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 mortgage-backed 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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