INDEX

Assets:

fixed rate, 113

Bonds:

coupon-bearing, 4, 82

non-callable, 120

performance, 29, 37

U.S. Treasury, 4

zero-coupon, 4, 21, 72, 78, 80, 103, 177

Brazilian Mercantile & Futures Exchange (BM&F), 20

British Bankers’ Association, 16, 35

British Bankers’ Association Interest Settlement Rate (BBAISR), 34

Bundles, 8, 36, 133, 249–279

correlating value with Treasury notes, 264

decorrelation, 269

defined, 255

pricing, 260

Calendar spread, 313

behavior, 316

fair value, 314

implied financing rate, 314

value, 313

Callable agency notes, 133, 281–310

call protection, 281, 303–306

delta hedging, 287, 290, 299–301

hedging, 291

Eurodollar futures for hedging, 306–310

exposure, 284, 286

structuring a hedge, 286–291

synthetic forward notes, 288

value, ...

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