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 Fixed Income
Mathematics

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 Fixed Income
Mathematics
Analytical and Statistical
Techniques
Fifth Edition

FRANK J. FABOZZI
FRANCESCO A. FABOZZI

New York  Chicago  San Francisco  Athens  London

Madrid  Mexico City  Milan  New Delhi
Singapore  Sydney  Toronto

Fabozzi_FM.indd 3 22/07/22 8:06 PM

Copyright © 2023, 2006, 1997, 1993 by Frank J. Fabozzi. All rights reserved. Except as permitted
under the United States Copyright Act of 1976, no part of this publication may be reproduced or
distributed in any form or by any means, or stored in a database or retrieval system, without the prior
written permission of the publisher.

ISBN: 978-1-26-425828-4
MHID: 1-26-425828-3

The material in this eBook also appears in the print version of this title: ISBN: 978-1-26-425827-7,
MHID: 1-26-425827-5.

eBook conversion by codeMantra

Version 1.0

All trademarks are trademarks of their respective owners. Rather than put a trademark symbol after
every occurrence of a trademarked name, we use names in an editorial fashion only, and to the benefit
of the trademark owner, with no intention of infringement of the trademark. Where such designations
appear in this book, they have been printed with initial caps.

McGraw Hill eBooks are available at special quantity discounts to use as premiums and sales promo-
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This publication is designed to provide accurate and authoritative information in regard to the subject
matter covered. It is sold with the understanding that neither the author nor the publisher is engaged
in rendering legal, accounting, securities trading, or other professional services. If legal advice or
other expert assistance is required, the services of a competent professional person should be sought.
—From a Declaration of Principles Jointly Adopted by a Committee of the
American Bar Association and a Committee of Publishers and Associations

TERMS OF USE

This is a copyrighted work and McGraw-Hill Education and its licensors reserve all rights in and to
the work. Use of this work is subject to these terms. Except as permitted under the Copyright Act of
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or cause whatsoever whether such claim or cause arises in contract, tort or otherwise.
 To my wife, Donna
—Frank J. Fabozzi

To my Princeton wrestling teammates

—Francesco A. Fabozzi

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 C o n t e n t s

Preface ix
Fifth Versus Fourth Edition xi
Acknowledgments xv

Chapter 1: Introduction 1

Part One

Time Value Of Money

Chapter 2: Future Value 11
Chapter 3: Present Value 21
Chapter 4: Yield (Internal Rate of Return) 35

PART Two

Bond Pricing For Option-Free Bonds And

Conventional Yield Measures
Chapter 5: The Price of a Bond 45
Chapter 6: Bond Yield Measures 63
Chapter 7: The Yield Curve, Spot-Rate Curve, and Forward Rates 77

Part Three

Return Analysis AND RETURN MEASURES

Chapter 8: Potential Sources of Dollar Return 99
Chapter 9: Total Return 107
Chapter 10: Historical Return Measures 119
Chapter 11: Risk-Adjusted Returns/Reward-Risk Ratios 131

PART Four

Price Volatility For Option-Free Bonds

Chapter 12: Price Volatility Properties of Option-Free Bonds 143
Chapter 13: Duration as a Measure of Price Volatility 159
Chapter 14: Combining Duration and Convexity to Measure Price Volatility 191

vii

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 viii Contents

Chapter 15: Duration and the Yield Curve 209

Chapter 16: Empirical Duration 221

Part Five

Historical Return And Yield Volatility

Chapter 17: Measuring Historical Return Volatility 231
Chapter 18: Measuring and Forecasting Yield Volatility 241

PART Six

ANALYZING BONDS WITH EMBEDDED OPTIONS

Chapter 19: Interest-Rate Modeling 251
Chapter 20: Call Options: Investment and Price Characteristics 277
Chapter 21: Valuation and Price Volatility of Bonds with Embedded Options 293
Chapter 22: Analysis of Floating-Rate Securities 319

Part Seven

CREDIT AND LIQUIDITY CONCEPTS

Chapter 23: Credit Risk Concepts and Measures 341
Chapter 24: Measuring Bond Liquidity 357

PART Eight

Analyzing Securitized Products

Chapter 25: Cash-Flow Characteristics of Fixed-Rate Amortizing
Mortgage Loans 375
Chapter 26: Cash-Flow Characteristics of Mortgage-Backed Securities 387
Chapter 27: Analysis of Agency Mortgage-Backed Securities 411

PART Nine

PERFORMANCE ANALYSIS
Chapter 28: Holdings-Based Performance Attribution Analysis 427
Chapter 29: Returns-Based Style Attribution Analysis 445

PART Ten

STATISTICAL AND OPTIMIZATION TECHNIQUES

Chapter 30: Probability Distributions and Statistics 457
Chapter 31: Regression and Principal Component Analysis 475
Chapter 32: Multifactor Risk Models and Their Application to Portfolio
Construction 497
Chapter 33: Monte Carlo Simulation 527
Chapter 34: Optimization Models 541
Chapter 35: Machine Learning 565

