05393nam 2200685Ia 450 991067706210332120230725053516.01-119-96077-01-283-28312-397866132831221-118-46736-11-119-95297-2(CKB)2550000000054294(EBL)697606(OCoLC)758386791(SSID)ssj0000555661(PQKBManifestationID)11336574(PQKBTitleCode)TC0000555661(PQKBWorkID)10519980(PQKB)11427446(MiAaPQ)EBC697606(EXLCZ)99255000000005429420110708d2011 uy 0engur|n|---|||||txtccrTrading the fixed income, inflation and credit markets[electronic resource] a relative value guide /Neil C. Schofield, Troy Bowler2nd ed.Hoboken, NJ Wiley20111 online resource (311 p.)The Wiley finance seriesDescription based upon print version of record.0-470-74229-1 Includes bibliographical references and index.Trading the Fixed Income, Inflation and Credit Markets; Contents; Preface; Acknowledgements; About the Authors; 1 Product Fundamentals; 1.1 Chapter Overview; 1.2 Bond Fundamentals; 1.2.1 Fixed income structures; 1.2.2 Floating-rate notes; 1.2.3 Inflation; 1.3 Repurchase Agreements; 1.4 Credit Fundamentals; 1.5 Derivative Fundamentals; 1.5.1 Futures; 1.5.2 Forwards; 1.5.3 Swaps; 1.5.4 Vanilla options; 1.5.5 Exotic options; 2 Pricing Relationships; 2.1 Relative Value; 2.2 The Relative Value Triangle; 2.3 Spot Pricing; 2.3.1 Pricing fixed income securities; 2.3.2 Par yield curves2.3.3 Zero-coupon yield curves2.3.4 Forward yield curves; 2.3.5 Pricing floating-rate notes; 2.3.6 Inflation pricing; 2.3.7 Credit pricing; 2.4 The Spot-Forward Relationship; 2.4.1 Fixed income; 2.4.2 Credit markets; 2.5 The Spot-Swap Relationship; 2.5.1 Pricing swaps - counterparty credit risk; 2.6 The Forward-Swap Relationship; 2.7 Pricing Options-Relationship With The Underlying Market; 2.7.1 Black-Scholes-Merton: an intuitive approach; 2.7.2 From closed-form to binomial pricing techniques; 2.7.3 Monte Carlo simulation; 2.7.4 Put-call parityAppendix 2.1 Monetary Policy and Overnight Interest RatesAppendix 2.2 OIS Discounting; 3 Market Risk Management; 3.1 What Do We Mean By Risk?; 3.2 Defining Market Risk; 3.3 Spot Market Risk; 3.3.1 Macaulay duration; 3.3.2 Modified duration; 3.3.3 Convexity; 3.3.4 Dollar value of an 01; 3.3.5 Market risk of a floating-rate note; 3.3.6 Market risk of credit instruments; 3.4 Forward Risk; 3.4.1 Fixed income; 3.4.2 Credit; 3.5 Swap Market Risk; 3.5.1 Spot swap risk; 3.5.2 Carry and roll down; 3.5.3 Application of DV01; 3.5.4 Forward-starting swap risk; 3.6 Option Risk Management; 3.6.1 Delta3.6.2 Gamma3.6.3 Theta; 3.6.4 Vega; 3.6.5 Smiles, skews and surfaces; 3.7 Value at Risk; 4 Expressing Views on the Interrelationships between Products; 4.1 The Spot-Forward Relationship; 4.1.1 Bond futures; 4.1.2 The cheapest to deliver; 4.1.3 Changes in the cheapest to deliver; 4.1.4 The yield beta; 4.1.5 Trading the basis; 4.1.6 Implementing a basis trade; 4.2 The Spot-Swap Relationship; 4.2.1 Understanding swap spreads; 4.2.2 Negative swap spreads; 4.3 The Forward-Swap Relationship; 4.4 Options and Trading Volatility; 4.4.1 Expressing views on market direction and volatility4.4.2 Assessing volatility: cheap or rich?4.4.3 Expressing views on volatility of volatility; 4.4.4 The relationship between volatility and the underlying asset; 5 Identifying Value in Sovereign Bonds; 5.1 What Is Relative Value?; 5.2 Understanding the Yield Curve; 5.2.1 Yield curve formation; 5.2.2 How does the yield curve move?; 5.2.3 Yield curve movements; 5.2.4 How do yield curves actually move?; 5.2.5 Yield curve modelling; 5.3 Measures of Spread; 5.3.1 Decomposing bond yields; 5.3.2 Swap spreads; 5.3.3 CDS spreads; 5.3.4 I-spread; 5.3.5 TED spread; 5.3.6 Z-spread5.3.7 Option-adjusted spreadTrading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. It shows that within any asset Wiley finance series.InvestmentsFinance, PersonalInvestments.Finance, Personal.332.63332.632BUS036000bisacshSchofield Neil C868551Bowler Troy1345206MiAaPQMiAaPQMiAaPQBOOK9910677062103321Trading the fixed income, inflation and credit markets3070611UNINA