Analysing and Interpreting the Yield Curve, 2nd Edition

Index

• 30 Year bonds 8

• A
• ALM see Asset–liability management
• Analysis
  • callable bonds 336–339
  • compounding 222–224
  • continuous time 66–89
  • expectations hypothesis 32–38
  • forward yield curve 30–32
  • liquidity preference theory 38–40
  • negative interest rates 219–227
  • post‐2008 193–210
  • putable bonds 338–339
  • relative value 9, 283–288
  • segmentation hypothesis 40–42
  • spot rates 23–24, 52–53
  • yield measurement 321–352
  • see also Pricing
• Ancillary yield curves 291–319
• Anderson–Sleath model 266–271
• Arbitrage 68–70, 73–75
• Arbitrage‐free models 96, 150–157, 172
  • Black–Derman–Toy model 140, 156–157
  • fitting 157–158
  • Ho–Lee model 151–153, 158
  • Hull–White model 100, 147, 153–156, 158
  • multi‐factor HJM model 166–169
• Arithmetic average 81
• Assessment of models 170–171
• Asset–liability management (ALM) 40, 219–227
• Asset price dynamics 115–136
  • bond price equation 129–130
  • Brownian motion 117–120, 126–127
  • generalised Wiener process 122–124, 148–149
  • Ho–Lee model 151–153, 158
  • interest rate uncertainty 130–131
  • Itô's lemma 100–101, 127–128, 132–134
  • Martingale property 120–122
  • modelling 124–135
  • Poisson processes 117–118
  • stochastic processes 116–124, 126–134
  • Wiener processes 117–120, 127–128
• Assumed inflation rates 187–188
• Average return 27, 76

• B
• Bank of England 45, 268–271
• Banking, COF curves 207–217
• Barbell trades 288–289, 301–306
• Base RPI 187, 341
• Basis point value (BPV) 286–287
• BDT model see Black–Derman–Toy model
• Benchmarks 10, 197–198, 306–309, 313–316
• “Best fit” 15
• BEY see Bond equivalent yield
• BGM model see ...