Index 579

Fabozzi_FM.indd 8 22/07/22 8:06 PM

 P r e f a c e

In the past four decades, participants in the fixed-income markets have been
i­ntroduced to new analytical frameworks for analyzing fixed-income securities
and formulating fixed-income portfolio strategies. In discussing fixed-income
securities and strategies, we often hear terms such as model duration, empiri-
cal duration, effective duration, spread duration, positive and negative convexity,
option-adjusted spread, duration times spread, prepayment rates, spot rates, for-
ward rates, yield volatility, lattice model, value-at-risk, factor models, optimiza-
tion, simulation, machine learning, fat tails, and default correlation, and the list
goes on. What do these concepts mean? Why are these concepts useful in the
analysis of fixed-income securities and the formulation of fixed-income strate-
gies? Moreover, what are the dangers of using these concepts without a complete
understanding of what they mean and their limitations?
Fixed Income Mathematics: Analytical and Statistical Techniques not only
explains these and many other important concepts that players in the bond market
need to know, but also sets forth the foundation needed to understand them, their
computation, their limitations, and their application to fixed-income analysis and
portfolio management. It begins with the basic concepts of the mathematics of
finance (the time value of money) and systematically builds on these, taking you
through the state-of-the-art methodologies for evaluating fixed-income securities
with embedded options: mortgage-backed securities (mortgage pass-through
­securities, collateralized mortgage obligations, and stripped mortgage-backed secu-
rities). The concepts are illustrated with numerical examples and graphs. The mate-
rial is self-contained and requires only a basic knowledge of elementary algebra
to understand.

Frank J. Fabozzi
Francesco A. Fabozzi

ix

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 Fifth Versus Fourth Edition

The fourth edition of the book contained eight parts and 31 chapters as shown in the table
following:

Chapter 1 Introduction
Chapter 2 Overview of Fixed-Income Securities and Derivatives

PART ONE TIME VALUE OF MONEY

Chapter 3 Future Value
Chapter 4 Present Value
Chapter 5 Yield (Internal Rate of Return)

PART TWO BOND PRICING FOR OPTION-FREE BONDS AND CONVENTIONAL

YIELD MEASURES
Chapter 6 The Price of a Bond
Chapter 7 Conventional Yield and Spread Measures for Bonds
Chapter 8 The Yield Curve, Spot Rate Curve, and Forward Rates

PART THREE RETURN ANALYSIS

Chapter 9 Potential Sources of Dollar Return
Chapter 10 Total Return
Chapter 11 Measuring Historical Performance

PART FOUR  PRICE VOLATILITY FOR OPTION-FREE BONDS

Chapter 12 Price Volatility of Properties of Option-Free Bonds
Chapter 13 Duration as a Measure of Price Volatility
Chapter 14 Combining Duration and Convexity to Measure Price Volatility
Chapter 15 Duration and the Yield Curve

PART FIVE ANALYZING BONDS WITH EMBEDDED OPTIONS

Chapter 16 Interest-Rate Models
Chapter 17 Call Options: Investment and Price Characteristics
Chapter 18 Valuation and Price Volatility of Bonds with Embedded Options

PART SIX  CREDIT RISK

Chapter 19 Credit Risk Concepts and Measures for Corporate Bonds

PART SEVEN  ANALYZING SECURITIZED PRODUCTS

Chapter 20 Measures Used for Securitized
Chapter 21 Cash Flow Characteristics of Amortizing Loans

xi

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 xii Fifth Versus Fourth Edition

Chapter 22 Cash Flow Characteristics of Mortgage-Backed Securities

Chapter 23 Prepayment Models for Mortgage-Backed Securities
Chapter 24 Basics of MBS Structuring
Chapter 25 Analysis of Agency Mortgage-Backed Securities

PART EIGHT STATISTICAL AND OPTIMIZATION TECHNIQUES

Chapter 26 Basics of Probability Theory and Statistics
Chapter 27 Regression Analysis
Chapter 28 Statistical Techniques for Credit Scoring and Risk Factor Identification
Chapter 29 Tracking Error and Multifactor Risk Models
Chapter 30 Simulation
Chapter 31 Optimization Models

The fifth edition has 10 parts and 35 chapters. The 15 chapters that are almost identical
to the chapters in the fourth edition (shown in parentheses is the chapter number in the fourth
edition) are:

2 Future Value (3)

3 Present Value (4)
4 Yield (Internal Rate of Return) (5)
5 The Price of a Bond (6)
6 Bond Yield Measures (7)
7 The Yield Curve, Spot-Rate Curve, and Forward Rates (8)
8 Potential Sources of Dollar Return (9)
9 Total Return (10)
12 Price Volatility of Properties of Option-Free Bonds (12)
14 Combining Duration and Convexity to Measure Price Volatility (14)
15 Duration and the Yield Curve (15)
20 Call Options: Investment and Price Characteristics (17)
21 Valuation and Price Volatility of Bonds with Embedded Options (18)
25 Cash-Flow Characteristics of Fixed-Rate Amortizing Mortgage Loans (21)
26 Cash-Flow Characteristics of Mortgage-Backed Securities (22)

The 11 new chapters in the fifth edition are

10 Historical Return Measures

11 Risk-Adjusted Returns/ Reward-Risk Ratios
16 Empirical Duration
17 Measuring Historical Return Volatility
18 Measuring and Forecasting Yield Volatility
22 Analysis of Floating-Rate Securities
24 Measuring Bond Liquidity

Fabozzi_FM.indd 12 22/07/22 8:06 PM

 Fifth Versus Fourth Edition xiii

28 Holdings-Based Performance Attribution Analysis

29 Returns-Based Style Attribution Analysis
32 Multifactor Risk Models and Their Application to Portfolio Construction
35 Machine Learning

The 9 substantially revised chapters are (shown in parentheses is the chapter number
in the fourth edition):

