[[特許金融分析師讀書筆記].cfa.2008].cfa.-.fixed.income.securities.and.de.is.and.valuation

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1、CONTENTSForeword.................................xiiiPreface...................................xvPARTONEINTRODUCTIONTOBONDS1TheBondInstrument3TheTimeValueofMoney......................................4BasicFeaturesandDefinitions..............................

2、....5PresentValueandDiscounting..................................6DiscountFactors............................................12BondPricingandYield:TheTraditionalApproach.................15BondPricing...............................................15BondYield

3、................................................19AccruedInterest..............................................27CleanandDirtyBondPrices..................................27Day-CountConventions......................................282BondInstrumentsandIntere

4、stRateRisk31Duration,ModifiedDuration,andConvexity.....................31Duration..................................................32PropertiesofMacaulayDuration...............................36ModifiedDuration..........................................37Con

5、vexity.................................................413BondPricingandSpotandForwardRates47Zero-CouponBonds..........................................47CouponBonds...............................................49BondPriceinContinuousTime...................

6、.............51FundamentalConcepts.......................................51StochasticRates............................................54CouponBonds.............................................56ForwardRates................................................57G

7、uaranteeingaForwardRate..................................57TheSpotandForwardYieldCurve..............................59CalculatingSpotRates.......................................60TermStructureHypotheses.....................................63TheExpectationsH

8、ypothesis..................................63LiquidityPremiumHypothesis.................................65SegmentedMarketsHypothesis................................654InterestRateModeling67BasicConcept