Fixed-income securities and derivatives handbook: [analysis and valuation]
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2010
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIX, 475 S. graph. Darst. |
| ISBN: | 9781576603345 |
Internformat
MARC
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| 020 | |a 9781576603345 |9 978-1-576-60334-5 | ||
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| 035 | |a (DE-599)GBV615363512 | ||
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| 100 | 1 | |a Choudhry, Moorad |d 1966- |e Verfasser |0 (DE-588)141375760 |4 aut | |
| 245 | 1 | 0 | |a Fixed-income securities and derivatives handbook |b [analysis and valuation] |c Moorad Choudhry |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2010 | |
| 300 | |a XIX, 475 S. |b graph. Darst. | ||
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-020565397 | ||
Datensatz im Suchindex
| _version_ | 1804143258948861952 |
|---|---|
| adam_text | CONTENTS
Foreword
XV
Preface
xvii
PART ONE Introduction to Bonds
1
The Bond Instrument
3
The Time Value of Money
4
Basic Features and Definitions
5
Present Value and Discounting
6
Discount Factors
12
Bond Pricing and Yield: The Traditional Approach
15
Bond Pricing
16
Bond Yield
20
Floating Rate Notes
27
Accrued Interest
30
Clean and Dirty Bond Prices
30
Day-Count Conventions
32
2
Bond Instruments and Interest Rate Risk
35
Duration, Modified Duration, and Convexity
35
Duration
36
Properties of Macaulay Duration
40
Modified Duration
41
Convexity
45
3
Bond Pricing and Spot and Forward Rates
51
Zero-Coupon Bonds
51
Coupon Bonds
53
Bond Price in Continuous Time
55
Fundamental Concepts
55
Stochastic Rates
58
Coupon Bonds
60
Forward Rates
61
Guaranteeing a Forward Rate
61
The Spot and Forward Yield Curve
63
Calculating Spot Rates
64
Term Structure Hypotheses
67
The Expectations Hypothesis
67
Liquidity Premium Hypothesis
69
Segmented Markets Hypothesis
69
Contents
4
Interest Rate Modeling
71
Basic Concepts
71
Short-Rate Processes
72
Itos Lemma
74
One-Factor Term-Structure Models
75
Vasicek Model
75
Hull-White Model
76
Further One-Factor Term-Structure Models
77
Cox-Ingersoll-Ross (CIR)
Model
78
Two-Factor Interest Rate Models
79
Brennan-Schwartz Model
80
Extended Cox-Ingersoll-Ross Model
80
Heath-Jarrow-Morton (HJM)
Model
81
The Multifactor HJM Model
82
Choosing a Term-Structure Model
83
5
Fitting the Yield Curve
87
Yield Curve Smoothing
88
Smoothing Techniques
90
Cubic Polynomials
91
Non-Parametric Methods
92
Spline-Based Methods
92
Nelson and
Siegel
Curves
95
Comparing Curves
96
Fitting the Term Structure of Interest Rates: The Practical
Implementation of Cubic Spline Methodology
96
Cubic Spline Methodology
97
The Hypothesis
99
Practical Approach
100
A Working Environment
100
The First Requirement
101
The Second Requirement
101
The Third Requirement
102
Meeting All Requirements Simultaneously
102
A Unique Solution
103
The Solution
108
A Look at Forward Rates
114
Conclusion
117
PART TWO Selected Cash and Derivative Instruments
6
Forwards and Futures Valuation
121
Forwards and Futures
121
Cash Flow Differences
122
Contents
ix
Relationship Between Forward and Futures Prices
124
Forward-Spot Parity
125
The Basis and Implied
Repo
Rate
127
7
Swaps
131
Interest Rate Swaps
132
Market Terminology
134
Swap Spreads and the Swap Yield Curve
