Tuckman. Fixed Income Securities, 2nd ed. New York: Wiley, 2002

2008 FRM 考试必备教材
PART ONE
The Relative Pricing of Fixed Income Securities with Fixed Cash Flows 1
CHAPTER 1
Bond Prices, Discount Factors, and Arbitrage 3
The Time Value of Money 3
Treasury Bond Quotations 4
Discount Factors 6
The Law of One Price 8
Arbitrage and the Law of One Price 10
Treasury STRIPS 12
APPENDIX 1A
Deriving the Replicating Portfolio 17
APPENDIX 1B
APPLICATION: Treasury Triplets and High Coupon Bonds 18
CHAPTER 2
Bond Prices, Spot Rates, and Forward Rates 23
Semiannual Compounding 23
Spot Rates 25
Forward Rates 28
Maturity and Bond Price 32
Maturity and Bond Return 34
Treasury STRIPS, Continued 37
APPENDIX 2A
The Relation between Spot and Forward Rates and the Slope of the
Term Structure 38
CHAPTER 3
Yield-to-Maturity 41
Definition and Interpretation 41
Yield-to-Maturity and Spot Rates 46
Yield-to-Maturity and Relative Value: The Coupon Effect 50
Yield-to-Maturity and Realized Return 51
CHAPTER 4
Generalizations and Curve Fitting 53
Accrued Interest 53
Compounding Conventions 56
Yield and Compounding Conventions 59
Bad Days 60
Introduction to Curve Fitting 61
Piecewise Cubics 69
APPLICATION: Fitting the Term Structure in the U.S. Treasury Market
on February 15, 2001 71
TRADING CASE STUDY: A 7s-8s-9s Butterfly 77
APPENDIX 4A
Continuous Compounding 83
APPENDIX 4B
A Simple Cubic Spline 85
PART TWO
Measures of Price Sensitivity and Hedging 87
CHAPTER 5
One-Factor Measures of Price Sensitivity 89
DV01 91
A Hedging Example, Part I: Hedging a Call Option 95
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