Preface ix Acknowledgments xi 1 Introduction 1 2 Pricing of Bonds 19 3 Measuring Yield 45 4 Bond Price Volatility 71 5 The Theory and History of Interest Rates 109 6 Factors Affecting Bond Yields and the Term Structure of Interest Rates 125 7 Treasury and Federal Agency Securities 161 8 Corporate Debt Instruments 175 9 Municipal Securities 209 10 International Bonds 229 11 Residential Mortgage Loans 259 12 Agency Mortgage Pass-Through Securities 273 13 Agency Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities 307 14 Nonagency Residential Mortgage-Backed Securities 349 15 Commercial Mortgage Loans and Commercial Mortgage-Backed Securities 365 16 Asset-Backed Securities 379 17 Collective Investment Vehicles 403 18 Liquidity and Trading of Credit/Spread Products 423 19 Analysis of Bonds with Embedded Options 445 20 Analysis of Residential Mortgage-Backed Securities 477 21 Analysis of Convertible Bonds 511 22 Corporate Bond Credit Analysis 531 23 Credit Risk Modeling 561 24 Bond Portfolio Management Strategies 583 25 Bond Portfolio Construction 629 26 Managing a Corporate Bond Portfolio 661 27 Liability-Driven Investing for Defined Benefit Pension Plans 693 28 Bond Performance Measurement and Evaluation 713 29 Interest-Rate Futures Contracts 731 30 Interest-Rate Options 775 31 Interest-Rate Swaps, Forward-Rate Agreements, Caps, and Floors 819 32 Credit Default Swaps 857 Appendix: The Investment Management Agreement 881 Index 891.