Ch. Chapter title Change

1 Introduction (1)
13 Duration as a Measure of
Price Volatility (13)
19 Interest-Rate Modeling (16)
23 Credit Risk Concepts and
Measures (23 and 25)
27 Analysis of Agency
Mortgage-Backed
Securities (25)
30 Probability Distributions and
Statistics (26)
31 Regression and Principal
Component Analysis (27)
33 Monte Carlo Simulation (30)
34 Optimization Models (31)
Completely revised to explain the importance of the
topics in the book and the new organization of the book.
Differentiating between model and empirical duration,
and a discussion of the interpretation of duration.
Completely revised to describe the different arbitrage-
free interest rate models and their implementation using
the lattice method.
Completely revised to introduce new analytical
concepts.
Revised to include prepayment modeling in this chapter
rather than having a separate chapter on prepayment
modeling.
Previous chapter title: Basics of Probability Theory and
Statistics. Expanded to include hypothesis testing and
types of errors in hypothesis testing.
Significantly revised to include the steps in applying
regression analysis and to include principal component
analysis.
Revised to include the application to backtesting
investment strategies.
Completely revised to discuss convex optimization
problems and optimization under uncertainty.

The following four chapters, which provide background material that appeared in
the fourth edition, have been removed and are available online:

Overview of Fixed-Income Securities and Derivatives (Chapter 2, now online supplement A)

Basics of Agency CMO Structuring (from Chapter 24, now online supplement B)
Measures Used for Securitized Products (Chapter 20, now online supplement E)
Basic Concepts in Probability Theory (from Chapter 26, now online supplement F)

Two new online supplements are also available:

Online Supplement C. Illustration of Holdings-Based Performance Attribtion Analysis

Online Supplement D. Econometric Issues Associated with the Regression Model Used for
Returns-Based Style Attribution Analysis

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 A c k n o w l e d g m e n t s

The first edition of this book was published in 1993. Several individuals assisted
in various ways in subsequent editions of the book, and we acknowledge them
below:
• Jan Mayle and Dragomir Krgin provided information on the day count
conventions discussed in Chapter 5.
• Chapter 19 on interest rate modeling is coauthored with Gerald W.
Buetow, Jr. (BFRC Services), Bernd Hanke (BFRC Services), and
Brian J. Henderson (School of Business, The George Washington
University).
• Parts of Chapter 21 on valuing bonds with embedded options draws
from the work of Frank Fabozzi with Andrew Kalotay (Andrew Kalotay
Associates) and George Williams.
• Chapter 24 benefitted from discussions and feedback about liquidity
measures provided by Stefano Pasquale (BlackRock) and Harshdeep
Singh Ahluwalia (Vanguard).
• The illustration of the Campisi Attribution Model in Chapter 28 was
provided by Bruce J. Feibel (State Street).
• The illustration of attribution analysis of a hypothetical UK corporate
bond/credit portfolio in the online supplement C was prepared by René
Alby (Insight Investment).
• Chapter 29 was coauthored with Gueorgui S. Konstantinov (LBBW
Asset Management).
• In Chapter 32, the illustration of the Axioma Factor-Based Fixed
Income Risk Model developed by Qontigo’s Analytics Research group
was provided by Bill Morokoff (Qontigo).
• Amundi Asset Management fixed-income multifactor risk model
described and illustrated in Chapter 32, was provided by Amina Cherief
and Mohamed Ben Slimane (Amundi Asset Management).
• In Chapters 17 and 34 we used the software by Portfolio Visualizer
(https://www.portfoliovisualizer.com/).

xv

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 CHAPTER
1
INTRODUCTION

Before the 1980s, the analysis of fixed-income securities was relatively simple. In
an economic environment that exhibited relatively stable interest rates, investors
purchased fixed-income securities intending to hold them to maturity. Yield to
maturity was used as a proxy measure of their relative value. Risk was gauged in
terms of default risk based on the credit rating assigned by the major credit-rating
agencies. When a fixed-income security was callable, a second measure—yield to
call—was used to assess its relative value. For a callable bond, the long-standing
rule of thumb for a conservative investor at the time was to select the lower of the
yield to maturity and the yield to call as the potential return. Moreover, prior to the
1980s, there was little trading of fixed-income securities. The strategy was simply
a buy-and-hold strategy.
Those days of reliance on simple analytics to manage a fixed-income port-
folio are gone. This is because fixed-income portfolios are actively traded, requir-
ing the use of analytics that draw from the fields of statistics, data science,
mathematics, and operations research. Moreover, prior to the 1970s, corporate
bond issuers were primarily those with an investment-grade rating. Non-investment-
grade corporate bonds that were traded were those of one-time investment-grade
bond issues that were subsequently downgraded, referred to as fallen angels. In
1977, Bear Stearns underwrote non-investment-grade corporate bonds, popularly
referred to as junk bonds and high-yield bonds, with bond market participants
seeing opportunities to enhance returns by constructing a diversified portfolios of
such issues despite higher default risk. Other market participants developed credit
analytics to identify junk bond issuers that were candidates for an upgraded rating,
thereby enhancing returns. In fact, 6 years after the Bear Stearns underwriting of
the first junk bond, roughly a third of all corporate bonds were non-investment
grade.1 Investing in non-investment-grade corporate bonds made investors recog-
nize the need to forecast default rates for a diversified portfolio of such bonds and
recovery rates.
The need for more rigorous analytics became clear with the development of
the mortgage-backed securities (MBS) market. When the first MBS were issued
in 1968, these securities were acquired primarily because of their greater offered
yield than Treasury securities, and they were not traded actively. Purchasing MBS
based purely on a potential higher yield than Treasury securities was clearly naive.

