Book description
How to build a framework for forecasting interest rate market movements
With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgagebacked securities, the U.S. interest rate market is one of the largest fixed income markets in the world.
Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business.
Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades
Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008
Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods
Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models
Table of contents
 Cover
 Series
 Title Page
 Copyright
 Dedication
 Acknowledgments
 Introduction
 Chapter 1: Tools of the Trade
 Chapter 2: Bonds
 Chapter 3: Fixed Income Markets
 Chapter 4: Interest Rate Futures
 Chapter 5: Interest Rate Swaps
 Chapter 6: Understanding Drivers of Interest Rates
 Chapter 7: Carry and Relative Value Trades
 Chapter 8: Hedging Risks in Interest Rate Products
 Chapter 9: Trading Swap Spreads

Chapter 10: Interest Rate Options and Trading Volatility
 OPTION PRICING AND FUNDAMENTALS
 MODIFICATIONS FOR THE INTEREST RATE MARKETS
 QUOTING VOLATILITY
 MEASURING RISKS IN OPTION POSITIONS
 PUT/CALL PARITY
 IMPLIED AND REALIZED VOLATILITY
 SKEW
 DELTA HEDGING
 INTEREST RATE OPTIONS
 EMBEDDED OPTIONS AND HEDGING
 MORE EXOTIC STRUCTURES
 YIELD CURVE SPREAD OPTIONS
 FORWARD VOLATILITY
 VOLATILITY TRADING
 INTEREST RATE SKEW
 VOLATILITY SPREAD TRADES
 CAPS VERSUS SWAPTIONS
 SUMMARY
 Chapter 11: Treasury Futures Basis and Rolls
 Chapter 12: Conditional Trades
 References
 About the Author
 About the Web Site
 Index
Product information
 Title: Interest Rate Markets: A Practical Approach to Fixed Income
 Author(s):
 Release date: April 2011
 Publisher(s): Wiley
 ISBN: 9780470932209
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