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Fixed Income Securities: Tools for Today's Markets, 3rd Edition by Bruce Tuckman, Angel Serrat

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Index

A

Accrued interest

Agency securities

Federal reserve bank balance sheet

Annuity factor

CV01

Yield-based formula

Arbitrage-free models

Arbitrage pricing

Derivatives

Financing arrangements

Forward agreements

Law of one price

LIBOR swaps with fed funds as the investable and collateral rate

Replicating portfolio

Asset-backed securities

Issuers

Japan

On- and off-balance sheet securitizations

Asset swap spreads

B

Bank of Japan (BOJ)

Banks

Europe

Japan

United States

Barbell vs. bullet

Basel II

Basis point

Basis swaps, see Swaps, Basis

Benchmark rates and securities

Curve construction

Key rate analysis

Partial '01s and PV01

Bermudan option

Bilateral agreements

Binomial tree

Black-Karasinski model

Black-Scholes models

Bond futures options

Bond options

Caplets and caps

Expectation formulae

Euribor futures options

Eurodollar futures options

Floorlet

Skew

Swaptions

Theoretical foundations for applications

Bond covenants

Bond options

Call protection

Embedded

Interest rate behavior

Valuation with Black-Scholes models

Valuation with term structure models

Broker-Dealers

Bullet portfolio, see Barbell vs. bullet

Business days and Treasury coupon payments

C

Capital asset pricing model (CAPM)

Caplets and caps

Carry, see Carry-Roll-Down

Carry-Roll-Down

Forward swap rates, May 28

Scenarios

Cash carry

Central counterparty

CDS, see Credit default swaps

Cheap securities

Chinese ownership of U.S. Treasuries

Clean price, see Quoted price

Clearinghouse

Clearing mandates for over-the-counter derivatives ...

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