1. Jared Cummans, “A Brief History of Bond Investing,” BondFunds.com, October 1, 2014. Available
at http://bondfunds.com/education/a-brief-history-of-bond-investing/.

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 2 C h a p t e r 1   Introduction

Once the concept of prepayment risk was understood and that different MBS issues
backed by different pools of mortgages paid at different prepayment speeds, the
importance of prepayment modeling in the selection of the specific MBS to include
in a portfolio made investors realize the need to bring in statistical modeling and
ushered in the individuals trained in mathematics, statistics, and physics. The
modeling of prepayments became even more important with the development of
­mortgage-derivative products (collateralized mortgage obligations and mortgage
strips) where the pricing of some of these products is highly sensitive to changes
in prepayment rates and interest rates. Although the initial MBS issues were viewed
as having the same credit risk as U.S. Treasuries, in the late 1980s, MBS issued
by private entities, referred to a nonagency MBS, began to appear. The pricing of
nonagency MBS made investors realize the need for not only modeling prepay-
ments but also forecasting default rates and recovery rates.
A look at the history of interest rates and the properties of a bond’s price
volatility provides insights into the need for analytics beyond those used in tradi-
tional fixed-income analytics. Let’s look at 30-year Treasury yields in the follow-
ing 3 years:
1977: 7.8%
1981: 15.21% (historical high)
2021: 1.90%
Let’s suppose that a 30-year Treasury bond was purchased in each year with a
coupon rate equal to the yield. As explained in Chapter 5, each bond would trade
at par value or 100. Suppose that after the bond is purchased, interest rates increase
by 50 basis points.2 The new market price, the change in the price, and the percent-
age price change are shown below:

Percentage
Yield/Coupon Initial New Yield New Price Price
Year Rate (%) Price ($) (%) Price ($) Change ($) Change (%)

1977 7.80 100 8.30 94.50 –5.50 –5.50

1981 15.21 100 15.71 96.85 –3.15 –3.15
2021 1.90 100 2.40 89.35 –10.65 –10.65

Look at the price sensitivity of the three bonds. In the historical high interest-
rate environment of 1981, a 50 basis point change would have resulted in a percent-
age price change of only about half of 1977, about a third of that of 2021, and
almost triple that of the lowest of the three yields in this illustration. This follows
from a property of the price sensitivity of a bond described in Chapter 13: for a
given maturity, the lower the market yield, the greater is the price volatility. As
interest rates decline, bond portfolio managers focused increasingly on measures
of interest-rate sensitivity, the two most popular measures being duration and
convexity (the subject of Chapters 13 and 14).

2. One basis point is equal to 0.01%.

Fabozzi_ch01.indd 2 22/07/22 6:16 PM

 C h a p t e r 1    Introduction 3

With the complexity of fixed-income products—debt instruments with

embedded options, callable/putable bonds and MBS, and certain types of
­asset-backed securities—traditional analytical techniques for valuing these prod-
ucts had severe limitations. The new army of market researchers that dealer firms
recruited from academia brought tools not previously used in the bond market.
These included models and techniques for valuing embedded options. Market
researchers drew from the fields of option theory and operations research (e.g.,
Monte Carlo simulation) not only to value these complex products but also to
quantify how sensitive the products were to changes in interest rates (concepts such
as effective duration and effective convexity were introduced). But it became
apparent that even measures such as duration had their limitations using analytical
models, leading to the use of regression analysis to estimate the price sensitivity
of securities to changes in interest rates for some complex fixed-income products.
The resulting interest-rate sensitivity measure is empirical duration, the subject of
Chapter 16.
Because a greater understanding of interest-rate sensitivity of a portfolio
(duration and convexity) was used in structuring a portfolio compared with the
same exposure for a bond market benchmark, the limitations of these measures
became apparent. Although duration and convexity offered portfolio managers a
means to quantify a portfolio’s exposure to changes in interest rates, they were for
only one type of an interest-rate change: a parallel shift in the yield curve. Thus
market researchers developed frameworks for quantifying exposure to changes in
the shape of the yield curve, more specifically changes in the slope of the yield
curve (key rate duration and yield-curve duration), the subject of Chapter 15.
Returning to the valuation of complex fixed-income products, models for
doing so required the modeling of how interest rates might change over a security’s
life. Along with valuation modeling came the need to model how interest rates can
vary randomly over a security’s life. To do so, researchers introduced the notion
of stochastic interest-rate models, drawing on an advanced statistical technique
called stochastic differential equations.3
In equity portfolio management, at one time the key and sole driver of returns
was assumed to be the market as proxied by the concept of beta. As more studies
demonstrated that there are multiple factors that drive equity returns, quantitative
(systematic) approaches to equity portfolio management began to identify those
other systematic factors These studies have led to the quantitative strategy of factor
investing and the construction of equity portfolios based on those factors. Similarly
in the fixed-income market, empirical studies have investigated the drivers of bond
returns. Early studies empirically demonstrated that changes in the level and shape
of the yield curve were major drivers of bond returns. Further studies identified
other factors that should be considered in constructing a bond portfolio. Since the

3. As one well-known bond markets analytics guru once remarked: “At one time we hired salespeople
based on their ability to drink with clients. Now we hire them based on their ability to solve dif-
ferential equations.”

