A Practical Guide to Bonds and Swaps

52 Pages Posted: 17 Feb 2010

See all articles by Thomas Coleman

Thomas Coleman

University of Chicago - Harris School of Public Policy; Close Mountain Advisors LLC

Date Written: February 20, 1998

Abstract

This paper provides a practical introduction to the fixed income capital markets (bonds and swaps). It is intended to provide the practical, institutional aspects of the markets together with the fundamental concepts used in today’s capital markets. In line with their ubiquity throughout the markets, derivatives (swaps) are introduced early.

There are two central themes running throughout the paper which are central to the modern fixed income capital markets: Mark-to-market valuation by calculating the present value (PV) of cash flows off a yield curve; Measuring risk as the change in the present value resulting from changes in the yield curve.

Keywords: Bond, Swap, Market-to-Market, Risk

JEL Classification: G1,G12

Suggested Citation

Coleman, Thomas, A Practical Guide to Bonds and Swaps (February 20, 1998). Available at SSRN: https://ssrn.com/abstract=1554029 or http://dx.doi.org/10.2139/ssrn.1554029

Thomas Coleman (Contact Author)

University of Chicago - Harris School of Public Policy ( email )

1155 East 60th Street
Chicago, IL 60637
United States

Close Mountain Advisors LLC ( email )

19 Davenport Ave.
Unit B
Greenwich, CT 06830
United States

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