Analysing and Interpreting the Yield Curve.
Choudhry, Moorad.
Analysing and Interpreting the Yield Curve. - 2nd ed. - 1 online resource (384 pages) - Wiley Finance Series . - Wiley Finance Series .
Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Preface to the First Edition -- Acknowledgments -- About the Author -- Part I Introduction to the Yield Curve -- Chapter 1 The Yield Curve -- The Yield Curve for Beginners -- Yield to Maturity Yield Curve -- The Coupon Yield Curve -- The Par Yield Curve -- The Zero-Coupon (or Spot) Yield Curve -- Using Spot Rates in Bond Analysis -- The Forward Yield Curve -- Analysing and Interpreting the Yield Curve -- An Introduction to Fitting the Yield Curve -- Spot and Forward Rates in the Market -- The Interest-Rate Swap Curve and the Sovereign Bond Curve -- Appendix: Cubic spline interpolation -- Selected Bibliography and References -- Chapter 2 A Further Look at Spot and Forward Rates -- Zero-Coupon Bonds -- Coupon Bonds -- Bond Price in Continuous Time -- Introduction to Bond Analysis Using Spot Rates and Forward Rates in Continuous Time -- Appendices -- Selected Bibliography and References -- Part II Yield Curve Modelling and Post-2008 Yield Curve Analytics -- Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts -- The Dynamics of the Yield Curve -- Term Structure Modelling -- Basic Concepts -- Itô's Lemma -- Approaches to Modelling -- One-Factor, Two-Factor and Multi-Factor Models -- The Short-Term Rate and the Yield Curve -- Appendices -- Selected Bibliography and References -- Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices -- The Behaviour of Asset Prices -- Stochastic Processes -- Wiener Process or Brownian Motion -- The Martingale Property -- Generalised Wiener Process -- A Model of the Dynamics of Asset Prices -- Stochastic Calculus Models: Brownian Motion and Itô Calculus -- Brownian Motion -- Stochastic Calculus -- Uncertainty of Interest Rates -- Appendices -- Selected Bibliography and References -- Chapter 5 Interest Rate Models I. Interest Rate Models -- Interest Rate Processes -- One-Factor Models -- The Vasicek Model -- The Merton Model -- The Cox-Ingersoll-Ross Model -- Arbitrage-Free Models -- The Ho and Lee Model -- The Hull-White Model -- The Black-Derman-Toy Model -- Fitting the Model -- Summary -- Selected Bibliography and References -- Chapter 6 Interest Rate Models II -- Multi-Factor Term Structure Models -- The Multi-Factor Heath-Jarrow-Morton Model -- Jump Models -- Assessing One-Factor and Multi-Factor Models -- Choosing a Term Structure Model -- Importance of Practicality -- Selected Bibliography and References -- References on Estimation Method -- Chapter 7 The Index-Linked Bond Yield Curve -- Index-Linked Bonds and Real Yields -- The Real Term Structure of Interest Rates -- The term structure of implied forward inflation rates -- Estimating the Real Term Structure -- Fitting the discount function -- Deriving the term structure of inflation expectations -- Application -- Selected Bibliography and References -- Chapter 8 Yield Curve Analytics in the Post-2008 Era -- Overnight Index Swap (OIA) Yield Curve -- Post-Crash Discounting Principles for Yield-Curve Construction -- Four Curves: Sovereign, Libor, OIS, and Internal Funding Curve -- Appendix -- Chapter 9 Negative Interest Rate Analytics -- The Discount Factor -- Example Illustrations -- The Yield to Maturity -- Selected Bibliography and References -- Part III Fitting the Yield Curve -- Chapter 10 Estimating and Fitting the Yield Curve I -- Yield Curve Smoothing -- Smoothing Techniques -- Using a Cubic Polynomial -- Non-Parametric Methods -- Spline-Based Methods -- Nelson and Siegel Curves -- Comparing Curves -- Appendices -- Selected Bibliography and