Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

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.

share|improve this question
1  
I think Americans just read Fabozzi. –  chrisaycock Mar 7 '13 at 18:38
    
Any specific book by him? –  ikh Mar 7 '13 at 18:54
2  
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 '13 at 20:09
1  
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 '13 at 3:45
4  
This guide (link towards the end of the post) details several market conventions but does not cover everything you asked for. –  assylias Mar 8 '13 at 9:18
add comment

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.

share|improve this answer
add comment

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.

share|improve this answer
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.