LEADER 05487nam 2200697 450 001 9910140645203321 005 20230807210501.0 010 $a1-119-01417-4 010 $a1-119-01415-8 035 $a(CKB)2670000000616811 035 $a(EBL)1895916 035 $a(SSID)ssj0001481272 035 $a(PQKBManifestationID)11904128 035 $a(PQKBTitleCode)TC0001481272 035 $a(PQKBWorkID)11498800 035 $a(PQKB)10818071 035 $a(MiAaPQ)EBC1895916 035 $a(Au-PeEL)EBL1895916 035 $a(CaPaEBR)ebr11052395 035 $a(CaONFJC)MIL785555 035 $a(OCoLC)905600456 035 $a(EXLCZ)992670000000616811 100 $a20150513h20152015 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe advanced fixed income and derivatives management guide /$fSaied Simozar 210 1$aChichester, England :$cWiley,$d2015. 210 4$dİ2015 215 $a1 online resource (365 p.) 225 1 $aWiley Finance Series 300 $aDescription based upon print version of record. 311 $a1-119-01416-6 311 $a1-119-01414-X 320 $aIncludes bibliographical references and index. 327 $aCover; Title Page; Copyright; Contents; List of Tables; List of Figures; Abbreviations; Notation; Preface; Acknowledgement; Foreword; About the Author; Introduction; Chapter 1 Review of Market Analytics ; 1.1 Bond Valuation; 1.2 Simple Bond Analytics; 1.3 Portfolio Analytics; 1.4 Key Rate Durations; Chapter 2 Term Structure of Rates; 2.1 Linear and Non-linear Space; 2.2 Basis Functions; 2.3 Decay Coefficient; 2.4 Forward Rates; 2.5 Par Curve; 2.6 Application to the US Yield Curve; 2.7 Historical Yield Curve Components; 2.8 Significance of the Term Structure Components 327 $a2.9 Estimating the Value of Decay CoefficientChapter 3 Comparison of Basis Functions; 3.1 Polynomial Basis Functions; 3.2 Exponential Basis Functions; 3.3 Orthogonal Basis Functions; 3.4 Key Basis Functions; 3.5 Transformation of Basis Functions; 3.6 Comparison with the Principal Components Analysis; 3.7 Mean Reversion; 3.8 Historical Tables of Basis Functions; Chapter 4 Risk Measurement; 4.1 Interest Rate Risks; 4.2 Zero Coupon Bonds Examples; 4.3 Eurodollar Futures Contracts Examples; 4.4 Conventional Duration of a Portfolio; 4.5 Risks and Basis Functions 327 $a4.6 Application to Key Rate Duration4.7 Risk Measurement of a Treasury Index; Chapter 5 Performance Attribution; 5.1 Curve Performance; 5.2 Yield Performance; 5.3 Security Performance; 5.4 Portfolio Performance; 5.5 Aggregation of Contribution to Performance; Chapter 6 Libor and Swaps; 6.1 Term Structure of Libor; 6.2 Adjustment Table for Rates; 6.3 Risk Measurement and Performance Attribution of Swaps; 6.4 Floating Libor Valuation and Risks; 6.5 Repo and Financing Rate; 6.6 Structural Problem of Swaps; Chapter 7 Trading; 7.1 Liquidity Management; 7.2 Forward Pricing; 7.3 Curve Trading 327 $a7.4 Synthetic Securities7.5 Real Time Trading; Chapter 8 Linear Optimization and Portfolio Replication; 8.1 Portfolio Optimization Example; 8.2 Conversion to and from Conventional KRD; 8.3 KRD and Term Structure Hedging; Chapter 9 Yield Volatility; 9.1 Price Function of Yield Volatility; 9.2 Term Structure of Yield Volatility; 9.3 Volatility Adjustment Table; 9.4 Forward and Instantaneous Volatility; Chapter 10 Convexity and Long Rates; 10.1 Theorem: Long Rates Can Never Change; 10.2 Convexity Adjusted TSIR; 10.3 Application to Convexity; 10.4 Convexity Bias of Eurodollar Futures 327 $aChapter 11 Real Rates and Inflation Expectations11.1 Term Structure of Real Rates; 11.2 Theorem: Real Rates Can't Have Log-normal Distribution; 11.3 Inflation Linked (IL) Bonds; 11.4 Seasonal Adjustments to Inflation; 11.5 Inflation Swaps; Chapter 12 Credit Spreads; 12.1 Equilibrium Credit Spread; 12.2 Term Structure of Credit Spreads; 12.3 Risk Measurement of Credit Securities; 12.4 Credit Risks Example; 12.5 Floating Rate Credit Securities; 12.6 TSCS Examples; 12.7 Relative Values of Credit Securities; 12.8 Performance Attribution of Credit Securities; 12.9 Term Structure of Agencies 327 $a12.10 Performance Contribution 330 $aList of Tables v List of Figures viii Abbreviations x Notation xii Preface xvii Acknowledgement xxi Foreword xxii Introduction 1 1. Review of Market Analytics 5 1.1. Bond Valuation 5 1.2. Simple Bond Analytics 7 1.3. Portfolio Analytics 9 1.4. Key Rate Durations 13 2. Term Structure of Rates 16 2.1. Linear and Non-linear Space 16 2.2. Basis Functions 18 2.3. Decay Coefficient 22 2.4. Forward Rates 22 2.5. Par Curve 24 2.6. Application to the US Yield Curve 24 2.7. Historical Yield Curve Components 27 2.8. Significance of the Term Structure Components 410 0$aWiley finance series. 606 $aFixed-income securities 606 $aDerivative securities 606 $aPortfoliio management 615 0$aFixed-income securities. 615 0$aDerivative securities. 615 0$aPortfoliio management. 676 $a332.63/2044 686 $aBUS027000$2bisacsh 700 $aSimozar$b Saied$f1954-$0958885 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910140645203321 996 $aThe advanced fixed income and derivatives management guide$92172554 997 $aUNINA