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In Canadian fixed income markets there is a nice handbook called Canadian Conventions in Fixed Income Markets (PDF). It contains detailed market standard pricing formulas for calculating prices, coupons, accrued, and other values for various types of bonds.

Is there a similar book for US fixed income market, or its best approximation? Preferably it would include all types of Treasury Bills/Notes/Bonds/etc, agency, munis, corporate, commercial paper, etc. Hopefully it would also include standard formulas for call/put/floor/cap/etc, but that may be just wishful thinking.

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I think Americans just read Fabozzi. – chrisaycock♦ Mar 7 at 18:38
Any specific book by him? – ikh Mar 7 at 18:54
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That's an amazingly concise reference sheet, I'd love to see something similar available for the US market. Fabozzi would be a good start. Giddy/Damodaran from NYU also have some good material publicly available on their websites. – jeff m Mar 7 at 20:09
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Second the Fabozzi recommendation. But I have to admit that cited pdf is a very neat set of conventions, given it is adhered to in all Canadian domestic FI markets. – Matt Wolf Mar 8 at 3:45
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This guide (link towards the end of the post) details several market conventions but does not cover everything you asked for. – assylias Mar 8 at 9:18

2 Answers

up vote 2 down vote accepted

And, as suggested by everyone on and offline, the winner is...

The Handbook of Fixed Income Securities by Frank J. Fabozzi.

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It used to be (and maybe still is) Standard Securities Calculation Methods ..., a 2 volume set, but it is no longer available. You might find it in a library. It is available for $$$ at http://www.sifma.org/research/bookstore.aspx, or maybe you can find a used copy. TIPS, Inc., http://www.tipsinc.com/prods.htm, has an app and software implementing the books.

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