Fixed Income Analysis

Preface xv

Acknowledgements xvii

About the CFA Institute Investment Series xix

PART I: Fixed Income Essentials

CHAPTER 1: Fixed Income Securities: Defining Elements 3

CHAPTER 2: Fixed Income Markets: Issuance, Trading, and Funding 45

CHAPTER 3: Introduction to Fixed-Income Valuation 91

CHAPTER 4: Introduction to Asset-Backed Securities 149

CHAPTER 5: Understanding Fixed-Income Risk and Return 201

CHAPTER 6: Fundamentals of Credit Analysis 257

PART II: Fixed Income Term Structure, Advanced Valuation, and Credit Analysis

CHAPTER 7: The Term Structure and Interest Rate Dynamics 325

CHAPTER 8: The Arbitrage-Free Valuation Framework 377

CHAPTER 9: Valuation and Analysis of Bonds with Embedded Options 419

CHAPTER 10: Credit Analysis Models 487

CHAPTER 11: Credit Default Swaps 545

PART III: Fixed Income Portfolio Management

CHAPTER 12: Overview of Fixed-Income Portfolio Management 575

CHAPTER 13: Liability-Driven and Index-Based Strategies 617

CHAPTER 14: Yield Curve Strategies 693

CHAPTER 15: Fixed-Income Active Management: Credit Strategies 743

Glossary 823

About the Editors 841

About the CFA Program 843

Index 845

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