Fixed income securities: tools for today's markets
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, N.J.
Wiley
2002
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 512 S. graph. Darst. |
| ISBN: | 0471063177 0471063223 |
Internformat
MARC
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| 245 | 1 | 0 | |a Fixed income securities |b tools for today's markets |c Bruce Tuckman |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Hoboken, N.J. |b Wiley |c 2002 | |
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| 650 | 7 | |a Hedging |2 gtt | |
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Datensatz im Suchindex
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| adam_text | CONTENTS
NTRODUCTIQN xiii
ACKNOWLHMMBUTS
XV
The Relative
Pricing of Hxed income Securities with Fixed Cash Hows
1
СНАРТВП
Bond Prices, Discount Factors, ami
Arbítrase
3
The Time Value of Money
3
Treasury Bond Quotations
4
Discount Factors
6
The Law of One Price
8
Arbitrage and the Law of One Price
10
Treasury STRIPS
12
APPENDIX 1A
Deriving the Replicating Portfolio
17
APPENDIX
1
В
APPLICATION: Treasury Triplets and High Coupon Bonds
18
сндрттг
BondPriees,
Spet
Rates, and Forward Rates
23
Semiannual Compounding
23
Spot Rates
25
Forward Rates
28
Maturity and Bond Price
32
Maturity and Bond Return
34
Treasury STRIPS, Continued
37
Vi
CONTENTS
APPENDIX 2A
The Relation
between Spot and Forward Rates and the Slope of the
Term Structure
38
СНАРТШЗ
YteW-to-Maturity
41
Definition and Interpretation
41
Yield-to-Maturity and Spot Rates
46
Yield-to-Maturity and Relative Value: The Coupon Effect
50
Yield-to-Maturity and Realized Return
51
СНАРТНІ4
Generalizations and
Cune
Fitting
53
Accrued Interest
53
Compounding Conventions
56
Yield and Compounding Conventions
59
Bad Days
60
Introduction to Curve Fitting
61
Piecewise Cubics
69
APPLICATION: Fitting the Term Structure in the U.S. Treasury Market
on February
15,2001 71
TRADING CASE STUDY: A 7s-8s-9s Butterfly
77
APPENDIX 4A
Continuous Compounding
83
APPENDIX 4B
A Simple Cubic Spline
85
ИШЈ1ГО
.... .._......,.._.,.... „_.., ,.„.,,.._ _ . .... ... .
Мемигеѕ
of Price Sensfflvtty and Hedging
87
OUPIEBS
One-factor Measures of Price Sensitivity
89
DV01
91
A Hedging Example, Part I: Hedging a Call Option
95
Contents
vi
Duration
98
Convexity
101
A Hedging Example, Part
II: A
Short Convexity Position
103
Estimating Price Changes and Returns with DV01
,
Duration, and Convexity
105
Convexity in the Investment and Asset-Liability Management Contexts
108
Measuring the Price Sensitivity of Portfolios
109
A Hedging Example, Part III: The Negative Convexity of Callable Bonds
111
CHAPTHie
Measures of Price Sensravtty Based on Parallei Yield Shifts
115
Yield-Based DV01
115
Modified and Macaulay Duration
119
Zero Coupon Bonds and a Reinterpretation of Duration
120
Par Bonds and Perpetuities
122
Duration, DV01
,
Maturity, and Coupon: A Graphical Analysis
124
Duration, DV01, and Yield
127
Yield-Based Convexity
127
Yield-Based Convexity of Zero Coupon Bonds
128
The Barbell versus the Bullet
129
CHAPTER?
Key Rate and Bucket Exposures
183
Key Rate Shifts
134
Key Rate
01
s
and Key Rate Durations
135
Hedging with Key Rate Exposures
137
Choosing Key Rates
140
Bucket Shifts and Exposures
142
Immunization
147
Multi-Factor Exposures and Risk Management
147
CHAPTER
8
ВерчѕѕимнВажтнмЦк!