135
Generic Swap Valuation
138
Intuitive Swap Pricing
138
Zero-Coupon Swap Valuation
139
Calculating the Forward Rate from Spot-Rate Discount Factors
139
The Key Principles of an Interest Rate Swap
143
Valuation Using the Final Maturity Discount Factor
143
Non-Plain Vanilla Interest Rate Swaps
146
Swaptions
148
Valuation
149
Interest Rate Swap Applications
150
Corporate and Investor Applications
150
Hedging Bond Instruments Using Interest Rate Swaps
153
8
Options
157
Option Basics
158
Terminology
160
Option Instruments
162
Option Pricing: Setting the Scene
164
Limits on Option Prices
165
Option Pricing
166
The Black-Scholes Option Model
168
Assumptions
169
Pricing Derivative Instruments Using the Black-Scholes Model
170
Put-Call Parity
173
Pricing Options on Bonds Using the Black-Scholes Model
174
Interest Rate Options and the Black Model
174
Comments on the Black-Scholes Model
180
Stochastic Volatility
180
Implied Volatility
180
Other Option Models
181
9
Measuring Option Risk
183
Option Price Behavior
183
Assessing Time Value
183
American Options
184
The Greeks
185
Contents
Delta
185
Gamma
187
Thêta
189
Vega
189
Rho
190
Lambda
192
The Option
Smile
193
Caps and Floors
194
10
Credit Derivatives
197
Credit Risk
198
Credit Risk and Credit Derivatives
200
Applications of Credit Derivatives
201
Credit Derivative Instruments
202
Credit Default Swap
202
Credit Options
203
Credit-Linked Notes
204
Total Return Swaps
205
Investment Applications
207
Capital Structure Arbitrage
209
Exposure to Market Sectors
210
Credit Spreads
210
Funding Positions
210
Credit Derivatives and Relative Value Trading
212
Relative Value Trading Strategies
212
Bond Valuation from CDS Prices: Bloomberg Screen VCDS
217
Credit-Derivative Pricing
218
Pricing Total Return Swaps
218
Asset-Swap Pricing
219
Credit-Spread Pricing Models
219
The Market Approach to CDS Pricing
220
Default Probabilities
220
Pricing a CDS Contract
226
Example Calculation
228
The ITraxx and CD
-Х
Credit Indices Contracts
229
Index Tranche Market
236
Impact of the
2007-2008
Credit Crunch: New CDS Contracts
240
11
The Analysis of Bonds with Embedded Options
245
Understanding Option Elements Embedded in a Bond
245
Basic Options Features
246
Option Valuation
247
The Call Provision
248
The Binomial Tree of Short-Term Interest Rates
249
Contents
xi
Arbitrage-Free Pricing
250
Options Pricing
252
Risk-Neutral Pricing
254
Recombining and Nonrecombining Trees
255
Pricing Callable Bonds
256
Price and Yield Sensitivity
261
Measuring Bond Yield Spreads
263
12
Option-Adjusted Spread Analysis
265
Introduction
265
A Theoretical Framework
266
The Methodology in Practice
272
13
Convertible Bonds
277
Basic Features
277
Trading Patterns of Convertible Bonds
279
Investor Analysis
280
Zero-Coupon Convertibles
284
Convertible Bond Default Risk
285
Advantages of Issuing and Holding Convertibles
285
Convertible Bond Valuation
288
Fair Value of a Convertible Bond: The Binomial Model
288
Model Parameters
297
Pricing Spreadsheet
299
14
Inflation-Indexed Bonds
303
Basic Concepts
303
Choice of Index
303
Indexation Lag
305
Coupon Frequency
306
Type of Indexation
306
Index-Linked Bond Cash Flows and Yields
308
TIPS Cash Flow Calculations
309
TIPS Price and Yield Calculations
309
Assessing Yields on Index-Linked Bonds
313
Which to Hold: Indexed or Conventional Bonds?
