Prices, Discount Factors, and Arbitrage -- Swap, Spot, and Forward Rates -- Returns, Yields, Spreads, and P&L Attribution -- DV01, Duration, and Convexity -- Key-Rate-, Partial-, and Forward-Bucket '01s and Durations -- Regression Hedging and Principal Component Analysis -- Arbitrage Pricing...

Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three...