Bond Math

13y

You def. need to be able to calc yield to worst, but that's done basically by calcing the yield to call for each call date as well as YTM and selecting the lowest yield.

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13y

Best Response

I find that the term 'bond math' is an anachronism for a pretty broad subjet.

I think for starters, you should know how to bootstrap a yield curve from bond prices. Know how to go from a zero curve to a forward curve and back. Know some basic interest rate models (i.e. hull-white one factor etc.) Know how to price basic fixed income derivatives like CDS and options on bonds. Have some intuition about vanilla swaps, and learn basic features of more complex swaps (knockout, cancellable etc...). Then there's learning how to price CDOs, synthetic CDOs. Then you should learn about bringing in FX exposure to all of these instruments. For defaultable products, learn about CVA (credit valuation adjustment) etc.

There's a lot to learn.

-MBP

13y

Oh yes, and know about your sensitivies (duration, convexity, PV01, CR01 etc...)

-MBP

tabthe

Orangutan

13y

Thanks guys, but what sources have you used in order to learn the above mentioned? I cant even find anything worthwhile on YTW. Did you use internal company manuals or more widely available texts?

13y

John Hull - Options, Futures and other Derivatives (general text)

Frank Fabozzi - The Handbook of Fixed Income Securities (good intro)

Bruce Tuckman - Fixed Income Securities (advanced treatment)

-MBP

13y

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