{"product_id":"interest-rate-markets-9780470932209","title":"Interest Rate Markets","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eHow 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eAcknowledgments xiii\u003c\/p\u003e \u003cp\u003eIntroduction xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Tools of the Trade 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic Statistics 2\u003c\/p\u003e \u003cp\u003eRegression: The Fundamentals 6\u003c\/p\u003e \u003cp\u003eRegression: How Good a Fit? 11\u003c\/p\u003e \u003cp\u003ePrincipal Components Analysis 14\u003c\/p\u003e \u003cp\u003eScaling through Time 15\u003c\/p\u003e \u003cp\u003eBacktesting Strategies 16\u003c\/p\u003e \u003cp\u003eSummary 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Bonds 19\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasics of Bonds 19\u003c\/p\u003e \u003cp\u003eRisks Embedded in Fixed Income Instruments 22\u003c\/p\u003e \u003cp\u003eDiscounting 27\u003c\/p\u003e \u003cp\u003eBond Pricing 28\u003c\/p\u003e \u003cp\u003eYield Curve 32\u003c\/p\u003e \u003cp\u003eDuration 34\u003c\/p\u003e \u003cp\u003eConvexity 37\u003c\/p\u003e \u003cp\u003eRepo Markets 42\u003c\/p\u003e \u003cp\u003eBid Offer 44\u003c\/p\u003e \u003cp\u003eCalculating Profit\/Loss of a Bond 45\u003c\/p\u003e \u003cp\u003eCarry 45\u003c\/p\u003e \u003cp\u003eForward Rates 47\u003c\/p\u003e \u003cp\u003eRolldown\/Slide 51\u003c\/p\u003e \u003cp\u003eCurves and Spreads 53\u003c\/p\u003e \u003cp\u003eButterfly Trades 55\u003c\/p\u003e \u003cp\u003eSummary 56\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Fixed Income Markets 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFederal Reserve 60\u003c\/p\u003e \u003cp\u003eTreasuries 67\u003c\/p\u003e \u003cp\u003eStrips 70\u003c\/p\u003e \u003cp\u003eTips 71\u003c\/p\u003e \u003cp\u003eMortgages 73\u003c\/p\u003e \u003cp\u003eAgency Debt 77\u003c\/p\u003e \u003cp\u003eCorporate Bonds 79\u003c\/p\u003e \u003cp\u003eMunicipal Bonds 82\u003c\/p\u003e \u003cp\u003eSummary 84\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Interest Rate Futures 85\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasics of Futures Transactions 86\u003c\/p\u003e \u003cp\u003eEurodollar Futures 89\u003c\/p\u003e \u003cp\u003eConvexity (or Financing) Bias 92\u003c\/p\u003e \u003cp\u003eCreating Longer-Dated Assets Using Eurodollar Futures 93\u003c\/p\u003e \u003cp\u003eTreasury Futures 94\u003c\/p\u003e \u003cp\u003eFed Funds Futures 101\u003c\/p\u003e \u003cp\u003eFutures Positioning Data 104\u003c\/p\u003e \u003cp\u003eSummary 105\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Interest Rate Swaps 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic Principles 108\u003c\/p\u003e \u003cp\u003eDuration and Convexity 111\u003c\/p\u003e \u003cp\u003eUses of Swaps 112\u003c\/p\u003e \u003cp\u003eCounterparty Risk 115\u003c\/p\u003e \u003cp\u003eOther Types of Swaps 115\u003c\/p\u003e \u003cp\u003eSummary 124\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Understanding Drivers of Interest Rates 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSupply and Demand for Borrowing 126\u003c\/p\u003e \u003cp\u003eComponents of Fixed Income Supply and Demand 141\u003c\/p\u003e \u003cp\u003eTreasury Supply 141\u003c\/p\u003e \u003cp\u003eOther Sources of Fixed Income Supply 145\u003c\/p\u003e \u003cp\u003eFixed Income Demand 148\u003c\/p\u003e \u003cp\u003eShort-Term Yield Drivers 157\u003c\/p\u003e \u003cp\u003eSummary 172\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Carry and Relative Value Trades 173\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCarry