Contents
1 Introduction
2 The Time Value of Money
2.​1 The Return Over a Time Unit
2.​2 Discount Factors
2.​3 Annuities
3 The Flat Yield Curve Concept
3.​1 The Description of a Straight Bond
3.​2 Yield Measures
3.​3 Duration and Convexity
3.​4 The Approximation of the Internal Rate of Return
3.​4.​1 The Direct Yield of a Portfolio
3.​4.​2 Different Approximation Scheme for the Internal Rate of Return
3.​4.​3 Macaulay Duration Approximation Versus Modified Duration Approximation
3.​4.​4 Calculating the Macaulay Duration
3.​4.​5 Numerical Illustrations
References
4 The Term Structure of Interest Rate
4.​1 Spot Rate and the Forward Rate

4.​3 Spot Rate and Yield Curve

References

5.​1 Interest Rate Spread

5.​3 Composite Rating

References

6.​1 Segmentation of the Yield Curve

6.​3 Interest Rate Swap

References

7.​1 Definition and Fundamental Properties

7.​3 Recent Developments in the Benchmark Industry

7.​4.​1 Equity Benchmarks

7.​4.​3 Hedged Fixed-Income Indices

References

8.​1 Basics Notions

8.​3 The Bond Behavior

References

Appendices
References
Index