Analysing and interpreting the yield curve

著者

書誌事項

Analysing and interpreting the yield curve

Moorad Choudhry ; with contributions from Polina Bardaeva, ... [et al.]

Wiley, 2019

2nd ed

タイトル別名

Wiley finance series

大学図書館所蔵 件 / 全2件

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注記

Previous ed.: 2004

Includes bibliographical references and index

"The Wiley finance series contains books written specifically for finance and investment professionals ..."--P. facing t.p

内容説明・目次

内容説明

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.

目次

Foreword ix Preface xi Preface to the First Edition xiii Acknowledgments xv About the Author xvii Part 1 Introduction to the Yield Curve 3 Chapter 1 The Yield Curve 5 Chapter 2 A Further Look at Spot and Forward Rates 61 Part 2 Yield Curve Modelling and Post-2008 Yield Curve Analytics 93 Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts 95 Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices 115 Chapter 5 Interest Rate Models I 139 Chapter 6 Interest Rate Models II 163 Chapter 7 The Index-Linked Bond Yield Curve 181 Chapter 8 Yield Curve Analytics in the Post-2008 Era 193 Chapter 9 Negative Interest Rate Analytics 219 Part 3 Fitting the Yield Curve 229 Chapter 10 Estimating and Fitting the Yield Curve I 231 Chapter 11 Estimating and Fitting the Yield Curve II 253 Part 4 Yield Curves and Relative Value Trading 277 Chapter 12 Yield Curves and Relative Value 279 Chapter 13 Identifying Relative Value in the US Treasury Market: Acquiring New Benchmark Definitions from an Ancillary Yield Curve 291 Appendix: Bond Yield Measurement 321 Index 353

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