About This Book
Organization of the Document
Expected Background
Product Requirements
Related Products
Typographical Conventions
Mortgage-Backed Securities
What Are Mortgage-Backed Securities?
Using Fixed-Rate Mortgage Pool Functions
Inputs to Functions
Generating Prepayment Vectors
Mortgage Prepayments
Risk Measurement
Mortgage Pool Valuation
Computing Option-Adjusted Spread (OAS)
Prepayments with Fewer Than 360 Months Remaining
Pools with Different Numbers of Coupons Remaining
Debt Instruments
Treasury Bills Defined
Computing Treasury Bill Price and Yield
Treasury Bill Repurchase Agreements
Treasury Bill Yields
Using Zero-Coupon Bonds
Measuring Zero-Coupon Bond Function Quality
Pricing Treasury Notes
Pricing Corporate Bonds
Stepped-Coupon Bonds
Cash Flows from Stepped-Coupon Bonds
Price and Yield of Stepped-Coupon Bonds
Term Structure Calculations
Computing Spot and Forward Curves
Computing Spreads
Derivative Securities
Pricing and Hedging
Swap Pricing Assumptions
Swap Pricing Example
Portfolio Hedging
Convertible Bond Valuation
Treasury Bond Futures
Theoretical Prices
Implied Repo
Hedge Parameters
Functions -- By Category
Cash Flows
Certificates of Deposit
Convertible Bonds
Derivative Securities
Mortgage-Backed Securities
Option Adjusted Spread Computations
Stepped Coupon Bonds
Treasury Bills
Treasury Bond Futures
Zero Coupon Instruments
Functions -- Alphabetical List
Glossary
Examples
Printable Documentation (PDF)