Interest rate derivatives:Practical guide to applications,pricing and modelling.
James, Todd
Interest rate derivatives:Practical guide to applications,pricing and modelling. - London Risk Books 2006 - ix+354+CD 24 cm ; Hard
Chapter 1 Financial Mathematics 1.0 Time Value of Money 1.1 Continuous Interest Rates 1.2 Effective and Nominal Interest Rates 1.3 Money Market Yields 1.4 Day Count Basis Conventions 1.5 Roll Convention Chapter 2 Short term Interest Rates and Futures 2.1 Forward-Forward 2.2 Forward Rates (FRAs) 2.3 Short-Term Interest Rate Futures 2.4 Convexity with Futures 2.5 Calculating "strip" yields from Futures 2.5 Futures versus FRAs Chapter 3 Bonds: Pricing risk and hedging 3.1 Bond Price 3.2 Bond Yields 3.3 Bond Proceeds: Clean vs. Dirty Price 3.4 Odd Coupon Bonds 3.5 Bond PV01 3.6 Bond Duration and Modified Duration 3.7 Bond Convexity 3.8 Bond Portfolio: Modified Duration and Convexity 3.9 Hedging a Bond Portfolio 3.10 Hedging and partial Hedging with Bond Futures 3.11 Basis Risk 3.12 Repos Chapter 4 Interest Rate Swaps: Overview and application 4.1 What is an Interest Rate Swap? 4.2 How Interest Rate swaps are Quoted 4.3 What is a Swap Spread? 4.4 Quotation Basis 4.5 Interest Rate Swap Applications 4.6 The Non-standard (Non-generic) Interest Rate Swaps 4.7 Case studies Chapter 5 Deriving a Zero Coupon Curve Boostrapping a Zero Curve from market instruments: Deposits Futures Par Swap Rates Chapter 6 Asset and Liability Swaps: Cashflows and pricing 6.01 Asset Swaps: Par and Market Value Asset swaps 6.02 Calculating the Bond price from a target asset swap level 6.03 Curvebuilder explained: How to use and price swaps 6.04 Liability Swaps 6.05 Forward Starting Swaps: calculating the cost of Delay 6.06 Amortizing Swaps 6.07 MTM of Swaps 6.08 Spreadlocks 6.09 Treasury Locks Chapter 7 Hedging Interest rate Swaps IRS Risk: PV01 Hedging swaps with Eurodollar Futures Hedging Swaps with Treasuries Managing a Portfolio of Swaps Chapter 8 Cross Currency Interest Rate Swaps Basis Swaps Calculating the Basis point conversion Cashflows Pricing Fixed Fixed Swap Asset Swap: Example Liability Swap: Example Case Study: Relative Borrowing Chapter 9 Interest Rate Options Pricing and application Caps/Floors Swaptions European Bermudan Callable securities Volatility Stripping Digitals Hedging Options More Exotic Structures Range Accrual Swap KO/KI Caps/Floors KO Swaps Chapter 10 More exotic swaps/options Libor in arrears CMS Quantos Chapter 11 FAA 133 and IAS 39 Swaps and options Chapter 12 Documentation and Credit ISDA Credit Credit Midigation Appendix: Glossary Curvebuilder Xl functions explained Conventions (diff currencies) Interpolation FX forwards Data Sources
Using worked examples, this book offers an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging applications. It describes: pricing methods; application, structuring and valuation of interest rates; methods of managing interest rate exposure; and, trading and hedging strategies.
1-904339-94-8
Derivatives
Corporations--Finance
Derivative securities
Interest rate derivatives:Practical guide to applications,pricing and modelling. - London Risk Books 2006 - ix+354+CD 24 cm ; Hard
Chapter 1 Financial Mathematics 1.0 Time Value of Money 1.1 Continuous Interest Rates 1.2 Effective and Nominal Interest Rates 1.3 Money Market Yields 1.4 Day Count Basis Conventions 1.5 Roll Convention Chapter 2 Short term Interest Rates and Futures 2.1 Forward-Forward 2.2 Forward Rates (FRAs) 2.3 Short-Term Interest Rate Futures 2.4 Convexity with Futures 2.5 Calculating "strip" yields from Futures 2.5 Futures versus FRAs Chapter 3 Bonds: Pricing risk and hedging 3.1 Bond Price 3.2 Bond Yields 3.3 Bond Proceeds: Clean vs. Dirty Price 3.4 Odd Coupon Bonds 3.5 Bond PV01 3.6 Bond Duration and Modified Duration 3.7 Bond Convexity 3.8 Bond Portfolio: Modified Duration and Convexity 3.9 Hedging a Bond Portfolio 3.10 Hedging and partial Hedging with Bond Futures 3.11 Basis Risk 3.12 Repos Chapter 4 Interest Rate Swaps: Overview and application 4.1 What is an Interest Rate Swap? 4.2 How Interest Rate swaps are Quoted 4.3 What is a Swap Spread? 4.4 Quotation Basis 4.5 Interest Rate Swap Applications 4.6 The Non-standard (Non-generic) Interest Rate Swaps 4.7 Case studies Chapter 5 Deriving a Zero Coupon Curve Boostrapping a Zero Curve from market instruments: Deposits Futures Par Swap Rates Chapter 6 Asset and Liability Swaps: Cashflows and pricing 6.01 Asset Swaps: Par and Market Value Asset swaps 6.02 Calculating the Bond price from a target asset swap level 6.03 Curvebuilder explained: How to use and price swaps 6.04 Liability Swaps 6.05 Forward Starting Swaps: calculating the cost of Delay 6.06 Amortizing Swaps 6.07 MTM of Swaps 6.08 Spreadlocks 6.09 Treasury Locks Chapter 7 Hedging Interest rate Swaps IRS Risk: PV01 Hedging swaps with Eurodollar Futures Hedging Swaps with Treasuries Managing a Portfolio of Swaps Chapter 8 Cross Currency Interest Rate Swaps Basis Swaps Calculating the Basis point conversion Cashflows Pricing Fixed Fixed Swap Asset Swap: Example Liability Swap: Example Case Study: Relative Borrowing Chapter 9 Interest Rate Options Pricing and application Caps/Floors Swaptions European Bermudan Callable securities Volatility Stripping Digitals Hedging Options More Exotic Structures Range Accrual Swap KO/KI Caps/Floors KO Swaps Chapter 10 More exotic swaps/options Libor in arrears CMS Quantos Chapter 11 FAA 133 and IAS 39 Swaps and options Chapter 12 Documentation and Credit ISDA Credit Credit Midigation Appendix: Glossary Curvebuilder Xl functions explained Conventions (diff currencies) Interpolation FX forwards Data Sources
Using worked examples, this book offers an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging applications. It describes: pricing methods; application, structuring and valuation of interest rates; methods of managing interest rate exposure; and, trading and hedging strategies.
1-904339-94-8
Derivatives
Corporations--Finance
Derivative securities