Choudhry M. Fixed-Income Securities and Derivatives Handbook: Analysis and Valuation

Princeton: Bloomberg Press, 2005. — 475 p.Introduction to bonds.
The Bond Instrument.
Bond Instruments and Interest Rate Risk.
Bond Pricing and Spot and Forward Rates.
Interest Rate Modeling.
Fitting the Yield Curve.
Selected cash and derivative instruments.
Forwards and Futures Valuation.
Swaps.
Options.
Measuring Option Risk.
Credit Derivatives.
The Analysis of Bonds with Embedded Options.
Inflation-Indexed Bonds.
Hybrid Securities.
Securitization and Mortgage-Backed Securities.
Collateralized Debt Obligations.
Selected market trading considerations.
The Yield Curve, Bond Yield, and Spot Rates.
Approaches to Trading.
Appendix: The Black-Scholes Model in Microsoft Excel.