Analysis of Convertible Bonds 398
Chapter 19 Active Bond Portfolio Management Strategies 410
Chapter 20 Indexing 451
Chapter 21 Liability Funding Strategies 461
Chapter 22 Bond Performance Measurement and Evaluation 493
Chapter 23 Interest-Rate Futures Contracts 514
Chapter 24 Interest-Rate Options 545
Chapter 25 Interest-Rate Swaps and Agreements 589
Chapter 26 Credit Derivatives 623
Index 643