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Investments 4/c/e
Investments, 4th Canadian Edition, 4/e
Zvi Bodie, Boston University School of Management
Alex Kane, University of California, San Diego
Alan Marcus, Boston College
Stylianos Perrakis, Concordia University
Peter Ryan, University of Ottawa
Managing Bond Portfolios

Web Links

Prepared by William Lim, University of New Brunswick.
Interest Rate Risk: The Bond Market Association
(http://www.investinginbonds.com/info/igcorp/risk.htm)

Understanding interest rate risk. General information.
Duration Measure: The Investment FAQ
(http://invest-faq.com/articles/bonds-duration.html)

This article from The Investment FAQ discusses bonds, specifically duration measure.
Interest Rates and Bond Yields: William F. Sharpe
(http://www.stanford.edu/~wfsharpe/mia/prc/mia_prc4.htm)

An article on interest rates and bond yields by Nobel laureate William F. Sharpe.
J.P. Morgan Government Bond Index: JP Morgan
(http://www.jpmorgan.com/MarketDataInd/GovernBondIndex/GovernBondIndex.html)

The J.P. Morgan Government Bond Index is the most widely-used benchmark for measuring performance and quantifying risk across international fixed income bond markets. The indices measure the total, principal, and interest returns in each market and can be reported in 19 different currencies. By including only traded issues available to international investors, the Index provides a realistic measure of market performance.
Emerging Markets Bond Index: JP Morgan
(http://www.jpmorgan.com/MarketDataInd/EMBI/embi.html)

The Emerging Markets Bond Index Plus (EMBI+) tracks total returns for traded external debt instruments in the emerging markets. The instruments include external-currency-denominated Brady bonds, loans and Eurobonds, as well as U.S. dollar local markets instruments. In addition to serving as a benchmark, the EMBI+ provides investors with a definition of the market for emerging markets external-currency debt, a list of the instruments traded, and a compilation of their terms.
Practical Uses of Duration and Convexity for Bond Buyers: TheStreet.com
(http://www.thestreet.com/funds/bondforum/751721.html)

Practical uses of duration and convexity for bond buyers, by Elizabeth Roy, Senior Writer for TheStreet.com.
Fixed Income Active Strategies: Barra
(http://www.barra.com/Newsletter/NL162/FIAcStratNL162.asp)

by Ronald N. Kahn, Barra Newsletter This article investigates how to succeed at fixed income active management.
Risk and Return in the Canadian Bond Market: Barra
(http://www.barra.com/)

Barra website. The articles within present a specific multifactor risk model of the Canadian bond market developed at BARRA.
Bond Data and Information: Smartmoney.com
(http://www.smartmoney.com/bonds/)

This site has several tools that apply to concepts covered in this chapter. It has a swapping template that assists in the decision of whether you should swap a bond. It also has a portfolio allocation model that allows you to put information in concerning your expectations and risk aversion.
Interest Rate Swaps: The Financial Pipeline, Inc.
(http://www.finpipe.com/intrates.htm)

One of the largest components of the global derivatives markets and a natural adjunct to the fixed income markets is the interest rate swaps market. This article explains how the over-the-counter swap market operates.




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