BFM Numericals Solved · Part 3: Treasury and ALM

Chapter 6: Money market and bond prices

How a treasury prices money for a night, a quarter or ten years: T-bills, CPs, CDs, call money and repo, then coupon bonds, their yields and the rates they imply.

Buyers of the e-book, or of the print copy, which includes it, read the whole chapter. Everyone can read the free sample, pages 1 to 24 of the e-book.

In this chapter

• 6.1The money marketp. 115
• 6.2Treasury billsp. 116
• 6.3Commercial paperp. 118
• 6.4CDs, and comparing yieldsp. 119
• 6.5Call money and repop. 120
• Four 30-second routesp. 121
• 6.6Bond pricesp. 122
• 6.7Accrued interestp. 124
• 6.8Current yield and YTMp. 125
• 6.9Zero-coupon bondsp. 127
• 6.10Pull to parp. 128
• 6.11Holding-period returnp. 129
• 6.12Spot and forward ratesp. 130
• Which formula? A map of the chapterp. 131
• Exam traps and conventionsp. 132
• Practice: 30 questions in three roundsp. 133
• Answers, with every wrong option explainedp. 136
• Make it stickp. 139
• Chapter 6 on one pagep. 140

Corrections and updates

None for this chapter so far. Every correction to the book, and any rule that changes after its date, is listed on the errata page.