Pricing money : a beginner's guide to money, bonds, futures, and swaps

목차 (Table of Contents)

• CONTENTS
• Preface = xiii
• Acknowledgements = xv
• Part 1 : A Beginner's Toolkit = 1
• 1 Money markets = 3
• What is money? = 3
• Why there is a money market? = 4
• Choosing a maturity = 6
• Repo = 7
• Central-bank money-market operations = 9
• Two money markets = 10
• The euro = 12
• Writing money = 13
• Settlement details = 15
• Summary = 16
• 2 Government bonds = 17
• Introduction = 17
• The concept of yield = 18
• Example yield calculations = 19
• Coupon and yield = 22
• The yield curve = 23
• Primary dealers = 24
• Government bond markets = 24
• Repo as part of the government-bond market = 26
• Accrued interest = 27
• STRIPS = 27
• Other tradable government debt = 29
• Non-government debt = 31
• Rating agencies = 32
• Summary = 33
• 3 Futures = 35
• The gold miner's problem = 35
• The gold miner's solution = 36
• Contract specification = 37
• Credit and margin = 38
• Cash settlement = 39
• Cash-settling other contracts = 40
• The fixings = 41
• The 3-month interest rate future = 43
• Price action = 44
• The strip and TED spreads = 46
• Arbitrage = 47
• Some trading jargon = 48
• Summary = 50
• 4 Swaps = 51
• Introduction = 51
• An example = 53
• Asset swaps = 55
• A typical swap in detail = 56
• Credit risk in swaps = 58
• Trading jargon = 59
• Swaps and interest rate futures = 60
• Myth and reality = 61
• Summary = 62
• 5 Options = 63
• Introduction = 63
• Puts and calls = 63
• What is the option worth? = 65
• Combinations = 66
• Underlyings = 66
• Embedded options = 67
• Implied volatility = 68
• Summary = 69
• 6 Foreign exchange = 71
• The basic rationale = 71
• Size and conventions = 72
• Forwards = 72
• Shake the dice = 73
• Summary = 75
• 7 Players = 77
• Governments = 77
• Pseudo-government issuers = 78
• Non-financial corporations = 79
• Pension funds = 79
• Insurers = 81
• Mutual funds = 82
• Hedge funds = 83
• Commercial banks = 83
• Mortgage lenders = 85
• Central banks = 86
• Private investors = 87
• Summary = 87
• 8 People = 89
• Introduction = 89
• Proprietary traders = 89
• Market makers = 91
• Brokers = 92
• Salespeople = 93
• Researchers = 94
• Back office and middle office = 94
• Investment bankers = 94
• Summary = 95
• 9 Price action = 97
• Why do prices move? = 97
• Necessity never made a good bargain = 99
• Stability and leverage = 100
• Fixed-income prices = 101
• A stylised crash in fixed income = 103
• Forwards, zeros and par yields = 104
• Trading the crash = 108
• Market irrationality = 109
• Summary = 110
• Part 2 : More detail = 111
• 10 Swaps revisited = 113
• Introduction = 113
• Credit risk in swaps = 113
• Reducing the credit risk = 114
• Cross-currency basis swaps = 116
• The price of a basis swap = 117
• A cross-currency issue = 118
• Reducing credit risk in basis swaps = 121
• Forward rate agreements = 122
• Summary = 122
• 11 Non-government issuance = 125
• Introduction = 125
• Bringing a deal to market = 126
• The syndicate = 128
• Book-building : taking orders = 129
• Pricing a swapped deal = 130
• Pricing an unswapped deal = 131
• Some legal details = 132
• Free to trade = 134
• An example issue = 135
• Opportunistic reopenings = 136
• Summary = 137
• 12 Yield, duration, repo and forward bond prices = 139
• Measuring risk = 139
• Yields : compounding frequencies = 140
• Duration continued = 142
• Definition of DV01 = 144
• How coupon affects duration and DV01 = 144
• An example yield curve = 145
• A 3s10s flattener = 147
• A flattener generates cash = 148
• A forward flattener = 148
• What happens if nothing happens? = 149
• Weighting the forward flattener = 150
• A barbell = 151
• Carry and slide = 152
• Summary = 153
• 13 Bond futures = 155
• Introduction = 155
• Specification = 156
• Delivery day = 157
• The delivery process = 158
• Cheapest to deliver : at par = 159
• Cheapest to deliver : far from par = 160
• CTD calculations before delivery = 161
• Delivery tail = 162
• Summary = 163
• 14 Basic fixed-income arithmetic = 165
• The proportion of a year = 165
• Yield to price and price to yield = 167
• Semi to annual : halve and square = 167
• Forward yield = 168
• Forward asset swap = 168
• Summary = 168
• Index = 169