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Floating-Rate Securities /

Bibliographic Details
Main Author: Fabozzi, Frank J.
Format: Book
Language:English
Published: New Hope, Pa. : Frank J. Fabozzi Associates, [2000]
Subjects:
Floating rate notes.
Table of Contents:
  • Features and Investment Characteristics of Floaters
  • The Choice of a Floater's Reference Rate
  • Introduction to the Valuation of Floaters
  • Valuing Floaters with Embedded Options
  • Spread Measures and Spread Duration
  • Relative Value Analysis Using the Interest Rate Swap Market
  • Adjustable-Rate Mortgage Passthrough Securities
  • CMO Floaters
  • ABS Floaters
  • Analysis of MBS and ABS Floaters
  • Inverse Floaters.