Floating-Rate Securities

Frank J. Fabozzi (Author), Steven V. Mann (Author)

9781883249656, Wiley

Hardback, published 30 June 2000

234 pages
23.4 x 15.6 x 1.9 cm, 0.497 kg

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.

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.

Subject Areas: Finance & accounting [KF]