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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