Interest rate derivatives: a practical guide to applications, pricing and modelling
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2006
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 354 S. graph. Darst. 1 CD-Rom (12 cm) |
| ISBN: | 1904339948 |
Internformat
MARC
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| 245 | 1 | 0 | |a Interest rate derivatives |b a practical guide to applications, pricing and modelling |c by Todd James |
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Datensatz im Suchindex
| _version_ | 1804137635867787264 |
|---|---|
| adam_text | Contents
About the Author
ix
1
Financial Mathematics
1
Time Value of Money
Effective and Nominal Interest Rates
Money Market Yields
Day Count Basis Conventions
Roll Convention
2
Short-Term Interest Rates and Futures
25
Forward-Forward
Forward Rate Agreements
Short-Term Interest Rate Futures
Convexity with Futures
Calculating Strip Yield
Futures vs. FRAs
3
Bonds: Pricing, Risk and Hedging
43
Bond Price
Bond Yields
Bond Proceeds: Clean vs. Dirty Price
Odd Coupon Bonds
Bond PV01
Bond Portfolio PV01
Bond Duration and Modified Duration
Bond Convexity
Modified Duration and Convexity: Bond Portfolio
Hedging a Bond Portfolio
Basis Risk
Bond Futures
Hedging with Bond Futures
Repurchase and Sale and Buy Backs
4
Interest Rate Swaps
89
What is an Interest Rate Swap?
How Interest Rate Swaps are Quoted
What is a Swap Spread?
Quotation Basis
Interest Rate Swap Applications
Non-Standard Interest Rate Swaps
Case Studies
5
Deriving a Zero Coupon Curve
115
Bunding a Zero Coupon Curve
The Bootstrapping Algorithm
Generating Generic Discount Factors and FRAs
Building
a
Zerocurve
using
Curveßuilder
Bid and Offer Curves
6
Asset and Liability Swaps: Cashflows and Pricing
135
Asset Swaps
Bond Pricing: Given Target Floating Spread
Curveßuilder
Asset Swap Calculator
Liability Swaps
Mark To Market (MTM) Interest Rate Swaps
Forward Starting Interest Rate Swap
Amortising Swaps
Short-Term Interest Rate Hedges
Treasury Lock
Spreadlock
7
Hedging and Trading Interest Rate Swaps
167
Risk Measurement PV01
Hedging with Eurodollars
Hedging with Government Bonds
Portfolio Risk Management
8
Cross-Currency Interest Rate Swaps
187
What is the Value of a Cross-Currency Basis Swap?
Zero NPV Valuation
Cross-Currency Basis Swaps Quotes and Pricing
Synthetically Create a CC Basis Swap
Basis Point Conversion
Hedging using Basis Swaps
Fixed for Fixed Cross-Currency Swap
Cross-Currency Asset Swaps
Liability Swap
Case Study: Relative Borrowing Costs
9
Interest Rate Options
217
Option Fundamentals
Option Risk Characteristics: The Greeks
Option s Price Sensitivity to a Change in
the Underlying Price: Delta and Gamma
Option s Price Sensitivity to a Change in
the Underlying Volatility:
Vega
Caps and Floors
Cap Premium in Swap Form
Collar
Caps and Floors Applied to Floating Rate Assets
Interest Rate Swaption
Callable Bonds
Volatility
Volatility Stripping
Digital Options
Digital Option Applications
10
Further Interest Rate Swaps and Options
265
CMS
CMS Applications
In Arrears Applications
Differential Swaps
Differential Swap Pricing
Spread Options
Digital Spread Options
11
Financial Accounting: IAS39 Financial Instruments
293
Recognition and Measurement
Introduction
Effective Interest Rate (EIR)
Fair Value vs. Hedge Accounting
Hedge Effectiveness Testing
Effectiveness Testing Methodologies
Hedging Relationship
ISDA Documentation and Derivative Credit
Confirmations
ISDA Definitions
Credit: Exposure, Collateral and Credit Support
Appendix A: Quotation Basis for Interest Rate Swaps
329
Appendix B: Interpolation Methods
331
Appendix C: Convexity Adjustment
337
Appendix D:
Curveßuilder:
Installation and Overview
341
Bibliography
347
Index
349
|
| adam_txt |
Contents
About the Author
ix
1
Financial Mathematics
1
Time Value of Money
Effective and Nominal Interest Rates
Money Market Yields
Day Count Basis Conventions
Roll Convention
2
Short-Term Interest Rates and Futures
25
Forward-Forward
Forward Rate Agreements
Short-Term Interest Rate Futures
Convexity with Futures
Calculating Strip Yield
Futures vs. FRAs
3
Bonds: Pricing, Risk and Hedging
43
Bond Price
Bond Yields
Bond Proceeds: Clean vs. Dirty Price
Odd Coupon Bonds
Bond PV01
Bond Portfolio PV01
Bond Duration and Modified Duration
Bond Convexity
Modified Duration and Convexity: Bond Portfolio
Hedging a Bond Portfolio
Basis Risk
Bond Futures
Hedging with Bond Futures
Repurchase and Sale and Buy Backs
4
Interest Rate Swaps
89
What is an Interest Rate Swap?
