INDEX
Accrued interest, 51, 194, 196, 201, 268, 410, 424, 454, 581, 588, 613
bond pricing formula, 781
essentially affine models, 783
generalized, 677
market price of risk, 783
the fundamental pricing equation, 781
Amortizing interest rate swaps (AIRS), 473
Arbitrage, 7
Asset backed securities
Asset-Liability management, 97–98, 182–183
derivatives, 182
Bankers Trust, 619
American swaptions, 435
Black, Derman, and Toy model forward volatility, 402, 404
Black, Derman, and Toy model simple, 383
versus Ho-Lee model, 385
building a tree from expected future rates, 367
callable bonds, 431
futures prices, 404
Eurodollar, 406
T-note and T-bond futures, 408
Ho-Lee model, 381
implied volatility, 397
flat and forward volatility, 398
matching the term structure of interest rates, 365, 382
Monte Carlo simulations, 459, 461, 466
amortizing interest rate swaps (AIRS), 473
Asian option, 465
interest rate options, 469
mortgage backed securities, 482
path dependent options, 473
mortgage backed securities, 438
interest-only and principal-only strips, 447
prepayment option, 440
pricing, 444
simulating the prepayment decision, 483
spot rate duration, 447
one-step, 335
risk neutral pricing, 348, 358, 360, 369, 381
risk neutral probability, 349, 358
risk neutral trees
and future interest rates, 386
derivative ...
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