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Bond Markets Structures and Yield Calculations

Bond Markets Structures and Yield Calculations


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About the Book

A guide to comparing investment returns in 30 bond markets. As the volume of international cross-border bond trading continues to increase, it is vital to be able to compare consistently the return from investments in different markets and to agree the cost of transactions. To do this one has to understand the differences in the conventions for calculating prices, yields, interest rates and settling these instruments which exist in the different bond markets. The fast-changing nature of the markets makes keeping track of this information difficult. This book defines and compares the differing standard methods and conventions which are in use in the international and domestic bond markets. Worked examples illustrate the derivation and correct use of the relevant formulae, allowing the reader to programme his or her own applications. A comprehensive table summarizes and compares methodology and conventions in 30 bond markets around the world. The comparison covers: how different instruments are normally quoted; how much aacrued interest is payable by the buyer in addition to the traded price; the cost of the bond if quoted on a yield basis; normal settlement period and where the bonds may be settled; rules for adjusting coupon dates; rules for whether buyer or seller gets the coupon; the normal way yields are quoted and calculated togetehr with their compounding frequencies; rates of witholding tax; and how associated money markets accrue interest.


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Product Details
  • ISBN-13: 9781901912029
  • Publisher: GDP
  • Publisher Imprint: GDP
  • Height: 235 mm
  • ISBN-10: 1901912027
  • Publisher Date: /02/1998
  • Binding: Hardback
  • Width: 150 mm


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