How Interest Rate Swaps are Quoted
What is a Swap Spread?
Quotation Basis
Interest Rate Swap Applications
Non-Standard Interest Rate Swaps
Case Studies
5
Deriving a Zero Coupon Curve
115
Bunding a Zero Coupon Curve
The Bootstrapping Algorithm
Generating Generic Discount Factors and FRAs
Building
a
Zerocurve
using
Curveßuilder
Bid and Offer Curves
6
Asset and Liability Swaps: Cashflows and Pricing
135
Asset Swaps
Bond Pricing: Given Target Floating Spread
Curveßuilder
Asset Swap Calculator
Liability Swaps
Mark To Market (MTM) Interest Rate Swaps
Forward Starting Interest Rate Swap
Amortising Swaps
Short-Term Interest Rate Hedges
Treasury Lock
Spreadlock
7
Hedging and Trading Interest Rate Swaps
167
Risk Measurement PV01
Hedging with Eurodollars
Hedging with Government Bonds
Portfolio Risk Management
8
Cross-Currency Interest Rate Swaps
187
What is the Value of a Cross-Currency Basis Swap?
Zero NPV Valuation
Cross-Currency Basis Swaps Quotes and Pricing
Synthetically Create a CC Basis Swap
Basis Point Conversion
Hedging using Basis Swaps
Fixed for Fixed Cross-Currency Swap
Cross-Currency Asset Swaps
Liability Swap
Case Study: Relative Borrowing Costs
9
Interest Rate Options
217
Option Fundamentals
Option Risk Characteristics: The Greeks
Option's Price Sensitivity to a Change in
the Underlying Price: Delta and Gamma
Option's Price Sensitivity to a Change in
the Underlying Volatility:
Vega
Caps and Floors
Cap Premium in Swap Form
Collar
Caps and Floors Applied to Floating Rate Assets
Interest Rate Swaption
Callable Bonds
Volatility
Volatility Stripping
Digital Options
Digital Option Applications
10
Further Interest Rate Swaps and Options
265
CMS
CMS Applications
In Arrears Applications
Differential Swaps
Differential Swap Pricing
Spread Options
Digital Spread Options
11
Financial Accounting: IAS39 Financial Instruments
293
Recognition and Measurement
Introduction
Effective Interest Rate (EIR)
Fair Value vs. Hedge Accounting
Hedge Effectiveness Testing
Effectiveness Testing Methodologies
Hedging Relationship
ISDA Documentation and Derivative Credit
Confirmations
ISDA Definitions
Credit: Exposure, Collateral and Credit Support
Appendix A: Quotation Basis for Interest Rate Swaps
329
Appendix B: Interpolation Methods
331
Appendix C: Convexity Adjustment
337
Appendix D:
Curveßuilder:
Installation and Overview
341
Bibliography
347
Index
349 |
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| index_date | 2024-07-02T20:48:09Z |
| indexdate | 2024-07-09T21:15:26Z |
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| isbn | 1904339948 |
| language | English |
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| spelling | James, Todd Verfasser aut Interest rate derivatives a practical guide to applications, pricing and modelling by Todd James London Risk Books 2006 IX, 354 S. graph. Darst. 1 CD-Rom (12 cm) txt rdacontent n rdamedia nc rdacarrier Corporations Finance Derivative securities Bewertung (DE-588)4006340-9 gnd rswk-swf Modellierung (DE-588)4170297-9 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Zinsoption (DE-588)4234822-5 gnd rswk-swf Zinsoption (DE-588)4234822-5 s Derivat Wertpapier (DE-588)4381572-8 s Bewertung (DE-588)4006340-9 s Modellierung (DE-588)4170297-9 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=016489520&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | James, Todd Interest rate derivatives a practical guide to applications, pricing and modelling Corporations Finance Derivative securities Bewertung (DE-588)4006340-9 gnd Modellierung (DE-588)4170297-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinsoption (DE-588)4234822-5 gnd |
| subject_GND | (DE-588)4006340-9 (DE-588)4170297-9 (DE-588)4381572-8 (DE-588)4234822-5 |
| title | Interest rate derivatives a practical guide to applications, pricing and modelling |
| title_auth | Interest rate derivatives a practical guide to applications, pricing and modelling |
| title_exact_search | Interest rate derivatives a practical guide to applications, pricing and modelling |
| title_exact_search_txtP | Interest rate derivatives a practical guide to applications, pricing and modelling |
| title_full | Interest rate derivatives a practical guide to applications, pricing and modelling by Todd James |
| title_fullStr | Interest rate derivatives a practical guide to applications, pricing and modelling by Todd James |
| title_full_unstemmed | Interest rate derivatives a practical guide to applications, pricing and modelling by Todd James |
| title_short | Interest rate derivatives |
| title_sort | interest rate derivatives a practical guide to applications pricing and modelling |
| title_sub | a practical guide to applications, pricing and modelling |
| topic | Corporations Finance Derivative securities Bewertung (DE-588)4006340-9 gnd Modellierung (DE-588)4170297-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinsoption (DE-588)4234822-5 gnd |
| topic_facet | Corporations Finance Derivative securities Bewertung Modellierung Derivat Wertpapier Zinsoption |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016489520&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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