Investing in mortgage-backed and asset-backed securities : financial modeling with R and open source analytics + website

Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Acknowledgments -- Introduction -- Part 1 Valuation of Fixed-Income Securities -- Chapter 1 The Time Value of Money -- 1.1 Present Value -- 1.2 Future Value -- 1.3 Present Value of an Annuity -- 1.4 Future Value of an Annuity -- 1.5 Solving Financial Questions with Present and Future Value -- 1.6 Application to Fixed-Income Securities -- Chapter 2 Theories of the Term Structure of Interest Rates -- 2.1 The Rational or Pure Expectations Hypothesis -- 2.2 The Market Segmentation Theory -- 2.3 The Liquidity Preference Theory -- 2.4 Modeling the Term Structure of Interest Rates -- 2.4.1 Relationship of the Yield Curve to Spot Rates and Forward Rates -- 2.5 Application of Spot and Forward Rates -- Chapter 3 Fixed-Income Metrics -- 3.1 Maturity -- 3.2 Yield to Maturity -- 3.3 Weighted Average Life -- 3.4 Duration -- 3.4.1 Macaulay Duration -- 3.4.2 Modified Duration -- 3.5 Convexity -- 3.6 Fisher-Weil Duration and Convexity -- 3.6.1 Fisher-Weil Duration -- 3.6.2 Fisher-Weil Convexity -- 3.6.3 Fisher-Weil vs. Modified Duration and Convexity -- 3.7 Effective Duration -- 3.8 Effective Convexity -- 3.9 Summing the Aforementioned Measures of Duration and Convexity -- 3.10 Key Rate Duration -- Chapter 4 The Valuation of Fixed-Income Securities -- 4.1 A Valuation Framework for Fixed-Income Securities -- 4.2 Application of the Framework to Structured Securities -- 4.3 Twist and Shift: Characterizing Changes in the Level, Steepness, and Curvature of the Term Structure -- 4.4 Case Study: 4.00% 30-Year MBS -- 4.4.1 Swap Curve Twist Steepen Scenario -- 4.4.2 Swap Curve Twist Flatten Scenario -- 4.5 Scenario Comparative Analysis -- Chapter 5 Fixed-Income Return Analysis -- 5.1 Return Strategies -- 5.2 The Components of Return -- 5.3 The Buy-and-Hold Strategy -- 5.3.1 Coupon Income.