Bond Math: The Theory Behind the Formulas

by Donald J. Smith

A guide to the theory behind bond math formulas Bond Math explores the ideas and assumptions behind commonly used statistics on risk and return for individual bonds and on fixed income portfolios. But this book is much more than a series of formulas and calculations; the emphasis is on how to think about and use bond math. Author Donald J. Smith, a professor at Boston University and an experienced executive trainer, covers in detail money market rates, periodicity conversions, bond yields to maturity and horizon yields, the implied probability of default, after-tax rates of return, implied forward and spot rates, and duration and convexity. These calculations are used on traditional fixed-rate and zero-coupon bonds, as well as floating-rate notes, inflation-indexed securities, and interest rate swaps.

Genres: Finance, Mathematics

288 pages, Hardcover

First published June 17, 2011

About the author

Librarian Note: This profile contains more than one author. Those listed below have multiple books listed on GoodReads.

Donald J. Smith (2 spaces): non-fiction dealing with transportation
Donald J. Smith (3 spaces): adult

Reviews

[Mike Harris · Rating 4 out of 5]

I got this book to better understand how the different attributes of a bond contributed to its calculated duration, convexity, yield, ... This book did not disappoint! Not only did I get both an academic and a practical perspective to bond math, I got shown where the different calculations live on the Bloomberg screens!

The only short fall in my opinion was that there was only two chapters on portfolio analytics (which is not really the focus of the book, so I cannot falter it too much).