Fixed Income Analytics brings together twenty influential papers written by KennethGarbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of thefew, if not only, books on fixed income analysis that focuses on applicable techniques whileremaining analytically rigorous.Divided into four parts, Fixed Income Analytics presentsquantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills,notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bondyield and bond duration; in part II, yield curves and the problem of assessing relative value; inpart III, topics in fixed income portfolio management associated with change in the shape of theyield curve -- yield curve trades, butterfly trades, and hedging -- and in part IV, thecharacteristics and consequences of fluctuations in the shape of the yield curve.
Kenneth D. Garbade is a Vice President of the Federal Reserve Bank of New York.
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