Category:Fixed income analysis

• Fixed income analysis

0–9

• 30-day yield

A

• Adjusted current yield
• Affine term structure model
• Area yield options contract
• Asset swap spread

B

• Basis point value
• Black–Derman–Toy model
• Bond convexity
• Bond equivalent yield
• Bond valuation
• Bootstrapping (finance)

C

• Chan–Karolyi–Longstaff–Sanders process
• Chen model
• Cheyette model
• Clean price
• Contingent convertible bond
• Cox–Ingersoll–Ross model
• Credit spread curve
• CS01
• Current yield

D

• Date rolling
• Day count convention
• Dirty price
• Duration (finance)
• Duration gap

E

• Effective convexity
• Effective duration
• Embedded option
• Exchangeable bond
• Extendible bond

F

• Fisher equation
• Forward rate

G

• Global bond

H

• Heath–Jarrow–Morton framework
• Ho–Lee model
• Hull–White model

I

• I-spread
• Inside the Yield Book
• Interest only
• Interest rate guarantee

J

• Jamshidian's trick

K

• Kalotay–Williams–Fabozzi model
• Key rate duration

L

• LIBOR market model
• Libor-OIS spread
• Longstaff–Schwartz model

M

• Mortgage yield
• Multi-curve framework

N

• Nelson-Siegel
• Nominal yield

O

• Option-adjusted spread
• Overbond

P

• Principal only
• PSA prepayment model

R

• Redemption value

S

• Smith–Wilson method
• Spot rate

V

• Vasicek model

W

• Weighted-average life

Y

• Yield elasticity of bond value
• Yield spread
• Yield to maturity

Z

• Z-spread
• Zero rate