Fixed Income Fundamentals: 

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Eliezer  Z. Prisman (c) 2015 


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Click the hyperlink to read the Preface.  

Chapter 1:Introduction and Review of Simple Concepts

1.1 Annuities, perpetuities and mortgages

1.2 Forward Contracts

1.3 Swaps

1.4 Conclusions

1.5 Questions and problems

Chapter 2: Basic Features of Bond Markets

2.1   A Basic Model of Bond Markets

2.2   Arbitrage in the Debt Market

2.3   Defining the No-Arbitrage condition

2.4   Pricing by Replication and Discount factors

2.5   Discount Factors and NA

2.6   Rates, Discount Factors, and Continuous Compounding

2.6.1   Continuous Compounding

2.7   Concluding Remarks

2.8   Questions and Problems

2.9   Appendix  

Chapter 3: The Term Structure, its Estimation & Smoothing 

3.1   The Term Structure of Interest Rates

3.1.1 Zero Coupon, Spot and Yield Curves

3.2   Smoothing of the Term Structure

3.2.1   Smoothing and Continuous Compounding

3.3   Forward Rates

3.3.1   Forward Rate:  A Classical Approach

3.3.2  Forward Rate:  A Practical Approach

3.4   A Variable Rate Bond

3.5   Concluding Remarks

3.6   Questions and Problems

3.7   Appendix

3.7.1   Theories of the Shape of the Term Structure

3.7.2   Approximating Functions

Chapter 4: Duration and Immunization  

4.1 Duration - a sensitivity measure of bonds' prices to interest rate

4.2 Immunization a first look

4.3 Generalized duration and immunization

4.4 Immunization strategies with and without short sales

4.5 Concluding remarks

4.6 Questions and Problems

Chapter 5: Forwards, Eurodollars and Futures 

5.1  Forward Contracts: A Second Look

5.2  Valuation of Forward Contracts Prior to Maturity

5.3  Forward Price of Assets that Pay Known Cash Flows  

5.3.1 Forward Contracts, Prior to Maturity, of Assets that Pay Known Cash Flows  

5.3.2  Forward Price of a Stock that Pays A Known Dividend Yield  

5.4  Eurodollar Contracts

5.4.1  Forward Rate Agreements (FRA)

5.5  Futures Contracts: A Second Look

5.6  Deterministic Term Structure (DTS)

5.7  Futures Contracts in a DTS Environment

5.8  Concluding Remarks

5.9  Questions and Problems

Chapter 6: Swaps: A Second Look 

6.1  A Fixed-for-Float Swap

6.1.1  Valuing an Existing Swap

6.2  Currency Swaps

6.3  Commodity and Equity Swaps

6.3.1 Equity Swaps




















6.4  Forwards and Swaps: A Visualization

6.5  Concluding Remarks         

6.6  Questions and Problems