Siddhartha Jha

Interest Rate Markets (eBook, ePUB)

A Practical Approach to Fixed Income

• Format: ePub

Produktbeschreibung

How 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. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. * Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades * Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 * Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 368
• Erscheinungstermin: 14. Februar 2011
• Englisch
• ISBN-13: 9781118017791
• Artikelnr.: 37357663

Autorenporträt

SIDDHARTHA JHA is a Senior Analyst with Arrowhawk Capital Partners. Previously, as part of J. P. Morgan's Fixed Income Strategy Team, he covered a wide range of rates markets--from municipals to liquid products including Treasuries, swaps, futures, and options--analyzing macroeconomic trends as well as short-term technical factors. He spent five years there developing trade ideas, building quantitative models, and discussing market trends with institutional investors. He graduated cum laude with a dual bachelor's and master's in applied mathematics and statistics from Harvard University.

Inhaltsangabe

Acknowledgments. Introduction. Chapter 1: Tools of the Trade. Basic
Statistics. Regression-The Fundamentals. Regression - How Good a Fit?
Principal Components Analysis. Scaling Through Time. Backtesting
Strategies. Summary. Chapter 2: Introduction to Bonds. Basics of Bonds.
Risks Embedded in Fixed Income Instruments. Discounting. Bond Pricing.
Yield Curve. Duration. Convexity. Repo Markets. Bid Offer. Calculating
Profit/Loss (P/L) of a Bond. Carry and Forward Rates. Forward Rates.
Rolldown/Slide. Curves and Spreads. Butterflies and Condors. Summary.
Chapter 3: Overview of Fixed Income Markets. Federal Reserve. Treasuries.
STRIPS. TIPS. Mortgages. Agency Debt. Corporate Bonds. Municipal Bonds.
Summary. Chapter 4: Introduction to Futures Markets. Basics of Futures
Transactions. Eurodollar Futures. Convexity Bias (or Financing Bias).
Creating Longer Dated Assets Using Eurodollar Futures. Treasury Futures.
Fed Funds Futures. Futures Positioning Data. Summary. Chapter 5:
Introduction to Swaps. Duration and Convexity. Uses of Swaps. Other Types
of Swaps. Summary. Chapter 6: Understanding Drivers of Interest Rates.
Supply and Demand for Borrowing. Flight to Quality. Components of Fixed
Income Supply and Demand. Treasury Supply. Other Sources of Fixed Income
Supply. Fixed Income Demand. Foreigner Holdings. Households. Federal
Reserve. Mutual Funds. Banks. Pension Funds. Short Term Yield Drivers.
Summary. Chapter 7: Carry and Relative Value Trades. Carry Trades. Carry
Trade Set up and Evaluation. Pitfalls of the Carry Trade. Carry Efficient
Directional Trades. Relative Value Trades. Setting Up Relative Value
Trades. Treasury Bond Relative Value--Par Curve. Other Treasury Relative
Value Trades. Summary. Chapter 8: Hedging Risks in Interest Rate Products.
Principles of Hedging. Choices of Instruments for Hedging. Calculating
Hedge Ratios. Yield Betas. Convexity Hedging. Summary. Chapter 9: Trading
Swap Spreads. How Swap Spreads Work. Why Trade Swap Spreads? Directionality
of Swap Spreads to Yields. Futures Asset Swaps. Spread Curve Trades.
Summary. Chapter 10: Interest Rate Options and Trading Volatility. Option
Pricing and Fundamentals. Modifications for the Interest Rate Markets.
Quoting Volatility. Measuring Risks in Option Positions. Put call parity.
Implied and Realized Volatility. Skew. Delta Hedging. Interest Rate
Options. Embedded Options and Hedging. More Exotic Structures. Yield Curve
Spread Options (YCSOs). Forward Volatility. Volatility Trading. Interest
Rate Skew. Volatility Spread Trades. Caps versus Swaptions. Summary.
Chapter 11: Treasury futures basis and rolls. The Bond Basis. Calculating
the Delivery Option Value. Option Adjusted and Empirical Duration. Treasury
Futures Rolls. Summary. Chapter 12: Conditional Trades. Conditional Curve
Trades. Conditional Spread Trades. Summary. References. About the Author.
About the Website. Index.