List of Figures

III.1.1 Price–yield curves

III.1.2 Bond price versus maturity

III.1.3 Bond yield versus maturity

III.1.4 US Treasury 3-month spot rate, 1961–2006

III.1.5 UK spot rate curve, January 2000 to December 2007

III.1.6 UK government spot and 6-month forward rates on (a) 2 May 2000 and (b) 2 May 2003

III.1.7 Future value of a bond under two different yield curves

III.1.8 Cash flows on a vanilla swap

III.1.9 δ01 as a function of maturity

III.1.10 Uncertainty about future values of a single cash flow

III.1.11 UK LIBOR curve (Svensson model)

III.1.12 UK LIBOR curve (B-splines)

III.1.13 Difference between Svensson rates and B-spline rates

III.1.14 RMSE errors from the model calibrations

III.1.15 Forward rate volatility estimates based on B-splines and Svensson

III.1.16 Forward rate correlation estimates (Svensson model)

III.1.17 Forward rate correlation estimates (B-spline model)

III.1.18 Bank of England forward curve – volatilities

III.1.19 Bank of England forward curve – correlations

III.2.1 Price–yield relationship for 5% semi-annual bond with maturity 7 years

III.2.2 Cheapest to deliver as a function of yield

III.2.3 WTI crude oil constant maturity futures prices

III.2.4 Henry Hub natural gas constant maturity futures prices

III.2.5 PJM electricity constant maturity futures prices

III.2.6 Silver constant maturity futures prices

III.2.7 Yellow corn constant maturity futures prices

III.2.8 Lean hogs constant maturity futures prices

III.2.9 Volume and open interest on all ...

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