Fixed Income Analysis

FIXED INCOME
ANALYSIS
Second Edition
Frank J. Fabozzi, PhD, CFA, CPA
with contributions from
Mark J.P. Anson, PhD, CFA, CPA, Esq.
Kenneth B. Dunn, PhD
J. Hank Lynch, CFA
Jack Malvey, CFA
Mark Pitts, PhD
Shrikant Ramamurthy
Roberto M. Sella
Christopher B. Steward, CFA
John Wiley & Sons, Inc.

FIXED INCOME
ANALYSIS
CFA Institute is the premier association for investmentprofessionals around the world,
with over 85,000 members in 129 countries. Since 1963 the organization has developed
and administered the renowned Chartered Financial Analyst Program. With a rich history
of leading the investment profession, CFA Institute has set the highest standards in ethics,
education, and professional excellence within the global investment community, and is the
foremost authorityon investment profession conduct and practice.
Each book in the CFA Institute Investment Series is geared toward industry practitioners
along with graduate-level finance students and covers the most important topics in the
industry. The authors of these cutting-edge books are themselves industry professionals and
academics and bring their wealth of knowledge and expertise to this series.FIXED INCOME
ANALYSIS
Second Edition
Frank J. Fabozzi, PhD, CFA, CPA
with contributions from
Mark J.P. Anson, PhD, CFA, CPA, Esq.
Kenneth B. Dunn, PhD
J. Hank Lynch, CFA
Jack Malvey, CFA
Mark Pitts, PhD
Shrikant Ramamurthy
Roberto M. Sella
Christopher B. Steward, CFA
John Wiley & Sons, Inc.
Copyright
c 2004, 2007 by CFA Institute. All rights reserved.
Published by John Wiley & Sons,Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any
means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section
107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of thePublisher, or
authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222
Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on theWeb at www.copyright.com.
Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons,
Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011,fax (201) 748-6008, or online at
http://www.wiley.com/go/permissions.
Limit of Liability/Disclaimer of Warranty:While the publisher and author have used their best efforts in preparing
this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of
this book and specifically disclaim any implied warranties of merchantability or fitness for aparticular purpose. No
warranty may be created or extended by sales representatives or written sales materials. The advice and strategies
contained herein may not be suitable for your situation. You should consult with a professional where appropriate.
Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but
not limited to special,incidental, consequential, or other damages.
For general information on our other products and services or for technical support, please contact our Customer
Care Department within the United States at (800) 762-2974, outside the United States at (317) 572-3993 or fax
(317) 572-4002.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may notbe
available in electronic formats. For more information about Wiley products, visit our Web site at www.wiley.com.
Library of Congress Cataloging-in-Publication Data:
Fabozzi, Frank J.
Fixed income analysis / Frank J. Fabozzi.—2nd ed.
p. cm.—(CFA Institute investment series)
Originally published as: Fixed income analysis for the chartered financial
analyst program. New Hope, Pa. : F. J....