April 2011
Beginner
368 pages
11h 20m
English
Index
A
Agency-backed mortgages
Agency bonds
Agency bullets
Agency callables
Agency debt
Fed ownership
market description
Agricultural futures
Alpha
Asset liability management
At-the-money option
definition
delta of
gamma of
theta of
vega of
Average
B
Backtesting
Banking system
Bank run
Banks
banking system. See Banking system
crisis in unsecured lending
fixed income demand
interbank market
issuance of callables
regulation
Treasury demand
Base symbol (futures)
Basis net of carry (BNOC)
Basis point
Basis point value (BPV)
Basis swaps
constant maturity
cross-currency
description
fed funds
one-month/three-month
SIFMA/LIBOR
three-month/six-month
Bear flattener
Bear steepener
Benchmark maturity
bid/offer
risk-free rate
in Treasury auctions
in Treasury futures
versus swaps
Bermudan options
Beta
interpretation
partial
regression
Bid/offer
Bills (Treasuries)
Black model
Black-Scholes model
BMA/LIBOR swaps. See SIFMA/LIBOR swaps
BNOC. See Basis net of carry (BNOC)
Bond futures. See Treasury futures
Bonds
basics
convexity. See Convexity
credit risk. See Credit risk
duration. See Duration
face value
inflation risk. See Inflation risk
interest rate risk. See Interest rate risk
liquidity risk. See Liquidity risk
Macaulay duration
modified duration. See Duration
notional
pricing
regulatory risk. See Regulatory risk
types of risks
yield to maturity
Bootstrapping. See Swaps
BPV. See Basis point value (BPV)
Breakeven
in bond P/L
in options
in TIPS
Brownian motion
Budget deficit
cyclical deficit ...
