An Introduction to the Bond Markets (PDF)

Preface. Introduction. 1. What is a Bond and Who Issues Them? 1.1 Description of a bond. 1.2 The difference between corporate bonds and equities. 2. Types of Bonds and Other Instruments. 2.1 Fixed-rate bonds. 2.2 Floating-rate notes. 2.3 Index-linked bonds. 2.4 Hybrid bonds. 2.5 Other instrument types 3. How Do You Price and Value a Bond? 3.1 Compound interest. 3.2 Discounting and yield considerations. 3.3 Accrued interest. 3.4 How bonds are quoted. 3.5 Bond pricing. 3.6 Yields and related measures. 3.7 Floating-rate notes. 3.8 Real redemption yield. 3.9 Money market yields and discounts. 4. Bond Options and Variants. 4.1 Callable bonds. 4.2 Putable bonds. 4.3 Convertible bonds. 4.4 Dual currency bonds. 4.5 Mortgage-backed securities. 4.6 Collateralized debt obligations. 4.7 Bonds with conditional coupon changes. 4.8 Reverse floaters. 4.9 Bonds with warrant attached. 5. Yield Curves. 5.1 Yield curve shapes. 5.2 Zero-coupon or spot yield curves. 5.3 Forward or forward-forward yield curves. 5.4 Par yield curves. 5.5 Investment strategies for possible yield curves changes. 6. Repos. 6.1 Classic repos. 6.2 Sell/buy-backs. 6.3 Stock borrowing/lending. 7. Option Calculations. 7.1 Buying a call option. 7.2 Writing a call option. 7.3 Buying a put option. 7.4 Writing a put option. 7.5 Theoretical value of an option. 7.6 Combining options. 8. Credit and Other Risks and Ratings. 8.1 Credit risk. 8.2 Liquidity. 9. Swaps, Futures and Derivatives. 9.1 Swaps. 9.2 Credit risk in swaps. 9.3 Swaptions. 9.4 Futures. 9.5 Credit default swaps. 10. Portfolios and Other Considerations. 10.1 Holding period returns. 10.2 Immunization. 10.3 Portfolio measures. 10.4 Allowing for tax. 11. Indices. 11.1 Bond index classification. 11.2 Choosing indices. 11.3 Index data calculations. 11.4 Index continuity. Appendix A: Using the Interactive Website. Appendix B: Mathematical Formulae.

PATRICK J. BROWN, the well known financial mathematician, has worked in stockbroking and the capital markets for over 35 years. He has previously worked at Datastream and was a director of ISMA in London for a number of years. He was involved in developing the original EFFAS bond indices and has written the official guide to their construction. He has been the chairman of the European Bond Commission and the convenor of the ISO 15022 financial message standard working group. He is also the author of the ISMA publication Bond Markets - Structures and Yield Calculations.

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