Interest rate markets : a practical approach to fixed income / Siddhartha Jha

Von:

Jha, Siddhartha, 1984- [aut]

Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Reihen: Wiley trading series | Wiley Trading Ser ; v.501Verlag: Hoboken, N.J : John Wiley, c2011Copyright-Datum: ©2011Auflage: Online-AusgBeschreibung: Online-Ressource (1 online resource (xvi, 346 p.)) : illISBN:

9781283026635

Schlagwörter:

Andere physische Formen: 9780470932209 | Erscheint auch als: 9780470932209 Druck-AusgabeDDC-Klassifikation:

332.632044
332.63/2044

LOC-Klassifikation:

HG1621

Online-Ressourcen:

Zugang im Netz des KIT

Zusammenfassung: How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models.Zusammenfassung: Intro -- Interest Rate Markets -- Contents -- Acknowledgments -- Introduction -- CHAPTER 1 Tools of the Trade -- Basic Statistics -- Regression: The Fundamentals -- Regression: How Good a Fit? -- Principal Components Analysis -- Scaling through Time -- Backtesting Strategies -- Summary -- CHAPTER 2 Bonds -- Basics of Bonds -- Risks Embedded in Fixed Income Instruments -- Discounting -- Bond Pricing -- Yield Curve -- Duration -- Convexity -- Repo Markets -- Bid Offer -- Calculating Profit/Loss of a Bond -- Carry -- Forward Rates -- Rolldown/Slide -- Curves and Spreads -- Butterfly Trades -- Summary -- CHAPTER 3 Fixed Income Markets -- Federal Reserve -- Treasuries -- STRIPS -- TIPS -- Mortgages -- Agency Debt -- Corporate Bonds -- Municipal Bonds -- Summary -- CHAPTER 4 Interest Rate Futures -- Basics of Futures Transactions -- Eurodollar Futures -- Convexity (or Financing) Bias -- Creating Longer-Dated Assets Using Eurodollar Futures -- Treasury Futures -- Fed Funds Futures -- Futures Positioning Data -- Summary -- CHAPTER 5 Interest Rate Swaps -- Basic Principles -- Duration and Convexity -- Uses of Swaps -- Counterparty Risk -- Other Types of Swaps -- Summary -- CHAPTER 6 Understanding Drivers of Interest Rates -- Supply and Demand for Borrowing -- Components of Fixed Income Supply and Demand -- Treasury Supply -- Other Sources of Fixed Income Supply -- Fixed Income Demand -- Short-Term Yield Drivers -- Summary -- CHAPTER 7 Carry and Relative Value Trades -- Carry Trades -- Carry Trade Setup and Evaluation -- Pitfalls of the Carry Trade -- Carry-Efficient Directional Trades -- Relative Value Trades -- Setting Up Relative Value Trades -- Treasury Bond Relative Value-Par Curve -- Other Treasury Relative Value Trades -- Summary -- CHAPTER 8 Hedging Risks in Interest Rate Products -- Principles of Hedging -- Choices of Instruments for Hedging.PPN: PPN: 1652396268Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE

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