ABSTRACT
This chapter is an introduction to the modeling of fixed-income securities. We introduce standard terminology and conventions for debt securities and concepts from bond mathematics, such as yield and duration. We also define and give elementary properties of forward rates agreements, swaps, interest-rate futures, and options on interest-rate-sensitive securities. The value of fixed-income securities is determined by the term-structureofinterestrates.The term-structure is usually represented as a curve that displays the value of an index (bond yield, swap rate, forward rate) as a function of the time-to-maturity.
