Floating-rate securities
著者
書誌事項
Floating-rate securities
Frank J. Fabozzi Associates, c2000
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
Floating-Rate Securities is the only complete resource on "floaters" that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.
目次
About the Authors.
1. Features and Investment Characteristics of Floaters.
2. The Choice of a Floater's Reference Rate.
3. Introduction to the Valuation of Floaters.
4. Valuing Floaters with Embedded Options.
5. Spread Measures and Spread Duration.
6. Relative Value Analysis Using the Interest Rate Swap Market.
7. Adjustable-Rate Mortgage Passthrough Securities.
8. CMO Floaters.
9. ABS Floaters.
10. Analysis of MBS and ABS Floaters.
11. Inverse Floaters.
Index.
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