Description

Book Synopsis
Floating-Rate Securities is the only complete resource on "floaters" that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.

Table of Contents
About the Authors.

1. Features and Investment Characteristics of Floaters.

2. The Choice of a Floater's Reference Rate.

3. Introduction to the Valuation of Floaters.

4. Valuing Floaters with Embedded Options.

5. Spread Measures and Spread Duration.

6. Relative Value Analysis Using the Interest Rate Swap Market.

7. Adjustable-Rate Mortgage Passthrough Securities.

8. CMO Floaters.

9. ABS Floaters.

10. Analysis of MBS and ABS Floaters.

11. Inverse Floaters.

Index.

Floating-Rate Securities

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    A Hardback by Frank J. Fabozzi, Steven V. Mann

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      View other formats and editions of Floating-Rate Securities by Frank J. Fabozzi

      Publisher: John Wiley & Sons Inc
      Publication Date: 30/06/2000
      ISBN13: 9781883249656, 978-1883249656
      ISBN10: 1883249651
      Also in:
      Public finance and taxation

      Description

      Book Synopsis
      Floating-Rate Securities is the only complete resource on "floaters" that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.

      Table of Contents
      About the Authors.

      1. Features and Investment Characteristics of Floaters.

      2. The Choice of a Floater's Reference Rate.

      3. Introduction to the Valuation of Floaters.

      4. Valuing Floaters with Embedded Options.

      5. Spread Measures and Spread Duration.

      6. Relative Value Analysis Using the Interest Rate Swap Market.

      7. Adjustable-Rate Mortgage Passthrough Securities.

      8. CMO Floaters.

      9. ABS Floaters.

      10. Analysis of MBS and ABS Floaters.

      11. Inverse Floaters.

      Index.

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