We detail here the material that can be found on the companion website for Fixed Income Markets, second edition. The purpose of the site is to complement the technical detail in the book by making available spreadsheet models that can be used by readers to undertake some of the calculations and analysis that we describe.
The Wiley URL is www.wiley.com/go/fim2e
The password is moorad567.
DESCRIPTION OF THE CONTENT
The website holds the following files:
The Monte Carlo instructional spreadsheet was written by Abukar Ali.
The relative value funding trade repo calculator was written by Didier Joannas. This spreadsheet calculates the net funding gain or loss for a two-bond relative value position. In effect, it shows the net break-even, in terms of basis points, that the trade must make to be profitable. It is currently set up for US Treasury securities; however, the user may easily adjust the relevant cells to bring the worksheet up to date. The list of nonbusiness days is maintained in the Visual Basic module. The user enters the bond price, coupon, and maturity date in columns B, F, and G. Long positions are entered separately to short positions. The repo rate applicable to the bond position is entered at column Q. The net funding gain or loss is shown for each bond against all the other bonds in column S. Note that this means a long position against all short positions, and vice versa.
The credit default swap pricing ...