314
Analysis of Real Interest Rates
315
Indexation Lags and Inflation Expectations
315
An Inflation Term Structure
317
Inflation-Indexed Derivatives
318
15
Securitization and Asset-Backed Securities
327
The Concept of Securitization
328
Reasons for Undertaking Securitization
328
Contents
Benefits of Securitization to Investors
330
The Process of Securitization
331
Securitization Process
331
Credit Enhancement
335
Securitizing Mortgages
336
Growth of the Market
337
Mortgage Bond Risk
338
Types of Mortgage-Backed Securities
338
Cash Flow Patterns
339
Prepayment Analysis
340
Prepayment Models
344
ABS
Structures: A Primer on Performance Metrics
and Test Measures
345
Collateral Types
345
Summary of Performance Metrics
351
Securitization: Features of the
2007-2009
Financial Crisis
351
Impact of the Credit Crunch
351
16
Collateralized Debt Obligations
357
CDO Structures
359
Conventional CDO Structures
359
Synthetic CDO Structures
360
Motivation Behind CDO Issuance
362
Balance Sheet-Driven Transactions
362
Investor-Driven Arbitrage Transactions
363
Analysis and Evaluation
363
Portfolio Characteristics
363
Cash Flow Analysis and Stress Testing
364
Originators Credit Quality
365
Operational Aspects
365
Legal Structure of the Transaction
365
Expected Loss
366
CDO Market Overview Since
2005
366
Risk and Capital Management
368
PART THREE Selected Market Trading Considerations
17
The Yield Curve, Bond Yield, and Spot Rates
373
Practical Uses of Redemption Yield and Duration
373
The Concept of Yield
374
Yield Comparisons in the Market
376
Measuring a Bond s True Return
376
Illustrating Bond Yield Using a Microsoft Excel Spreadsheet
380
Implied Spot Rates and Market Zero-Coupon Yields
388
Contents
xii
Spot Yields and Coupon-Bond Prices
389
Implied Spot Yields and Zero-Coupon Bond Yields
393
Determining Strip Values
394
Strips Market Anomalies
395
Strips Trading Strategy
396
Case Study: Treasury Strip Yields and Cash Flow Analysis
399
18
Approaches to Trading
401
Futures Trading
402
Yield Curves and Relative Value
406
Determinants of Government Bond Yields
406
Characterizing the Complete Term Structure
408
Identifying Relative Value in Government Bonds
409
Hedging Bond Positions
412
Simple Hedging Approaches
412
Hedge Analysis
413
Summary of the Derivation of the Optimum-Hedge Equation
415
19
Credit Analysis and Relative Value Measurement
417
Credit Ratings
418
Purpose of Credit Ratings
418
Formal Credit Ratings
419
Credit Analysis
420
The Issuer Industry
421
Financial Analysis
423
Industry-Specific Analysis
426
Utility Companies
426
Financial Sector Companies
427
The Art of Credit Analysis
428
Bond Spreads and Relative Value
429
Bond Spreads
429
Summary of Fund Managers Approach to Value Creation
438
Appendix I: The Black-Scholes Model in Microsoft Excel
443
Appendix II: Iterative Formula Spreadsheet
445
Appendix III: Pricing Spreadsheet
447
References
451
About the Author
463
Index
465
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| id | DE-604.BV036645755 |
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| isbn | 9781576603345 |
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| physical | XIX, 475 S. graph. Darst. |
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| spelling | Choudhry, Moorad 1966- Verfasser (DE-588)141375760 aut Fixed-income securities and derivatives handbook [analysis and valuation] Moorad Choudhry 2. ed. Hoboken, NJ Wiley 2010 XIX, 475 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s Derivat Wertpapier (DE-588)4381572-8 s DE-604 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020565397&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Choudhry, Moorad 1966- Fixed-income securities and derivatives handbook [analysis and valuation] Derivat Wertpapier (DE-588)4381572-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4121262-9 |
| title | Fixed-income securities and derivatives handbook [analysis and valuation] |
| title_auth | Fixed-income securities and derivatives handbook [analysis and valuation] |
| title_exact_search | Fixed-income securities and derivatives handbook [analysis and valuation] |
| title_full | Fixed-income securities and derivatives handbook [analysis and valuation] Moorad Choudhry |
| title_fullStr | Fixed-income securities and derivatives handbook [analysis and valuation] Moorad Choudhry |
| title_full_unstemmed | Fixed-income securities and derivatives handbook [analysis and valuation] Moorad Choudhry |
| title_short | Fixed-income securities and derivatives handbook |
| title_sort | fixed income securities and derivatives handbook analysis and valuation |
| title_sub | [analysis and valuation] |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Derivat Wertpapier Festverzinsliches Wertpapier |
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