Interest Rate Markets A Practical Approach to Fixed Income Wiley Trading 1st Edition by Siddhartha Jha ISBN 0470932201 978-0470932209
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ISBN 10: 0470932201
ISBN 13: 978-0470932209
Author: Siddhartha Jha
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
Table of contents:
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 Bonds
- Basics of Bonds
- Risks Embedded in Fixed Income Instruments
- Discounting
- Bond Pricing
- Yield Curve
- Duration
- Convexity
- Repo Markets
- Bid Offer
- Calculating Profit/Loss of a Bond
- Carry
- Forward Rates
- Rolldown/Slide
- Curves and Spreads
- Butterfly Trades
- Summary
CHAPTER 3 Fixed Income Markets
- Federal Reserve
- Treasuries
- Strips
- Tips
- Mortgages
- Agency Debt
- Corporate Bonds
- Municipal Bonds
- Summary
CHAPTER 4 Interest Rate Futures
- Basics of Futures Transactions
- Eurodollar Futures
- Convexity (or Financing) Bias
- Creating Longer-Dated Assets Using Eurodollar Futures
- Treasury Futures
- Fed Funds Futures
- Futures Positioning Data
- Summary
CHAPTER 5 Interest Rate Swaps
- Basic Principles
- Duration and Convexity
- Uses of Swaps
- Counterparty Risk
- Other Types of Swaps
- Summary
CHAPTER 6 Understanding Drivers of Interest Rates
- Supply and Demand for Borrowing
- Components of Fixed Income Supply and Demand
- Treasury Supply
- Other Sources of Fixed Income Supply
- Fixed Income Demand
- Short-Term Yield Drivers
- Summary
CHAPTER 7 Carry and Relative Value Trades
- Carry Trades
- Carry Trade Setup 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
- Forward Volatility
- Volatility Trading
- Interest Rate Skew
- Volatility Spread Trades
- Caps versus Swaptions
- Summary
CHAPTER 11 Treasury Futures Basis and Rolls
- The Futures Delivery Option
- 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
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