This is
not the sort of book you read. Rather it is a reference chock full of bond
pricing formulas.
What is
the day-count convention for New Zealand Government bonds? What is the
end-of-month rule, and where does it apply? How are conversion factors
calculated for bond futures around the world? Here you will find detailed
answers to these and many more questions.
Author Krgin has worked in fixed income analytics at Merrill
Lynch for 15 years. He is uniquely positioned to produce a reference like this.
Numerous formulas are presented relating to day counts, yields, accrued
interest, irregular coupon periods, forward rates and futures prices around the
globe. Concepts are illustrated with numerical examples.
Contents
1. General Price/Yield Formula:
Periodic Payment Fixed Income Securities
2. Accrued-Interest Calculations
3. Other Calculations
4. Sample Calculations: Periodic
Payment Fixed Income Securities
5. Determining Coupon Dates for
Periodic Payment Fixed Income Securities
6. Cash Flow Calculations
7. Forward Pricing Analysis
8. Conversion Factor
9. Futures Analytics
10. U.S. Securities
11. Foreign Government Bonds
The book is different from Stigum and Robinson's (1996)
Money Market & Bond Calculations. Stigum and Robinson is dated. It
preceded the emergence of the euro. However, that book is also more
comprehensive, detailing a greater variety of calculations—commercial paper,
floating rate notes, money market instruments, swaps, options, etc. Krgin focuses on fixed coupon
bonds, with an emphasis on government issues. Stigum and Robinson is nicely
written. Krgin is cryptic.
This book will appeal most to developers of fixed
income analytics. However, anyone who needs to know bond conventions around the
world will want to have a copy.
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