Bonds and Bond Derivatives, Second Edition

INDEX

accounting definitions 278

actuarial tables 102

add-on rate 89–90, 92

adjustment factor 262–3

adverse selection 51

agency problem 34

Ambac Financial Group 31

American Bar Association 172

American options 179, 181

AMEX (American Stock Exchange) 41, 44

amortization 225, 226

annuities 63, 99, 129

present value of 61–2, 124–5, 147, 213, 217

arbitrage 148–9, 180, 181, 225, 238, 274

bond coupons and 137–9

conditions for 135–6

covered interest 283–5

creating forward contracts from spot securities 141–3

cumulative cash flows 135–6, 138, 139, 140, 145

finding opportunities 147

forces link between spot and futures prices 239

forward interest rates and 143–5

long futures 240

longs and shorts 254

opportunities for 190, 239, 241, 245

present values and 136–7

profitable 182

proof of linear relationship between bond price and coupon 145–7

repeated profit from 241

replicating portfolio 139–41

see also shortselling

assets 33, 275

foreign holdings 279

immunizing 106–12

liquid 50, 81

liquidation of 168, 170, 171

nondividend-paying or noninterest-bearing 189

pledged as collateral 84, 168

readily turned into cash 18

restrictions on disposition of 172

risky 50

see also underlying assets

assumable mortgages 216–17

auctions 28

discriminatory 21–2, 23

single-price 22–3

auditing 53

automated transactions 44, 47

balance of payments problems 278

bank loans 45, 46, 53, 56, 82

demand for 152

highly restrictive 177

major source of debt financing for small firms 55

bankers acceptances 85–6

bankruptcy