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More About This Title Analysing and Interpreting the Yield Curve, 2ndEdition
English
Understand and interpret the global debt capital markets
Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market.
Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used.
- Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models
- Gets you up to speed on the secured curve
- Describes application of theoretical versus market curve relative value trading
- Explains the concept of the risk-free rate
- Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models
This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
English
DR. MOORAD CHOUDHRY is Head of Asset-Liability Management at Cambridge & Counties Bank in Leicester. He previously worked as a sovereign bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, a structured finance repo trader at KBC Financial Products, and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland.
Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Institute of Directors, and a Freeman of the Worshipful Company of International Bankers.
English
Foreword by Christopher Westcott
Preface
Preface to the First Edition
Acknowledgments
About the Author
Part I Introduction to Bond Yield and the Yield Curve
Chapter 1: The Yield Curve
Chapter 2: A Further Look at Spot and Forward Rates
Chapter 3: Interest Rate Modeling Part I: Primer on Basic Concepts
Part II Yield Curve Modeling
Chapter 4: Interest Rate Modeling Part II: The Dynamic of Asset Prices
Chapter 5: Interest Rate Models: Part I
Chapter 6: Interest Rate Models: Part II
Chapter 7: The Index-linked Bond Yield Curve
Chapter 8: Yield Curve Analytics in the Post-2008 era
Chapter 9: Negative Interest Rate Analytics
Part III Fitting the Yield Curve
Chapter 10: Estimating and Fitting the Yield Curve: Part I
Chapter 11: Estimating and Fitting the Yield Curve: Part II
Part IV The Yield Curve and Relative-value Trading
Chapter 12: Yield Curves and Relative Value
Chapter 13: Identifying relative value in the US Treasury Market: Acquiring New Benchmark Definitions from an Ancillary Yield Curve
Appendix
Index
