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Floating-Rate Securities

ISBN: 978-1-883249-65-6
Hardcover
234 pages
June 2000
List Price: US $84.50
Government Price: US $43.09
Enter Quantity:   Buy
Floating-Rate Securities (1883249651) cover image

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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