HiI am writing some procedures to do with pricing and risk management for fixed income (and money market) securities like Bonds, CD’s, CP, Notes etc etc.Most of the pricing (and yield) calculations are pretty straight forward but there are a lot of country and region specific nuances that cause a few headaches. I would like to find a book that covers these calculations in detail and so far have not found much at all. There are lots of books that cover the generalities of bond pricing but do not go into the depth that I am looking for.I found that the SIA in the US publish a couple of books that are called something like “Std. Securities Calculation Methods” vols 1 and 2 written by Jan Mayle but they are not available in Australia and they are ridiculously expensive. I think they may be out of print and they only cover the US market conventions.Any suggestions as to reference material that would make my life just a little bit easier.Thanks

Why dont you search for relevant journal articles?

I have tried some searches but have not come up with much. Perhaps fixed income algorithms are not discussed that much because the technology is relatively old?Or, maybe I am looking in the wrong places? Any suggestions would be appreciated.

It would be much more helpful for everybody if you could state what exactly your problems areCountry Risk?Currency risk modelling?Calendar Conventions?

I have not used this forum to state what my specific problems were as I was under the impression that this forum was about books and not about how to solve specific technical issues. However, to be a bit more specific, the area I am having problems with at the moment is more to do with date conventions than anything else. I am trying to replicate the way bonds and notes are calculated in the US and find that if I apply an Actual/360 convention to the Treasury Bond calculation (using cashflow analysis) that my results differ from what others tell me is the correct result. (Using Actual/365 and 30/360 I get the right results.)As I can envisage this problem occurring with other currencies that have even more unusual conventions, my first idea was to try and find a definitive reference that I could go to. Hence the original posting.

Assuming that you dont do anythiing wrong regarding your calculus, you should bring all your bonds under the same footing.That means you should use the same day conventions across all your bonds (which one is up to you) and you should translate all your cashflows and marking to market, in one base currency, thats usually the domestic currency or the one the where your accounting reporting is denominatedAnthis

JP Morgan used to (and still may) provide a very informative pdf format document entitled "Government Bond Outlines" on their website. It lists the conventions (payment frequencies, day counts, etc.) for sovereign bonds for a large number of countries. If you can't find it or it is no longer available, I can probably have a copy.There is also a book by Stigum and Robinson titled "Money Market and Bond Calculations" ISBN #1-55623-476-7 which provides useful implementation details for fixed income algorithms in general and also conventions for a number of countries - beware however, their listings of some Canadian conventions are wrong - they list the Canadian money market convention as act/360 when it is in fact act/365 and, like many sources, they get Canadian bond accrued wrong - there can be negative accrued interest on a Canadian bond over a day at the end of a normal coupon period! Very peculiar beast. I used to have real fun with US bond dealers who traded Canadian bonds and weren't aware of this.I think the SIA book is pretty unclear about some things, particularly the 30/360 convertion, perhaps deliberately so, since the author also sells bond code. I tried pinning the guy down over the phone about the 30/360 day count years ago and got nowhere. Best avoided.

I searched on the Chase web site and came up blank. Thanks for the reference anyway.I also tried to look for the book you mentioned but it is quite old and not available in Australia.In searching for books on this subject I have come across the following and was wondering if anyone had a view on any of these as a reference source for fixed income conventions and calculation methods. Some of these are not readily available.(1) Money Market and Bond Calculations, Stigum and Robinson, 1556234767 (from DavidJN)(2) The Handbook of Fixed Income Securities, 6th Edition, Febozzi, 0071358056 (3) Fixed Income Mathematics, Febozzi, 0786311215 (4) The Treasury Bond Basis: An In Depth Analysis for Hedgers, Speculators and Arbitrageurs, Galen D. Burghardt, Terrence M. Belton, Terry Belton 1557384797 (5) Fixed Income Markets and Their Derivatives, Suresh M. Sundaresan, 32400446XAny feedback would be helpful. Also, any other book names would be useful.

Fabozzi's are standard texts in the field and i guess should be enoughAnthis

Derivs,The Stigum and Robinson book I suggested was first published in 1996. If you don't mind a book which only deals with US conventions, try "Fixed Income Analytics" by Ken Garbade (MIT Press, 1999, ISBN 0-262-07176-2) and is based on a brilliant series of technical papers he wrote while working at BT Bank in the 1980's. This book is very clear on basic topics and proceeds on to very complex analysis of yield curve dynamics. A personal favorite.

Thanks David. I have ordered the "Fixed Income Analytics" book so I hope that you are right. The cost here is US$90Not cheap.