Treasury Securities and Derivatives

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

• Acknowledgements. 1. U.S. Treasury Securities. 2. Valuation of Treasury Securities. 3. Yield and Return Calculations. 4. The Term Structure of Interest Rates. 5. Spot Rates, Forward Rates, and Theories of the Term Structure of Interest Rates. 6. Measuring Level Risk. 7. Measuring Yield Curve Risk. 8. Measuring Historical Yield Volatility and Forecasting Yield Volatility. 9. Repurchase Agreements. 10. Tax Treatment. 11. Cash Market Trading Strategies. 12. Treasury Futures Contracts. 13. Treasury Options. 14. Valuation of Treasury Futures and Options. 15. Controlling Interest Rate Level Risk with Treasury Futures and Options. 16. Basis Trading with Futures and Volatility Trades with Options. Index.