The Advanced Fixed Income and Derivatives Management Guide.

Cover -- 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 -- 2.9 Estimating the Value of Decay Coefficient -- Chapter 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 -- 4.6 Application to Key Rate Duration -- 4.7 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.

7.4 Synthetic Securities -- 7.5 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 -- Chapter 11 Real Rates and Inflation Expectations -- 11.1 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 -- 12.10 Performance Contribution -- 12.11 Partial Yield -- Chapter 13 Default and Recovery -- 13.1 Recovery, Guaranty and Default Probability -- 13.2 Risk Measurement with Recovery -- 13.3 Partial Yield of Complex Securities -- 13.4 Forward Coupon -- 13.5 Credit Default Swaps -- Chapter 14 Deliverable Bond Futures and Options -- 14.1 Simple Options Model -- 14.2 Conversion Factor -- 14.3 Future's Price on Delivery Date -- 14.4 Future's Price Prior to Delivery Date -- 14.5 Early Delivery vs Late Delivery -- 14.6 Strike Prices of the Underlying Options -- 14.7 Risk Measurement of Bond Futures -- 14.8 Analytics for Bond Futures.

14.9 Australian Bond Futures -- 14.10 Replication of Bond Futures -- 14.11 Back Testing of Bond Futures -- Chapter 15 Bond Options -- 15.1 European Bond Options -- 15.2 Exercise Boundary of American Options -- 15.3 Present Value of a Future Bond Option -- 15.4 Feed Forward Pricing -- 15.5 Bond Option Greeks -- 15.6 Risk Measurement of Bond Options -- 15.7 Treasury and Real Bonds Options -- 15.8 Bond Options With Credit Risk -- 15.9 Theorem: Credit Prices Are Not Arbitrage Free -- 15.10 Correlation Model -- 15.11 Credit Bond Options Examples -- 15.12 Risk Measurement of Complex Bond Options -- 15.13 Remarks on Bond Options -- Chapter 16 Currencies -- 16.1 Currency Forwards -- 16.2 Currency as an Asset Class -- 16.3 Currency Trading and Hedging -- 16.4 Valuation and Risks of Currency Positions -- 16.5 Currency Futures -- 16.6 Currency Options -- Chapter 17 Prepayment Model -- 17.1 Home Sale -- 17.2 Refinancing -- 17.3 Accelerated Payments -- 17.4 Prepayment Factor -- Chapter 18 Mortgage Bonds -- 18.1 Mortgage Valuation -- 18.2 Current Coupon -- 18.3 Mortgage Analytics -- 18.4 Mortgage Risk Measurement and Valuation -- Chapter 19 Product Design and Portfolio Construction -- 19.1 Product Analyzer -- 19.2 Portfolio Analyzer -- 19.3 Competitve Universe -- 19.4 Portfolio Construction -- Chapter 20 Calculating Parameters of the TSIR -- 20.1 Optimizing TSIR -- 20.2 Optimizing TSCR -- 20.3 Optimizing TSCR with No Convexity -- 20.4 Estimating Recovery Value -- 20.5 Robustness of the Term Structure Components -- 20.6 Calculating the Components of the TSYV -- Chapter 21 Implementation -- 21.1 Term Structure -- 21. 1.1 Primary Curve -- 21. 1.2 Real Curve -- 21. 1.3 Credit Curve and Recovery Value -- 21.2 Discount Function and Risk Measurement -- 21.3 Cash Flow Engine -- 21.4 Invoice Price -- 21.5 Analytics -- 21.6 Trade Date Vs. Settle Date.

21.7 American Options -- 21.8 Linear Programming -- 21.9 Mortgage Analysis -- References -- Index -- EULA.

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