Del 501 - Wiley Trading

Interest Rate Markets

A Practical Approach to Fixed Income

Inbunden, Engelska, 2011

889 kr

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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 tradesDetails 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 2008Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methodsInterest 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

Produktinformation

Utgivningsdatum2011-04-15
Mått160 x 234 x 31 mm
Vikt544 g
FormatInbunden
SpråkEngelska
SerieWiley Trading
Antal sidor368
FörlagJohn Wiley & Sons Inc
ISBN9780470932209

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Finansiering inom Ekonomi och Ledarskap

SIDDHARTHA JHA is a Senior Analyst with Arrowhawk Capital Partners. Previously, as part of J. P. Morgan's Fixed Income Strategy Team, he covered a wide range of rates marketsfrom municipals to liquid products including Treasuries, swaps, futures, and optionsanalyzing macroeconomic trends as well as short-term technical factors. He spent five years there developing trade ideas, building quantitative models, and discussing market trends with institutional investors. He graduated cum laude with a dual bachelor's and master's in applied mathematics and statistics from Harvard University.

Acknowledgments xiiiIntroduction xvCHAPTER 1 Tools of the Trade 1Basic Statistics 2Regression: The Fundamentals 6Regression: How Good a Fit? 11Principal Components Analysis 14Scaling through Time 15Backtesting Strategies 16Summary 17CHAPTER 2 Bonds 19Basics of Bonds 19Risks Embedded in Fixed Income Instruments 22Discounting 27Bond Pricing 28Yield Curve 32Duration 34Convexity 37Repo Markets 42Bid Offer 44Calculating Profit/Loss of a Bond 45Carry 45Forward Rates 47Rolldown/Slide 51Curves and Spreads 53Butterfly Trades 55Summary 56CHAPTER 3 Fixed Income Markets 59Federal Reserve 60Treasuries 67Strips 70Tips 71Mortgages 73Agency Debt 77Corporate Bonds 79Municipal Bonds 82Summary 84CHAPTER 4 Interest Rate Futures 85Basics of Futures Transactions 86Eurodollar Futures 89Convexity (or Financing) Bias 92Creating Longer-Dated Assets Using Eurodollar Futures 93Treasury Futures 94Fed Funds Futures 101Futures Positioning Data 104Summary 105CHAPTER 5 Interest Rate Swaps 107Basic Principles 108Duration and Convexity 111Uses of Swaps 112Counterparty Risk 115Other Types of Swaps 115Summary 124CHAPTER 6 Understanding Drivers of Interest Rates 125Supply and Demand for Borrowing 126Components of Fixed Income Supply and Demand 141Treasury Supply 141Other Sources of Fixed Income Supply 145Fixed Income Demand 148Short-Term Yield Drivers 157Summary 172CHAPTER 7 Carry and Relative Value Trades 173Carry Trades 173Carry Trade Setup and Evaluation 175Pitfalls of the Carry Trade 178Carry-Efficient Directional Trades 182Relative Value Trades 183Setting Up Relative Value Trades 185Treasury Bond Relative Value—Par Curve 191Other Treasury Relative Value Trades 193Summary 194CHAPTER 8 Hedging Risks in Interest Rate Products 197Principles of Hedging 198Choices of Instruments for Hedging 202Calculating Hedge Ratios 210Yield Betas 215Convexity Hedging 218Summary 223CHAPTER 9 Trading Swap Spreads 225How Swap Spreads Work 225Why Trade Swap Spreads? 230Directionality of Swap Spreads to Yields 240Futures Asset Swaps 241Spread Curve Trades 243Summary 245CHAPTER 10 Interest Rate Options and Trading Volatility 247Option Pricing and Fundamentals 249Modifications for the Interest Rate Markets 254Quoting Volatility 256Measuring Risks in Option Positions 257Put/Call Parity 266Implied and Realized Volatility 268Skew 270Delta Hedging 270Interest Rate Options 275Embedded Options and Hedging 280More Exotic Structures 283Yield Curve Spread Options 284Forward Volatility 285Volatility Trading 286Interest Rate Skew 293Volatility Spread Trades 294Caps versus Swaptions 297Summary 298CHAPTER 11 Treasury Futures Basis and Rolls 299The Futures Delivery Option 299Calculating the Delivery Option Value 309Option-Adjusted and Empirical Duration 311Treasury Futures Rolls 313Summary 318CHAPTER 12 Conditional Trades 319Conditional Curve Trades 320Conditional Spread Trades 324Summary 328References 329About the Author 331About the Web Site 333Index 335