Book description
Bond and Money Markets: Strategy, Trading, Analysis explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work. The book features coverage of:
 Government and Corporate bonds, Eurobonds, callable bonds, convertibles
 Assetbacked bonds including mortgages and CDOs
 Derivative instruments including bond futures, swaps, options, structured products, and option valuation models
 Interestrate risk, duration analysis, convexity, and the convexity bias
 The money markets, repo markets, basis trading, and asset / liability management
 Term structure models, estimating and interpreting the yield curve
 Portfolio management, including total return framework, portfolio strategies, and constructing bond indices
and valuable insight into:
 Trading and hedging strategy
 Charting and technical analysis
 The latest market developments, such as valueatrisk, and credit derivatives
 Emerging markets and the benefits of international investment
The Bond and Money Markets: Strategy, Trading, Analysis is aimed at a wide readership including bond salespersons, traders, corporate financiers and graduate trainees, as well as risk managers, operations professionals and business analysts. Other market participants including fund managers, corporate treasurers, management consultants, regulators and financial journalists will also find the content useful.
 This book is virtually a stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interestrate futures and technical analysis
 Includes some introductory coverage of very specialised topics (for which one requires specialised texts) such as VaR, Asset & liability management, credit derivatives
 Combines accessible style with advanced level topics, plus review of latest research
Table of contents
 Cover image
 Title page
 Table of Contents
 Copyright page
 Dedication
 Foreword
 Preface
 About the author

Part I: Introduction to the Bond Markets
 Introduction
 1: The Debt Capital Markets
 2: Financial Markets Arithmetic
 3: Traditional Bond Pricing

4: Bond Yield Measurement
 4.1 Current yield
 4.2 Simple yield to maturity
 4.3 Yield to maturity
 4.4 Yield on a zerocoupon bond
 4.5 Modifying bond yields
 4.6 Converting bond yields
 4.7 Assumptions of the redemption yield calculation
 4.8 Holdingperiod yield
 4.9 Bonds with embedded options
 4.10 Indexlinked bonds
 4.11 Yields on floatingrate bonds
 4.12 Measuring yield for a bond portfolio
 4.13 The price/yield relationship
 4.14 Summary
 Appendices
 Questions and exercises
 5: Review of Bond Market Instruments

6: The Yield Curve
 6.1 Using the yield curve
 6.2 Yieldtomaturity yield curve
 6.3 The coupon yield curve
 6.4 The par yield curve
 6.5 The zerocoupon (or spot) yield curve
 6.6 The forward yield curve
 6.7 The annuity yield curve
 6.8 Analysing and interpreting the yield curve
 6.9 Interpreting the yield curve
 6.10 Fitting the yield curve
 6.11 Spot and forward rates in the market
 6.12 Examples, exercises and calculations
 6.13 Case Study: Deriving a discount function28
 6.14 Case Study exercise: Deriving the theoretical zerocoupon (spot) rate curve29
 Appendices
 Questions and exercises
 7: Price, Yield and Interest Rate Risk I
 8: Price, Yield and Interest Rate Risk II
 9: Price, Yield and Interest Rate Risk III
 10: Price, Yield and Interest Rate Risk IV

Part II: Government Bond Markets
 Introduction

11: The United Kingdom Gilt Market
 11.1 Introduction and history
 11.2 Market instruments
 11.3 Taxation
 11.4 Market structure
 11.5 Market makers and brokers
 11.6 Issuing gilts
 11.7 The DMO and secondary market trading
 11.8 Settlement
 11.9 Indexlinked gilts analytics
 11.10 Gilt strips
 11.11 Zerocoupon bond trading and strategy
 11.12 Strips market anomalies
 11.13 Trading strategy
 11.14 Illustration: Yield and cash flow analysis
 11.15 Future developments in strips
 11.16 HM Treasury and the remit of the Debt Management Office
 11.17 Gilt derivatives and repo markets
 11.18 The Minimum Funding Requirement
 11.19 Developments in electronic trading
 Appendices
 Questions and exercises

12: The US Treasury Bond Market
 12.1 The US Treasury
 12.2 The Federal Reserve
 12.3 Market convention
 12.4 The Primary Market
 12.5 The Secondary Market
 12.6 Treasury strips
 12.7 Inflationprotected Treasury bonds
 12.8 Treasury repo market
 12.9 Federal Agency bonds
 12.10 Derivatives markets
 12.11 Historical longbond yields
 Appendices
 Questions and exercises
 13: International Bond Markets

Part III: Corporate Debt Markets
 Introduction

14: Corporate Debt Markets
 14.1 Introduction
 14.2 Determinants of the development of a corporate market
 14.3 The primary market
 14.4 The secondary market
 14.5 Fundamentals of corporate bonds
 14.6 Bond security
 14.7 Redemption provisions
 14.8 Corporate bond risks
 14.9 Highyield corporate bonds
 14.10 Corporate bond offering circular
 Questions and exercises
 15: Analysis of Bonds With Embedded Options
 16: Convertible Bonds I
 17: Convertible Bonds II