148
Volatility-Weighted Hedging
150
One-Variable Regression-Based Hedging
153
Two-Variable Regression-Based Hedging
158
TRADING CASE STUDY: The Pricing of the 20-Year U.S. Treasury Sector
161
A Comment on Level Regressions
166
Vffi CONTENTS
PART THRBE
Term Structure Models
169
CHAPTHte
The Science of Term Structure Models
171
Rate and Price Trees
171
Arbitrage Pricing of Derivatives
174
Risk-Neutral Pricing
177
Arbitrage Pricing in a Multi-Period Setting
179
Example: Pricing a CMT Swap
185
Reducing the Time Step
187
Fixed Income versus Equity Derivatives
190
СНЛРТВПО
The Short-flate Process and
Ню
Stepe ol
the Term Structure
193
Expectations
194
Volatility and Convexity
196
Risk Premium
201
A Mathematical Description of Expectations, Convexity, and
Risk Premium
206
APPLICATION: Expectations, Convexity, and Risk Premium in the
U.S. Treasury Market on February
15,2001 212
APPENDIX 10A
Proofs of Equations
(10.19)
and
(10.25) 214
СНАРТВШ
The Art of Term
Structure
Modete:
Drift
218
Normally Distributed Rates, Zero Drift: Model
1 219
Drift and Risk Premium: Model
2 225
Time-Dependent Drift: The
Но
-Lee
Model
228
Desirability of Fitting to the Term Structure
229
Mean Reversion: The Vasicek
(1977)
Model
232
СНЛРТВИ2
TlieArtcrfiernStnKtireMidelsiVobtmyandHstrfbutta
245
Time-Dependent Volatility: Model
3 245
Volatility as a Function of the Short Rate: The Cox-lngersoll-Ross
and
Lognormal
Models
248
Contents
ЇХ
Tree for the Original Salomon Brothers Model
251
A
Lognormal
Model with Mean Reversion: The Black-Karasinski Model
253
Selected List of One-Factor Term Structure Models
255
APPENDIX 12A
Closed-Form Solutions for Spot Rates
257
CHAPTHt
13
Multi-Factor Term Structure Models
259
Motivation from Principal Components
259
A Two-Factor Model
263
Tree Implementation
265
Properties of the Two-Factor Model
269
Other Two-Factor and Multi-Factor Modeling Approaches
274
APPENDIX
1
3А
Closed-Form Solution for Spot Rates in the Two-Factor Model
275
СНАРТВШ
Trading with Term Structure Models
277
Example Revisited: Pricing a CMT Swap
278
Option-Adjusted Spread
278
Profit and Loss (P&L) Attribution
280
P&L Attributions for a Position in the CMT Swap
283
TRADING CASE STUDY: Trading
2s-5s-10s
in Swaps with a
Two-Factor Model
286
Fitting Model Parameters
295
Hedging to the Model versus Hedging to the Market
297
PART FOUR
Selected Securities
301
CMPTERIS
Repo
303
Repurchase Agreements and Cash Management
303
Repurchase Agreements and Financing Long Positions
305
Reverse Repurchase Agreements and Short Positions
308
Carry
311
General Collateral and Specials
314
CONTENTS
Special
Repo
Rates
and the Auction Cycle
316
Liquidity Premiums of Recent Issues
319
APPLICATION: Valuing a Bond Trading Special in
Repo
321
APPLICATION: Disruption in the Specials Market after September
11,2001 323
ШРТБПб
Forward Contracts
325
Definitions
325
Forward Price of a Deposit or a Zero Coupon Bond
326
Using Forwards to Hedge Borrowing Costs or Loan Proceeds
328
Forward Price of a Coupon Bond
329
Forward Yield and Forward DV01
331
Forward Prices with Intermediate Coupon Payments
332
Value of a Forward Contract
335
Forward Prices in a Term Structure Model
336
СНАРТБШ
Eurodolar
and Fed Funds
Futuras
LIBOR
and Eurodollar Futures
339
Hedging with Eurodollar Futures
343
Tails: A Closer Look at Hedging with Futures
344
Futures on Prices in a Term Structure Model
347
Futures on Rates in a Term Structure Model
349
The Futures-Forward Difference
350
TED Spreads
355
APPLICATION: Trading TED Spreads
359
Fed Funds
362
Fed Funds Futures
364
APPLICATION: Fed Funds Contracts and Predicted Fed Action
366
APPENDIX 17A
Hedging to Dates Not Matching Fed Funds and Eurodollar
Futures Expirations
369
CHAPTER
18
Marast
Rats Swaps
371
