Fixed Income Securities, 3rd Edition

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Fixed Income Securities, 3rd Edition
P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford Additional praise for Fixed Income Securities: Tools for Today's Markets, 3rd edition "The coverage of fixed income markets and instruments is even better than in pre- vious editions while the book retains the same clarity of exposition via extensive, carefully worked examples. An outstanding textbook that is extensively used by practitioners is something special. This is indeed the standout text on fixed income Stephen m. schaefer, Professor of Finance, London business school This is a terrific reference text that combines a strong conceptual framework with real-world pricing and hedging applications. It is a must-read for any serious investor in fixed income markets. oln -Terry Belton, Global Head of Fixed Income Research, JPMorgan This outstanding book achieves the perfect balance between presenting the foun rational principles of fixed income markets and providing interesting and insightful practical applications. This classic is required reading for anyone interested in un- derstanding fixcd incomc markets -Francis Longstaff, Allstate Professor of Insurance and Finance The anderson School at UCLA "This is a grcat book. It covers the most current issues in fixcd incomc and reflects he authors'deep understanding of the markets grounded in the theory of finance and many years of practical experience -Ardavan Nozari, Treasurer, Citigroup Global Markets Holding Inc P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford Fixed income Securities P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford Founded in 1807, John Wiley sons is the oldest independent publish ing company in the United States. With offices in North America, Europe Australia and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers' professional and personal knowledge and understanding. The Wiley finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their financial advisors. Book topics range from portfolio management to e-commerce, risk management, financial engineering valuation and fi nancial instrument analysis, as well as much more oralistofavailabletitlesvisitourWebsiteatwww.WileyFinance.com P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford Fixed Income Securities Tools for Today's Markets Third edition BRUCE TUCKMAN ANGEL SERRAT WILEY John wiley I ons. n P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford Copyright o 2012 by Bruce Tuckman and Angel Serrat. all rights reserved Published by john Wiley Sons, InC, Hoboken, New Jersey Published simultaneously in Canada No part of this publication may bc reproduced, stored in a rctricval systcm, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc, 222 Rosewood Drive, Danvers, MA01923, (978)750-8400, fax(978)646-8600, or on the Web Permissions Department, John Wiley Sons, Inc, 111 River Street, Hoboken, NJ07030 c atwww.copyright.comRequeststothePublisherforpermissionshouldbeaddressedtothe (201)748-6011,fax(201)748-6008,oronlineatwww.wiley.coim/go/pernissions Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best cfforts in preparing this book, thcy makc no rcprcscntations or warranties with rcspcct to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. The materials presented herein are the subjective views of the authors and do not represent current or past practices or beliefs of any organization or employer with whom the authors have been affiliated. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special incidental, consequential, or other danages For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at(800)762 2974, outside 317)572-3993 (317)572-4002 Wiley also publi of electronic formats. se t th print may not be available in electronic books. For more information about Wiley products visitourwebsiteatwww.wileycom Library of congress Cataloging-in-Publication data Tuckman, bruce. Fixed income securities: tools for today's markets /Bruce Tuckman, Angel Serrat. -3rd ed p cm-(Wilcy finance scrics Includes inde ISBN 978-0-470-89169-8(hardback) ISBN978-0-47090403-9( paperback);ISBN978-1-118-13397-2ebk}; SRN978-1-118-1398-9(ebk);SRN978-1-118-1399-6(cbk) 1. Fixed-income securities. I Serrat, Angel. Il. Title HG4650.T832012 332.63′2044-dc23 2011037178 Printed in the united states of america 1098765432 P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford Contents Preface to the third edition Acknowledgments An Overview of global fixed income markets PART ONE The Relative pricing of Securities with Fixed Cash Flows CHAPTER 1 Prices, Discount Factors, and Arbitrage CHAPTER 2 Spot, Forward, and par Rates CHAPTER 3 Returns Spreads, and yields 05 PART TWO Measures of Interest Rate Risk and Hedging 119 CHAPTER 4 One-Factor Risk Metrics and hedges 123 CHAPTER 5 Multi-Factor Risk Metrics and Hedges CHAPTER 6 Empirical Approaches to Risk Metrics and Hedging P1: TIX/XYZ P2: ABC JWBT539-fm JWBT539-Tuckman September 15, 2011 11: 42 Printer: Courier Westford CONTENTS PART THREE Term structure Models 201 CHAPTERZ The science of term structure models 207 CHAPTER 8 The Evolution of Short Rates and the shape of the Term structure 229 CHAPT:R 9 The art of term structure Models: Drift 251 CHAPTER 10 The Art of Term Structure Models: volatility and Distribution 275 CHAPTER 11 The Gauss+ and LIBoR Market Models 287 PART FOUR Selected Securities and Topics 325 CHAPTER 12 Repurchase Agreements and Fnancing 327 CHAPTER 13 Forwards and Futures: Preliminaries 351 CHAPTER 14 Note and bond Futures 373 CHAPTER 1 Short-Term Rates and their derivatives CHAPTER 16 Swaps CHAPTER 17 Arbitrage with Financing and Two-curve Discounting 457 CHAPTER 18 Fixed Income Options 483

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