Fabozzi_ch01.indd 3 22/07/22 6:16 PM

Another random document with
no related content on Scribd:
[25] Zum letzteren vergleiche auch Max B ü c h l e r , Joh. Heinr. v.
Thünen und seine nationalökonomischen Hauptlehren, Bern
1907, S. 16 ff.
 Literaturnachweise.

(Die für das Studium unentbehrlichen Hauptwerke sind durch ein Sternchen hinter
dem Verfassernamen kenntlich gemacht.)

I. Gesamtdarstellungen.

a) Z u r Geschichte der Logik:

Carl P r a n t l *, Geschichte der Logik im Abendlande, 4 Bde., 1855-1870 (bis zum

Ausgang des Mittelalters reichend).
Friedrich U e b e r w e g , System der Logik und Geschichte der logischen Lehren, 5.
Aufl. von J. B. Meyer, Bonn 1882.
Friedrich H a r m s , Die Philosophie in ihrer Geschichte, Teil II: Geschichte der
Logik, Berlin 1878 (mit Vorsicht zu benutzen).

b) Z u m System der Logik:

Benno E r d m a n n *, Logik, Bd. I: Logische Elementarlehre, 2. Aufl, Halle 1907.

Christoph S i g w a r t *, Logik, 2 Bde., 4. Aufl. herausg. von Heinrich Maier,
Tübingen 1911.
Wilhelm W u n d t *, Logik, 3 Bde., 3. Aufl., Stuttgart 1906-1908.
Hermann L o t z e , System der Philosophie, Teil I: Logik, 2. Aufl. Leipzig 1880 (neu
herausgegeben in der Philosophischen Bibliothek [Bd. 141] von Georg Misch,
Leipzig 1912).
Wertvoll zu Studienzwecken sind von Werken geringeren Umfanges, zum Teil
solchen älteren Ursprungs, auch:
Moritz Wilhelm D r o b i s c h , Neue Darstellung der Logik, 4. Aufl., Leipzig 1875.
Alois H ö f l e r , Grundlehren der Logik und Psychologie, 2. Aufl., 1906.
William Stanley J e v o n s , Leitfaden der Logik, deutsch von Hans Kleinpeter,
Leipzig 1906.
August S t a d l e r , Logik, Leipzig 1912.
Ferner das oben genannte System der Logik von Friedrich U e b e r w e g .
Vom katholischen Standpunkt aus haben u. a. die Logik behandelt:
Georg H a g e m a n n , Logik und Noetik, 9. und 10. Aufl., bearb. v. Ad. Dyroff,
Freiburg i. Br. 1915.
Joseph G e y s e r , Grundlagen der Logik und Erkenntnistheorie, Münster 1909.
B. W. S w i t a l s k i , Vom Denken und Erkennen, Kempten 1914.
Spezielle Richtungen vertreten:
Theodor L i p p s , Grundzüge der Logik, Hamburg 1893.
Wilhelm S c h u p p e , Erkenntnistheoretische Logik, Bonn 1878.
— Grundriß der Erkenntnistheorie und Logik, 2. Aufl., Berlin 1910.
Hermann C o h e n , Logik der reinen Erkenntnis, Berlin 1902.
Ferner: Paul N a t o r p in mehreren Schriften.
Das deutsche Hauptwerk der mathematischen Logik ist:
Ernst S c h r ö d e r , Vorlesungen über die Algebra der Logik, 3 Bde., Leipzig 1890-
1895.
Kurze orientierende Darstellungen dieser Richtung bei:
Ernst S c h r ö d e r , Abriß der Algebra der Logik, Teil I, herausg. v. Eugen Müller,
Leipzig 1909.
Joseph H o n t h e i m , Der logische Algorithmus, Berlin 1895.

II. Schriften über einzelne Gegenstände.

a) Z u r G e s c h i c h t e d e r L o g i k :

Heinrich M a i e r *, Die Syllogistik des Aristoteles, 2 Teile in 3 Bänden. Tübingen

1896-1900.
Adolf T r e n d e l e n b u r g , Geschichte der Kategorienlehre, in: Hist. Beitr. z. Philos.
Bd. I, Berlin 1846.
Richard H e r b e r t z , Studien zum Methodenproblem und seiner Geschichte, Köln
1910.
Ferner: A. R i e h l , Die englische Logik der Gegenwart; in: Viert. f. wiss. Philos.,
Bd. I, 1877.
L. L i a r d , Die neuere englische Logik, deutsch von J. Imelmann, 2. Aufl., Leipzig
1883.

b) Z u Begriff, Aufgabe und Methode der Logik:

Edmund H u s s e r l *, Logische Untersuchungen, 2 Bde., 2. Aufl., Halle 1913.