References -- Chapter 11 Estimating and Fitting the Yield Curve II -- Recap: Bond Market Information -- Estimating Yield Curve Functions. Curve-Fitting Techniques: Parametric -- Parametric Techniques -- Parameterised Yield Curves -- The Cubic Spline Method for Estimating and Fitting the Yield Curve -- Using a Cubic Spline: The Waggoner Model -- The Anderson-Sleath Model -- Applications -- The Anderson-Sleath Evaluation -- Repo and Estimating the Short End of the Yield Curve -- Appendix 11.1 The McCulloch Cubic Spline Model -- Selected Bibliography and References -- Part IV Yield Curves and Relative Value Trading -- Chapter 12 Yield Curves and Relative Value -- The Determinants of Government Bond Yields -- Characterising the Complete Term Structure -- Identifying Relative Value in Government Bonds -- Yield Spread Trades -- Bond Spread Weighting -- Types of Bond Spreads -- Chapter 13 Identifying Relative Value in the US Treasury Market: Acquiring New Benchmark Definitions from an Ancillary Yield Curve -- The Nature of the Underlying Optimisation: Converting the Present Value Apparatus into a Multinomial Polynomial Optimisation -- An Approach to Treating Uncertainty Quantification -- Two Coalescing Yield Curves Producing Possible Trading Opportunities on October 18, 2017 -- Implications for Yield Spread Trades -- A Proposed Butterfly Trade with the Short Position Stemming from the Ancillary Bond: 01.868 Table 13.4 -- What to Expect When Bills are Excluded from the Fitting Computations -- Appendix: Geometric Programming -- Website -- Addendum: Experiments from 17/12/2018 -- Selected Bibliography and References -- Appendix Bond Yield Measurement -- Current Yield -- Simple Yield to Maturity -- Yield to Maturity -- Modifying Bond Yields -- Converting Bond Yields -- Summary -- Index -- EULA.
9781119141068
Bonds-Valuation-Econometric models.
Electronic books.
HG4651 .C468 2019
332.6323
Analysing and Interpreting the Yield Curve. - 2nd ed. - 1 online resource (384 pages) - Wiley Finance Series . - Wiley Finance Series .
Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Preface to the First Edition -- Acknowledgments -- About the Author -- Part I Introduction to the Yield Curve -- Chapter 1 The Yield Curve -- The Yield Curve for Beginners -- Yield to Maturity Yield Curve -- The Coupon Yield Curve -- The Par Yield Curve -- The Zero-Coupon (or Spot) Yield Curve -- Using Spot Rates in Bond Analysis -- The Forward Yield Curve -- Analysing and Interpreting the Yield Curve -- An Introduction to Fitting the Yield Curve -- Spot and Forward Rates in the Market -- The Interest-Rate Swap Curve and the Sovereign Bond Curve -- Appendix: Cubic spline interpolation -- Selected Bibliography and References -- Chapter 2 A Further Look at Spot and Forward Rates -- Zero-Coupon Bonds -- Coupon Bonds -- Bond Price in Continuous Time -- Introduction to Bond Analysis Using Spot Rates and Forward Rates in Continuous Time -- Appendices -- Selected Bibliography and References -- Part II Yield Curve Modelling and Post-2008 Yield Curve Analytics -- Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts -- The Dynamics of the Yield Curve -- Term Structure Modelling -- Basic Concepts -- Itô's Lemma -- Approaches to Modelling -- One-Factor, Two-Factor and Multi-Factor Models -- The Short-Term Rate and the Yield Curve -- Appendices -- Selected Bibliography and References -- Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices -- The Behaviour of Asset Prices -- Stochastic Processes -- Wiener Process or Brownian Motion -- The Martingale Property -- Generalised Wiener Process -- A Model of the Dynamics of Asset Prices -- Stochastic Calculus Models: Brownian Motion and Itô Calculus -- Brownian Motion -- Stochastic Calculus -- Uncertainty of Interest Rates -- Appendices -- Selected Bibliography and References -- Chapter 5 Interest Rate Models I. Interest Rate Models -- Interest Rate Processes -- One-Factor Models -- The Vasicek Model -- The Merton Model -- The Cox-Ingersoll-Ross Model -- Arbitrage-Free Models -- The Ho and Lee Model -- The Hull-White Model -- The Black-Derman-Toy Model -- Fitting the Model -- Summary -- Selected Bibliography and References -- Chapter 6 Interest Rate Models II -- Multi-Factor Term Structure Models -- The Multi-Factor Heath-Jarrow-Morton Model -- Jump Models -- Assessing One-Factor and Multi-Factor Models -- Choosing a Term Structure Model -- Importance of Practicality -- Selected Bibliography and References -- References on Estimation Method -- Chapter 7 The Index-Linked Bond Yield Curve -- Index-Linked Bonds and Real Yields -- The Real Term Structure of Interest Rates -- The term structure of implied forward inflation rates -- Estimating the Real Term Structure -- Fitting the discount function -- Deriving the term structure of inflation expectations -- Application -- Selected Bibliography and References -- Chapter 8 Yield Curve Analytics in the Post-2008 Era -- Overnight Index Swap (OIA) Yield Curve -- Post-Crash Discounting Principles for Yield-Curve Construction -- Four Curves: Sovereign, Libor, OIS, and Internal Funding Curve -- Appendix -- Chapter 9 Negative Interest Rate Analytics -- The Discount Factor -- Example Illustrations -- The Yield to Maturity -- Selected Bibliography and References -- Part III Fitting the Yield Curve -- Chapter 10 Estimating and Fitting the Yield Curve I -- Yield Curve Smoothing -- Smoothing Techniques -- Using a Cubic Polynomial -- Non-Parametric Methods -- Spline-Based Methods -- Nelson and Siegel Curves -- Comparing Curves -- Appendices -- Selected Bibliography and References -- Chapter 11 Estimating and Fitting the Yield Curve II -- Recap: Bond Market Information -- Estimating Yield Curve Functions. Curve-Fitting Techniques: Parametric -- Parametric Techniques -- Parameterised Yield Curves -- The Cubic Spline Method for Estimating and Fitting the Yield Curve -- Using a Cubic Spline: The Waggoner Model -- The Anderson-Sleath Model -- Applications -- The Anderson-Sleath Evaluation -- Repo and Estimating the Short End of the Yield Curve -- Appendix 11.1 The McCulloch Cubic Spline Model -- Selected Bibliography and References -- Part IV Yield Curves and Relative Value Trading -- Chapter 12 Yield Curves and Relative Value -- The Determinants of Government Bond Yields -- Characterising the Complete Term Structure -- Identifying Relative Value in Government Bonds -- Yield Spread Trades -- Bond Spread Weighting -- Types of Bond Spreads -- Chapter 13 Identifying Relative Value in the US Treasury Market: Acquiring New Benchmark Definitions from an Ancillary Yield Curve -- The Nature of the Underlying Optimisation: Converting the Present Value Apparatus into a Multinomial Polynomial Optimisation -- An Approach to Treating Uncertainty Quantification -- Two Coalescing Yield Curves Producing Possible Trading Opportunities on October 18, 2017 -- Implications for Yield Spread Trades -- A Proposed Butterfly Trade with the Short Position Stemming from the Ancillary Bond: 01.868 Table 13.4 -- What to Expect When Bills are Excluded from the Fitting Computations -- Appendix: Geometric Programming -- Website -- Addendum: Experiments from 17/12/2018 -- Selected Bibliography and References -- Appendix Bond Yield Measurement -- Current Yield -- Simple Yield to Maturity -- Yield to Maturity -- Modifying Bond Yields -- Converting Bond Yields -- Summary -- Index -- EULA.
9781119141068
Bonds-Valuation-Econometric models.
Electronic books.
HG4651 .C468 2019
332.6323