Trades 173\u003c\/p\u003e \u003cp\u003eCarry Trade Setup and Evaluation 175\u003c\/p\u003e \u003cp\u003ePitfalls of the Carry Trade 178\u003c\/p\u003e \u003cp\u003eCarry-Efficient Directional Trades 182\u003c\/p\u003e \u003cp\u003eRelative Value Trades 183\u003c\/p\u003e \u003cp\u003eSetting Up Relative Value Trades 185\u003c\/p\u003e \u003cp\u003eTreasury Bond Relative Value—Par Curve 191\u003c\/p\u003e \u003cp\u003eOther Treasury Relative Value Trades 193\u003c\/p\u003e \u003cp\u003eSummary 194\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Hedging Risks in Interest Rate Products 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrinciples of Hedging 198\u003c\/p\u003e \u003cp\u003eChoices of Instruments for Hedging 202\u003c\/p\u003e \u003cp\u003eCalculating Hedge Ratios 210\u003c\/p\u003e \u003cp\u003eYield Betas 215\u003c\/p\u003e \u003cp\u003eConvexity Hedging 218\u003c\/p\u003e \u003cp\u003eSummary 223\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Trading Swap Spreads 225\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow Swap Spreads Work 225\u003c\/p\u003e \u003cp\u003eWhy Trade Swap Spreads? 230\u003c\/p\u003e \u003cp\u003eDirectionality of Swap Spreads to Yields 240\u003c\/p\u003e \u003cp\u003eFutures Asset Swaps 241\u003c\/p\u003e \u003cp\u003eSpread Curve Trades 243\u003c\/p\u003e \u003cp\u003eSummary 245\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Interest Rate Options and Trading Volatility 247\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOption Pricing and Fundamentals 249\u003c\/p\u003e \u003cp\u003eModifications for the Interest Rate Markets 254\u003c\/p\u003e \u003cp\u003eQuoting Volatility 256\u003c\/p\u003e \u003cp\u003eMeasuring Risks in Option Positions 257\u003c\/p\u003e \u003cp\u003ePut\/Call Parity 266\u003c\/p\u003e \u003cp\u003eImplied and Realized Volatility 268\u003c\/p\u003e \u003cp\u003eSkew 270\u003c\/p\u003e \u003cp\u003eDelta Hedging 270\u003c\/p\u003e \u003cp\u003eInterest Rate Options 275\u003c\/p\u003e \u003cp\u003eEmbedded Options and Hedging 280\u003c\/p\u003e \u003cp\u003eMore Exotic Structures 283\u003c\/p\u003e \u003cp\u003eYield Curve Spread Options 284\u003c\/p\u003e \u003cp\u003eForward Volatility 285\u003c\/p\u003e \u003cp\u003eVolatility Trading 286\u003c\/p\u003e \u003cp\u003eInterest Rate Skew 293\u003c\/p\u003e \u003cp\u003eVolatility Spread Trades 294\u003c\/p\u003e \u003cp\u003eCaps versus Swaptions 297\u003c\/p\u003e \u003cp\u003eSummary 298\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Treasury Futures Basis and Rolls 299\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Futures Delivery Option 299\u003c\/p\u003e \u003cp\u003eCalculating the Delivery Option Value 309\u003c\/p\u003e \u003cp\u003eOption-Adjusted and Empirical Duration 311\u003c\/p\u003e \u003cp\u003eTreasury Futures Rolls 313\u003c\/p\u003e \u003cp\u003eSummary 318\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 Conditional Trades 319\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eConditional Curve Trades 320\u003c\/p\u003e \u003cp\u003eConditional Spread Trades 324\u003c\/p\u003e \u003cp\u003eSummary 328\u003c\/p\u003e \u003cp\u003eReferences 329\u003c\/p\u003e \u003cp\u003eAbout the Author 331\u003c\/p\u003e \u003cp\u003eAbout the Web Site 333\u003c\/p\u003e \u003cp\u003eIndex 335\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402460897623,"sku":"9780470932209","price":54.75,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470932209.jpg?v=1730480479","url":"https:\/\/bookcurl.com\/products\/interest-rate-markets-9780470932209","provider":"Book Curl","version":"1.0","type":"link"}