Handbook of fixed-income securities

Intro -- Title Page -- Copyright -- Table of Contents -- Dedication -- Notes on Contributors -- Preface -- The Handbook -- Part I: Fixed Income Markets -- 1 Fixed Income Markets: An Introduction -- 1.1 Introduction -- 1.2 U.S. Treasury Bills, Notes, and Bonds -- 1.3 Interest Rates, Yields, and Discounting -- 1.4 The Term Structure of Interest Rates -- 1.5 Pricing Coupon Notes and Bonds -- 1.6 Inflation-Protected Securities -- 1.7 Floating Rate Notes -- 1.8 Conclusion -- References -- 2 Money Market Instruments -- 2.1 Overview of the Money Market -- 2.2 U.S. Treasury Bills -- 2.3 Commercial Paper -- 2.4 Discount Window -- 2.5 Eurodollars -- 2.6 Repurchase Agreements -- 2.7 Interbank Loans -- 2.8 Conclusion -- References -- 3 Inflation-Adjusted Bonds and the Inflation Risk Premium -- 3.1 Inflation-Indexed Bonds -- 3.2 Inflation Derivatives -- 3.3 No-Arbitrage Pricing -- 3.4 Inflation Risk Premium -- 3.5 A Look at the Data -- 3.6 Conclusion -- 3.7 Appendix -- 3.8 Data Appendix -- References -- 4 Mortgage-Related Securities (MRSs) -- 4.1 Purpose of the Chapter -- 4.2 Introduction To MRSs -- 4.3 Valuation Overview -- 4.4 Analyzing an MRS -- 4.5 Summary -- References -- Part II: Monetary Policy and Fixed Income Markets -- 5 Bond Markets and Monetary Policy -- 5.1 Introduction -- 5.2 High-Frequency Identification of Monetary Policy Shocks -- 5.3 Target Versus Path Shocks -- 5.4 Conclusions -- Acknowledgments -- References -- 6 Bond Markets and Unconventional Monetary Policy -- 6.1 Introduction -- 6.2 Unconventional Policies: The Fed, ECB, And BOE -- 6.3 Unconventional Policies: A Theoretical Framework -- 6.4 Unconventional Policies: The Empirical Evidence -- 6.5 Conclusions -- Acknowledgments -- References -- Part III: Interest Rate Risk Management -- 7 Interest Rate Risk Management and Asset Liability Management -- 7.1 Introduction.