Alois R i e h l , Logik und Erkenntnistheorie, in: Die Kultur der Gegenwart, herausg.
v. P. Hinneberg, Teil I, Abteilung 6, Berlin und Leipzig 1908.
Heinrich M a i e r , Logik und Erkenntnistheorie, in: Philos. Abhandlungen, Chr.
Sigwart gewidmet, Tübingen 1900.
— Logik und Psychologie, in: Festschrift für Al. Riehl z. s. 70. Geb., Halle 1914.
Wilhelm W i n d e l b a n d , Logik, in: Die Philosophie im Beginn des 20. Jahrh.
Festschrift f. Kuno Fischer, 2. Aufl., Heidelberg 1907.
Ferner: Beiträge in der „Encyklopädie der philos. Wissensch.“ (herausg. v. Arnold
R u g e , Bd. I, Tübingen 1912) von Wilh. Windelband, Josiah Royce, Louis
Couturat, Benedetto Croce u. a.
Lehrreich auch noch:
Adolf T r e n d e l e n b u r g , Logische Untersuchungen, 3. Aufl., 2 Bde., Leipzig 1870
(verteidigt die metaphysische Logik gegen die formale).

c) Z u r logischen Elementarlehre:

B. E r d m a n n , Logische Studien, in: Viert. s. wiss. Philos., Bd. VI, 1882, Bd. VII,
1883.
— Zur Theorie des Syllogismus und der Induktion, in: Philos. Aufs., Ed. Zeller
gew., Leipzig 1887.
Chr. S i g w a r t , Beiträge zur Lehre vom hypothetischen Urteile, Tübingen 1871.
— Die Impersonalien, eine logische Untersuchung, Freiburg 1888.
Alois R i e h l , Beiträge zur Logik, 2. Aufl., Leipzig 1912.
Wilhelm W i n d e l b a n d , Beiträge zur Lehre vom negativen Urteil, in: Straßburger
Abhandl. zur Philos., Ed. Zeller gew., Leipzig 1884.
— Vom System der Kategorien, in: Philos. Abhandlungen, Chr. Sigwart gew.,
Tübingen 1900.
Hans C o r n e l i u s , Versuch einer Theorie der Existentialurteile, München 1894.
Adolf D y r o f f , Über den Existentialbegriff, Freiburg 1902.
Fritz M e d i c u s , Bemerkungen zum Problem der Existenz mathematischer
Gegenstände, in: Festschrift der Kantstudien zum 70. Geb. Al. Riehls, Berlin
1914.
Joh. Ed. Th. W i l d s c h r e y , Die Grundlagen einer vollständigen Syllogistik, Halle
1907.
Ferner: Friedrich Albert L a n g e , Logische Studien, Iserlohn 1877.
A. M a r t y , Über subjektlose Sätze, in: Viert. f. wiss. Philos. Bd. 8, 1884; Bd. 18,
1894.

d) Z u r logischen Methodenlehre:

John Stuart M i l l *, System der deduktiven und induktiven Logik, 3 Bde., deutsch
in: Ges. Werke, herausg. v. Theod. Gompertz, Bd. 2-4, Leipzig 1872-1873.
Richard H ö n i g s w a l d , Beiträge zur Erkenntnistheorie und Methodenlehre,
Leipzig 1906.
Bruno B a u c h , Studien zur Philosophie der exakten Wissenschaften, Heidelberg
1911.
Johannes von K r i e s , Logik, Tübingen 1916.
Ferner: B. E r d m a n n , Theorie der Typen-Einteilungen, in: Philos. Monatshefte,
Bd. 30, Berlin 1884.
— Methodologische Konsequenzen aus der Theorie der Abstraktion (Abh. d. Kgl.
Pr. Akad. d. Wiss.), Berlin 1916.
Heinrich R i c k e r t , Zur Lehre von der Definition, 2. Aufl., Tübingen 1915.
Zur Einführung in die zahlreichen methodologischen Probleme des
m a t h e m a t i s c h e n D e n k e n s vergleiche man: B. E r d m a n n , Die Axiome
der Geometrie, Leipzig 1877; O. H ö l d e r , Anschauung und Denken in der
 Geometrie, Leipzig 1900; Jonas C o h n , Voraussetzungen und Ziele des
Erkennens, Leipzig 1908, Teil II; Richard H ö n i g s w a l d , Zum Streit über die
Grundlagen der Mathematik, Heidelberg 1912; A. Vo ß , Über das Wesen der
Mathematik, Leipzig 1913; sowie die dort angeführte Literatur.
Zur neueren Logik der G e s c h i c h t s w i s s e n s c h a f t : Wilh. W i n d e l b a n d ,
Naturwissenschaft und Geschichte, 2. Aufl., Straßburg 1900 (auch in: Präludien
Bd. II, Tübingen 1915); Ed. M e y e r , Zur Theorie und Methodik der Geschichte,
Halle 1902; Heinrich R i c k e r t , Die Grenzen der naturwissenschaftlichen
Begriffsbildung, Tübingen 1902; Über die Aufgaben einer Logik der Geschichte,
Archiv f. syst. Phil., Bd. 8, 1902; Kulturwissenschaft und Naturwissenschaft, 2.
Aufl., Tübingen 1910; Geschichtsphilosophie, in: Die Philosophie im Beginn des
20. Jahrh., Festschr. f. Kuno Fischer, 2. Aufl., Heidelberg 1907; ferner: Eduard
S p r a n g e r , Die Grundlagen der Geschichtswissenschaft, Berlin 1905; Kurt
S t e r n b e r g , Zur Logik der Geschichtswissenschaft, Philos. Vortr. Nr. 7, Berlin
1914; Heinrich M a i e r , Das geschichtliche Erkennen, Göttingen 1914; sowie
einzelne Schriften von Ernst B e r n h e i m .
Zur Frage nach der systematischen G l i e d e r u n g der Wissenschaften: Wilh.
W u n d t , Über die Einteilung der Wissenschaften, in Philos. Studien, Bd. 5,
Leipzig 1888; B. E r d m a n n , Die Gliederung der Wissenschaften, in: Viert. f.
wiss. Philos., Bd. 2, Leipzig 1878; Alfred H e t t n e r , Das System der
Wissenschaften, in: Preuß. Jahrbücher, Bd. 122, Berlin 1905; Carl S t u m p f , Zur
Einteilung der Wissenschaften, Berlin 1906; Richard H ö n i g s w a l d , Vom
allgemeinen System der Wissenschaften, in: Philos. Wochenschr., Bd. 4, Leipzig
1906; Zur Wissenschaftstheorie und -systematik, in Kant-Studien, Bd. 17, Berlin
1912.
 Sachregister.