18: The Eurobond Market I
 18.1 Eurobonds
 18.2 Foreign bonds
 18.3 Eurobond instruments
 18.4 The issuing process: market participants
 18.5 Fees, expenses and pricing
 18.6 Issuing the bond
 18.7 Covenants
 18.8 Trust services
 18.9 Form of the bond
 18.10 Clearing systems
 18.11 Market associations
 18.12 Secondary market
 18.13 Settlement
 19: Eurobonds II
 20: Warrants
 21: Mediumterm Notes
 22: Commercial Paper
 23: Preference Shares and Preferred Stock
 24: The US Municipal Bond Market
 25: AssetBacked Bonds I: Mortgagebacked Securities
 26: Mortgagebacked Bonds II
 27: Assetbacked Securities III
 28: Collateralised Debt Obligations
 29: Highyield Bonds
 30: Corporate Bonds and Credit Analysis

Part IV: The Money Markets
 Introduction
 31: The Money Markets
 32: Banking Regulatory Capital Requirements
 33: Asset and Liability Management

34: The Repo Markets
 34.1 Development of the repo market
 34.2 Introduction to repo
 34.3 Uses and economic functions of repo
 34.4 Repo mechanics
 34.5 Other repo structures
 34.6 Pricing and margin
 34.7 Risks in dealing repo
 34.8 Legal issues
 34.9 Accounting, Tax and capital issues
 34.10 Market participants
 34.11 The United Kingdom gilt repo market
 34.12 Market structure
 34.13 Trading patterns
 34.14 Open market operations
 34.15 Gilts settlement and the CREST service
 34.16 Gilt repo Code of Best Practice
 34.17 Trading approach
 34.18 Electronic repo trading
 34.19 Repo netting
 34.20 The implied repo rate and basis trading
 34.21 Repo market structures
 34.22 Central bank repo and overseas markets
 Appendices
 Questions and exercises
 35: Money Markets Derivatives

Part V: Risk Management
 Introduction
 36: Risk Management

37: Bank Risk Exposure and ValueatRisk
 37.1 ValueatRisk
 37.2 Explaining ValueatRisk
 37.3 Variancecovariance ValueatRisk
 37.4 Historical VaR methodology
 37.5 Simulation methodology
 37.6 Valueatrisk for fixed interest instruments
 37.7 Derivative products and ValueatRisk
 37.8 Stress testing
 37.9 ValueatRisk methodology for credit risk
 Appendices
 Questions and exercises
 38: Interestrate Risk and a Critique of ValueatRisk

Part VI: Derivative Instruments
 Introduction

39: Swaps I
 39.1 Introduction
 39.2 Interest rate swaps
 39.3 Relationship between interestrate swaps and FRAs
 39.4 Generic swap valuation
 39.5 Zerocoupon swap pricing
 39.6 Nonvanilla interestrate swaps
 39.7 Cancelling a swap
 39.8 Swaptions
 39.9 Crosscurrency swaps
 39.10 Credit risk
 Appendices
 Questions and exercises
 40: Swaps II
 41: Bond Futures
 42: Options I
 43: The Dynamics of Asset Prices

44: Options II: Pricing and Valuation
 44.1 Option pricing
 44.2 Pricing derivative securities
 44.3 Simulation methods
 44.4 Valuation of bond options
 44.5 Interestrate options and the Black model
 44.6 Critique of the Black–Scholes model
 44.7 The BaroneAdesi and Whaley model
 44.8 Valuation of American options
 44.9 Describing stochastic volatilities
 44.10 A final word on (and summary of) the models
 Appendices
 Questions and exercises
 45: Options III: The Binomial Pricing Model
 46: Options IV: Pricing Models for Bond Options
 47: Options V – Managing an Option Book
 48: Options VI: Strategies and Uses
 49: Options VII: Exotic Options
 Part VII: Approaches to Trading and Hedging
 Part VIII: Advanced Fixed Income Analytics
 Part IX: Portfolio Management

Part X: Technical Analysis
 Introduction

63: Technical Analysis
 63.1 Introduction
 63.2 Trading market profile
 63.3 Dow theory
 63.4 Chart construction
 63.5 Trend analysis
 63.6 Reversal patterns
 63.7 Continuation patterns
 63.8 Point and figure charting
 63.9 Mathematical approaches
 63.10 Contrary opinion theory
 63.11 Volume and open interest
 63.12 Candlestick charting
 63.13 Elliott wave theory
 63.14 Stop losses
 63.15 Concluding remarks
 Questions and exercises
 Part XI: Introduction to Credit Derivatives
 Part XII: Emerging Bond Markets
 Concluding Remarks
 Glossary
 Index
Product information
 Title: Bond and Money Markets: Strategy, Trading, Analysis
 Author(s):
 Release date: May 2001
 Publisher(s): ButterworthHeinemann
 ISBN: 9780080476186
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