Fixed Income Analytics
Fixed Income Analytics brings together twenty influential papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of the few, if not only, books on fixed income analysis that focuses on applicable techniques while remaining analytically rigorous.
Divided into four parts, Fixed Income Analytics presents quantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills, notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bond yield and bond duration; in part II, yield curves and the problem of assessing relative value; in part III, topics in fixed income portfolio management associated with change in the shape of the yield curve—yield curve trades, butterfly trades, and hedging—and in part IV, the characteristics and consequences of fluctuations in the shape of the yield curve.
About the Author
Kenneth D. Garbade is Senior Vice President, Money and Payments Studies Function, Research and Statistics Group, at the Federal Reserve Bank of New York. He is the author of Fixed Income Analytics (1996), Pricing Corporate Securities as Contingent Claims (2001), both published by the MIT Press, and other books.
"I am convinced that the ideal text for an introduction to fixed-income analytics has been written . . . in a series of Bankers Trust working papers principally authored by Kenneth Garbade . . . [that] provide mathematically rigorous and self-contained gems on everything from the ideal way to define true yield to how best to compute the yield on a portfolio of bonds."
—Arthur D. Warga, Journal of Finance
"Fixed Income Analytics is an outstanding combination of theprecision of academics with the institutional detail of the real world.It is required reading for any serious MBA student."
—William L. Silber, Professor of Finance and Economics,New York University
"This collection will be very useful. The articles are well-written, informative, and include important institutional detail which is often overlooked. This collection will be a valuable resource for academics and practitioners alike. Congratulations to Ken Garbade on his fine work over the years."
—Mark Broadie, Graduate School of Business, Columbia University
“Kenneth Garbade has been in the forefront in educating bond market participants and in helping them to improve their interest rate risk measure and management tools. His work is state-of-the-art. This collection of his pioneering papers will be highly relevant for bond market participants.”
—Antii Ilmanen, Vice President, Salomon Brothers Inc.
“Fixed Income Analytics presents Kenneth Garbade’s timeless pieces that show the reader not only the details of a problem, but, more importantly, how to think about that class of problems. This collection will serve as a great advanced practical fixed income analysis text. I also think the book will find a home on the shelves of every fixed income researcher on Wall Street.”
—Arthur Warga, Lubar Professor of Finance, University of Wisconsin
“Theories of bond pricing and interest rate behavior focus on relationships that ‘ideal’ securities are supposed to obey. But actual financial markets price actual securities, taking into account a wide range of particular characteristics that affect their values. Moreover, yields are computed from these prices and reported using many different market conventions. What Garbade does in this series of articles is to explain, precisely, clearly, and correctly, how actual bond prices and interest rates are established, given both the theoretical principles and the practical details of the bond market. These descriptions are invaluable for traders who need to price real securities exactly, for researchers who need to understand the characteristics of the instruments and the markets they are studying, and for anyone who wants to learn exactly how the bond market works.”
—Stephen Figlewski, Professor of Finance, Leonard N. Stern School of Business, New York University