(Aufgenommen sind lediglich die wichtigsten logischen Begriffe nach

ihren Hauptstellen. Die Zahlen bezeichnen die Seiten.)

Abstrakte Allgemeinvorstellung 18 f.
Abstraktheit von Begriffen 21.
Abstraktion 27, 28.
Allgemeines (universales) Urteil 33, 46 f., 58 f.
Analogieschluß 78, 98 ff., 129, 131.
Analyse 109 ff.
Analytisches Urteil 33 Anm.
Apodiktisches Urteil 33, 35, 60 f., 73.
Approximatives Urteil 62.
Artbegriff, artbildender Unterschied 29 f.
Assertorisches Urteil 33, 35, 60 f.
Ausgeschlossenes Dritte (Grundsatz) 9, 14, 43 f., 77.
Axiom 44, 93, 124.

Begriff 8, 16 ff., 21 ff., 27 ff., 33, 40 f., 105 ff.

Begriffsbestimmung 8, 22, 25, 50 f., 107 f.
Begriffsbildung 21, 105 ff., 115.
Bejahendes Urteil 33, 35, 56 f.
Besonderes (partikuläres) Urteil 33, 35, 41, 46 f., 58 f.
Beurteilung 35, 46, 47, 56 ff., 62.
Beweis 8, 9, 103, 123 ff., 126 ff.

Deduktive Logik 98.

Deduktiver Schluß 11, 77 ff., 86 ff., 91 ff., 100 f., 113, 128.
Definition: s. Begriffsbestimmung
Denken 3, 6 f., 16 ff., 24, 25, 32, 102 ff.
Determination 27, 28, 40.
Dictum de omni et nullo 76.
Ding 31 f., 46.
Disjunktiver Schluß 10, 78 f., 88 f.
Disjunktives Urteil 33, 35, 64 ff.
Divisives Urteil 35, 63 f., 120.
Doppelte Verneinung (Grundsatz) 58.

Eigenschaft 31 f., 46.

Einfaches Urteil 33 ff., 62 f.
Einordnungstheorie 40 f., 92.
Einteilung 120 ff.
Einzelurteil 34, 46.
Erkennen und Erkenntnistheorie 3 f., 6 f., 14.
Erkenntnistheoretische Logik 15.
Existentialurteil 34, 54 ff.
Experiment 111 f.

Falschheit von Urteilen 33, 42, 76 f.

Falsch- und Fehlschlüsse 129 ff.
Fiktion 132 ff.
Folgerung 72 ff.
Formale Gültigkeit 42 f., 64, 65, 73.
Formale Logik 5, 9, 13 f., 15.
Formalurteil 34, 44, 67, 105.
Formalwissenschaft 104.
Formen des Denkens 4 f., 7, 8, 17, 42.
Formuliertes Denken 17.
Frage 24, 32, 68 ff., 123 f.

Galenische Schlußweise 84.

Gattungsbegriff 18 f., 21, 29 f., 46, 50, 64, 114.
Gattungsurteil 34, 46.
Gegenstand 6, 23, 32, 36, 52, 54 f., 106 f.
Gegenstand des Denkens 20 ff.
Gegenstand überhaupt 32.
Geisteswissenschaft 103 f., 111.
Gesamtbegriff 29, 46, 114.
Gesetz 113 ff.
Gesetze des Denkens 5.
Grammatik 7 f., 36, 57.
Grammatisierende Logik 36.
Gültigkeitsfrage 70, 71 f.

Hypothese 113, 117 ff.

Hypothetischer Schluß 10, 78 f., 86 ff., 91.
Hypothetisches Urteil 33, 35, 66 ff., 91, 115.

Idealurteil 33 f.
Identität (Grundsatz) 14, 24.
Immanenz, logische 40, 46.
Impersonalien: s. Subjekt-unbestimmte Urteile.
Individualbegriff 21, 29 f., 46.
Induktive Logik 15, 98.
Induktiver Schluß 9, 11, 12, 78, 93 ff., 114 f., 128 f., 131.
Inhalt von Begriffen 23 ff.
Inhaltslogik 37.
Inhaltstheorien des Urteils (des Schlußverfahrens) 37 ff., 92.
Inhärenzsyllogismus 84.
Inhärenzurteil 34, 49 ff., 92, 110.
Intuition und intuitives Denken 11, 17, 20.

Kategorie 9, 14, 31 f.
Kategorisches Urteil (bzw. Schluß) 33, 78 f., 89, 91.
Kausalgesetz, Kausalität 12, 31, 53, 97, 100, 116, 124.
Kausalurteil 34, 49, 53 f.
Kette 79, 89 f., 113.
Klassifikation 107, 120 ff.
Klassifikatorisches Urteil 34, 50 f.
Kollektivbegriff 21, 29.
Konjunktives Urteil 35, 63, 94 f., 96, 108.
Konstituierendes Merkmal 24 ff., 42 f.
Kontradictio in adjecto 28.
Kontradiktorisch-entgegengesetzte Begriffe (Urteile) 28, 43 f., 76 f.
Kontraposition 75.
Konträr-entgegengesetzte Begriffe (Urteile) 28, 76 f.
Konversion 73 f., 84, 86.
Kopulatives Urteil 35, 63, 94 f., 96.