Swap Cash Flows
371
Valuation of Swaps
373
Contents Xi
Floating Rate Notes 374
Valuation of Swaps, Continued
376
Note on the Measurement of Fixed and Floating Interest Rate Risk
378
Swap Spreads
378
Major Uses of Interest Rate Swaps
381
Asset Swap Spreads and Asset Swaps
382
TRADING CASE STUDY:
30-
Year FNMA Asset Swap Spreads
386
On the Credit Risk of Swap Agreements
388
APPENDIX 18A
TRADING CASE STUDY: Five-Year On-the-Run/Off-the-Run Spread
of Spreads
390
CHAPTER
19
Fixed Income Options
397
Definitions and Review
397
Pricing American and
Bermudán
Bond Options in a Term
Structure Model
400
APPLICATION: FNMA 6.25s of July
19, 2011,
and the Pricing of
Callable Bonds
405
Graphical Analysis of Callable Bond Pricing
408
A Note on Yield-to-Call
411
Swaptions, Caps, and Floors
413
Quoting Prices with Volatility Measures in Fixed Income Options Markets
416
Smile and Skew
420
СНАРТИ20
Note and Bond Futures
423
Mechanics
423
Cost of Delivery and the Determination of the Final Settlement Price
426
Motivations for a Delivery Basket and Conversion Factors
428
Imperfection of Conversion Factors and the Delivery Option at Expiration
431
Gross and Net Basis
435
Quality Option before Delivery
438
Some Notes on Pricing the Quality Option in Term Structure Models
441
Measures of Rate Sensitivity
443
Timing Option
444
End-of-Month Option
445
TRADING CASE STUDY: November
08
Basis into
TYM0
446
ХМ
____________________________________________________________________________________
CONTENTS
CHAPTBł
21
Mortgage-Backed Securities
455
Basic Mortgage Mathematics
455
Prepayment Option
459
Overview of Mortgage Pricing Models
464
Implementing Prepayment Models
467
Price-Rate Curve of a Mortgage Pass-Through
471
APPLICATION: Mortgage Hedging and the Directionality of Swap Spreads
473
Mortgage Derivatives, lOs, and
POs
475
ЕХИШЕЅ
479
RffBffiMCESANDSlłfieESTIONSFOfiFURTHfflREAMNG
487
НКХ
501
|
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| id | DE-604.BV019341942 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:58:02Z |
| institution | BVB |
| isbn | 0471063177 0471063223 |
| language | English |
| lccn | 2002005425 |
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| spelling | Tuckman, Bruce Verfasser aut Fixed income securities tools for today's markets Bruce Tuckman 2. ed. Hoboken, N.J. Wiley 2002 XV, 512 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Beleggingen gtt Hedging gtt Kapitaalmarkt gtt Valeurs mobilières à revenus fixes Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012806430&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tuckman, Bruce Fixed income securities tools for today's markets Beleggingen gtt Hedging gtt Kapitaalmarkt gtt Valeurs mobilières à revenus fixes Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4121262-9 |
| title | Fixed income securities tools for today's markets |
| title_auth | Fixed income securities tools for today's markets |
| title_exact_search | Fixed income securities tools for today's markets |
| title_full | Fixed income securities tools for today's markets Bruce Tuckman |
| title_fullStr | Fixed income securities tools for today's markets Bruce Tuckman |
| title_full_unstemmed | Fixed income securities tools for today's markets Bruce Tuckman |
| title_short | Fixed income securities |
| title_sort | fixed income securities tools for today s markets |
| title_sub | tools for today's markets |
| topic | Beleggingen gtt Hedging gtt Kapitaalmarkt gtt Valeurs mobilières à revenus fixes Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Beleggingen Hedging Kapitaalmarkt Valeurs mobilières à revenus fixes Fixed-income securities Festverzinsliches Wertpapier |
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