Money Market Bond Calculations pdf_Money Market Bond Calculations下载

The long-awaited companion to The Money Market, Money Market and Bond Calculations is the first book to give precise and thorough explanations for valuing fixed-income instruments throughout the world. Among the many topics covered: Discount paper; Interest-payment and day-count conventions; Interest-bearing paper; Comparing rates on a directly equivalent basis; Zero-coupon bonds; Floating-rate instruments; Floating rate notes; The measure of bond yield; Duration; covered interest arbitrage; Payment in kind (PIK) bonds.

I really like the way the fundamentals of valuation are derived from first principle's. It gives a very good presentation of where the assumptions are made. It is extremely important to understand the assumptions if you really want to know what the results do and do not tell you.

That said, there are several typo's and mathematical errors that really need to be corrected - such as the inverted numerator and denominator in the Newton-Raphson equation presented.


Most people take for granted the calculations used to generate a yield, duration and other fixed income statistic. These values are, more often than not, taken as being absolutes by the people who should most know that they are not always absolute and that yields in one market sector are not always comparable to yields in other market sectors. This book, a long anticipated follow-up to "Money Market Calculations" codifies in a succinct manner the basic conventions used to calculate bond numbers for various market sectors. While the book is certainly not a page-turner, it is a very important reference that should be found on every buy and sell-side trading desk.