Materiale Frage 70 f.
Materiale Gültigkeit 42 ff., 73.
Materie des Denkens 4 f., 42.
Mathematische Logik 15, 38.
Merkmal 23 f., 33, 39.
Metaphysische Logik 9, 14, 15.
Mittelbare Bejahung 58, 73.
Mittelbares Urteil 92.
Mittelbare Verneinung 57 f., 73.
Mittelbegriff 80, 84 f., 131.
Modal-bestimmte Urteile 35, 56, 60 ff.
Modalität 31, 35, 56, 60 ff.

Naturwissenschaft 103 f., 111.

Negation: s. Verneinung.
Normative Logik 5 f., 13.
Normatives Urteil 34, 51.

Opposition 76.
Ordnungsreihe des Denkens 30 f., 50.

Paralogismus 80.
Partikuläres Urteil: s. besonderes Urteil.
Prädikat 4, 34, 36 f., 38 f., 42 f., 46, 49 ff.
Prädikation (log. Grundsatz) 42 f.
Prädikativer Inhalt 25.
Problematisches Urteil 33, 35, 61 f., 65.
Problemfrage 72, 123 f.
Psychologie des Denkens 7, 16 f.
Psychologisierende Logik 12, 15, 36.

Qualität des Urteils 31, 33 f., 56.

Qualitätsurteil 34, 50, 52 f., 110.
Quantifikation des Prädikats 38.
Quantität des Urteils 31, 33 f., 46 f., 52, 56, 58 ff.
Quaternio terminorum 131.

Realitätsproblem 55.
Realurteil 33 f., 67, 105.
Realwissenschaft 104.
Relation 31 f., 33, 46, 92.
Relationsmerkmal 25.
Relationssyllogismus 84, 92, 100 f.
Relationsurteil 4, 34, 49, 52 ff., 84 f., 90, 110.
Relativer Inhalt 25.
Reziprokables Urteil 74.

Satz 16 f., 36.

Schluß 8, 14, 24, 32, 72 ff.
Singuläres Urteil 59.
Sorites, Goclenischer, Aristotelischer 89 f.
Spezialbegriff 29, 46, 114.
Spezifikation 107 f.
Sprechen 7, 11, 16 ff., 21.
Statistik 111.
Subalternation 75 f.
Subjekt 4, 15, 32, 34, 36 f., 38 f., 42 f., 46 ff., 49.
Subjekt-unbestimmtes Urteil 34, 37, 46, 48 f., 54.
Subkonträr-entgegengesetzte Urteile 76 f.
Syllogismus 9, 79 ff., 91 ff., 100 f., 113, 131.
Synthese 113 ff.
Synthetisches Urteil 33 Anm.

Theorie 113, 117 ff.

Transzendentale Logik 13 f.
Trugschluß 8 f., 129 ff.

Umfang von Begriffen 26 ff., 41, 64.

Umfangslogik 37 f., 92.
Umfangstheorien des Urteils (des Schlußverfahrens) 38 f., 92.
Universales Urteil: s. allgemeines Urteil.
Unmittelbare Gewißheit, log. Grundsatz 44.
Untersuchungsverfahren der Wissenschaft 8, 102 ff.
Urteil 8, 11, 14, 15, 24, 32 ff., 69 f.
Urteilsgefüge 35, 62 ff., 85.
Urteilsverbindungen 35, 62 ff., 85.
Urteilstheorien 35 ff., 91 f.
Utopie 132, 134 f.
Verneinung 56, 68 ff., 74, 86.
Verträgliche Begriffe 25, 28.
Voraussetzungen des Denkens, formale, materiale 3 f., 6.
Vorstellung 18 f., 33.

Wahrheit 8, 11, 14, 33, 42, 44, 76 f.

Wahrscheinlichkeit 12, 62, 96, 99, 100, 115.
Werturteil (Wertrelationsurteil) 50, 53.
Widerspruch, log. Grundsatz 9, 12, 14, 43, 45, 59, 77.
Wissenschaft 8, 22, 102 ff., 123 ff., 127 ff., 132 f.
Wort, Wortvorstellung 16 ff., 18, 24, 36.

Zirkelbeweis (circulus vitiosus) 130.

Zureichende Begründung, log. Grundsatz 12, 14, 45, 55, 59, 72,
125.
Zusammengesetzte Urteile 33 ff., 62 ff., 85.
 Die Sammlung
„Aus Natur und Geisteswelt“
nunmehr schon über 600 Bändchen umfassend, sucht seit ihrem
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Sie bietet wirkliche „E i n f ü h r u n g e n “ in die
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d e s L a i e n , wie sie den heutigen methodischen Anforderungen
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Herbert Spencer. Von Dr. K. S c h w a r z e . Mit 1 Bildnis. (Bd. 245.)
Die Philosophie der Gegenwart in Neueste
Deutschland. Eine Charakteristik ihrer Philosophie
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Henri Bergson, der Philosoph moderner Religion. Von Pfarrer
Dr. E. O t t . (Bd. 480.)

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