Description

Book Synopsis
Treasury securities represent the largest sector of interest rate markets. This book will provide securities newcomers with the tools they need to get up to speed and seasoned professionals with a valuable reference source. The book covers every aspect of the market, including: the basics, valuation techniques, risk analysis, and utilizing derivatives to control interest rate risk.

Table of Contents
Acknowledgements.

1. U.S. Treasury Securities.

2. Valuation of Treasury Securities.

3. Yield and Return Calculations.

4. The Term Structure of Interest Rates.

5. Spot Rates, Forward Rates, and Theories of the Term Structure of Interest Rates.

6. Measuring Level Risk.

7. Measuring Yield Curve Risk.

8. Measuring Historical Yield Volatility and Forecasting Yield Volatility.

9. Repurchase Agreements.

10. Tax Treatment.

11. Cash Market Trading Strategies.

12. Treasury Futures Contracts.

13. Treasury Options.

14. Valuation of Treasury Futures and Options.

15. Controlling Interest Rate Level Risk with Treasury Futures and Options.

16. Basis Trading with Futures and Volatility Trades with Options.

Index.

Treasury Securities and Derivatives

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    A Hardback by Frank J. Fabozzi

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      Book details

      Publisher John Wiley & Sons Inc
      Published 31 December 1997
      ISBN-13 9781883249236
      978-1883249236
      ISBN-10 1883249236
      Also in:
      Finance and accounting

      Description

      Book Synopsis
      Treasury securities represent the largest sector of interest rate markets. This book will provide securities newcomers with the tools they need to get up to speed and seasoned professionals with a valuable reference source. The book covers every aspect of the market, including: the basics, valuation techniques, risk analysis, and utilizing derivatives to control interest rate risk.

      Table of Contents
      Acknowledgements.

      1. U.S. Treasury Securities.

      2. Valuation of Treasury Securities.

      3. Yield and Return Calculations.

      4. The Term Structure of Interest Rates.

      5. Spot Rates, Forward Rates, and Theories of the Term Structure of Interest Rates.

      6. Measuring Level Risk.

      7. Measuring Yield Curve Risk.

      8. Measuring Historical Yield Volatility and Forecasting Yield Volatility.

      9. Repurchase Agreements.

      10. Tax Treatment.

      11. Cash Market Trading Strategies.

      12. Treasury Futures Contracts.

      13. Treasury Options.

      14. Valuation of Treasury Futures and Options.

      15. Controlling Interest Rate Level Risk with Treasury Futures and Options.

      16. Basis Trading with Futures and Volatility Trades with Options.

      Index.

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