{"product_id":"interest-rate-markets-isbn-9780470932209","title":"Interest Rate Markets","description":"\u003cb\u003eHow to build a framework for forecasting interest rate market movements\u003c\/b\u003e \u003cp\u003eWith trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world.\u003c\/p\u003e \u003cp\u003eInterest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eEmphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades\u003c\/li\u003e \u003cli\u003eDetails the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008\u003c\/li\u003e \u003cli\u003eIncludes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eInterest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models\u003c\/p\u003e \u003cp\u003eAcknowledgments xiii\u003c\/p\u003e \u003cp\u003eIntroduction xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Tools of the Trade 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic Statistics 2\u003c\/p\u003e \u003cp\u003eRegression: The Fundamentals 6\u003c\/p\u003e \u003cp\u003eRegression: How Good a Fit? 11\u003c\/p\u003e \u003cp\u003ePrincipal Components Analysis 14\u003c\/p\u003e \u003cp\u003eScaling through Time 15\u003c\/p\u003e \u003cp\u003eBacktesting Strategies 16\u003c\/p\u003e \u003cp\u003eSummary 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Bonds 19\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasics of Bonds 19\u003c\/p\u003e \u003cp\u003eRisks Embedded in Fixed Income Instruments 22\u003c\/p\u003e \u003cp\u003eDiscounting 27\u003c\/p\u003e \u003cp\u003eBond Pricing 28\u003c\/p\u003e \u003cp\u003eYield Curve 32\u003c\/p\u003e \u003cp\u003eDuration 34\u003c\/p\u003e \u003cp\u003eConvexity 37\u003c\/p\u003e \u003cp\u003eRepo Markets 42\u003c\/p\u003e \u003cp\u003eBid Offer 44\u003c\/p\u003e \u003cp\u003eCalculating Profit\/Loss of a Bond 45\u003c\/p\u003e \u003cp\u003eCarry 45\u003c\/p\u003e \u003cp\u003eForward Rates 47\u003c\/p\u003e \u003cp\u003eRolldown\/Slide 51\u003c\/p\u003e \u003cp\u003eCurves and Spreads 53\u003c\/p\u003e \u003cp\u003eButterfly Trades 55\u003c\/p\u003e \u003cp\u003eSummary 56\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Fixed Income Markets 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFederal Reserve 60\u003c\/p\u003e \u003cp\u003eTreasuries 67\u003c\/p\u003e \u003cp\u003eStrips 70\u003c\/p\u003e \u003cp\u003eTips 71\u003c\/p\u003e \u003cp\u003eMortgages 73\u003c\/p\u003e \u003cp\u003eAgency Debt 77\u003c\/p\u003e \u003cp\u003eCorporate Bonds 79\u003c\/p\u003e \u003cp\u003eMunicipal Bonds 82\u003c\/p\u003e \u003cp\u003eSummary 84\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Interest Rate Futures 85\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasics of Futures Transactions 86\u003c\/p\u003e \u003cp\u003eEurodollar Futures 89\u003c\/p\u003e \u003cp\u003eConvexity (or Financing) Bias 92\u003c\/p\u003e \u003cp\u003eCreating Longer-Dated Assets Using Eurodollar Futures 93\u003c\/p\u003e \u003cp\u003eTreasury Futures 94\u003c\/p\u003e \u003cp\u003eFed Funds Futures 101\u003c\/p\u003e \u003cp\u003eFutures Positioning Data 104\u003c\/p\u003e \u003cp\u003eSummary 105\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Interest Rate Swaps 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic Principles 108\u003c\/p\u003e \u003cp\u003eDuration and Convexity 111\u003c\/p\u003e \u003cp\u003eUses of Swaps 112\u003c\/p\u003e \u003cp\u003eCounterparty Risk 115\u003c\/p\u003e \u003cp\u003eOther Types of Swaps 115\u003c\/p\u003e \u003cp\u003eSummary 124\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Understanding Drivers of Interest Rates 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSupply and Demand for Borrowing 126\u003c\/p\u003e \u003cp\u003eComponents of Fixed Income Supply and Demand 141\u003c\/p\u003e \u003cp\u003eTreasury Supply 141\u003c\/p\u003e \u003cp\u003eOther Sources of Fixed Income Supply 145\u003c\/p\u003e \u003cp\u003eFixed Income Demand 148\u003c\/p\u003e \u003cp\u003eShort-Term Yield Drivers 157\u003c\/p\u003e \u003cp\u003eSummary 172\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Carry and Relative Value Trades 173\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCarry Trades 173\u003c\/p\u003e \u003cp\u003eCarry Trade Setup and Evaluation 175\u003c\/p\u003e \u003cp\u003ePitfalls of the Carry Trade 178\u003c\/p\u003e \u003cp\u003eCarry-Efficient Directional Trades 182\u003c\/p\u003e \u003cp\u003eRelative Value Trades 183\u003c\/p\u003e \u003cp\u003eSetting Up Relative Value Trades 185\u003c\/p\u003e \u003cp\u003eTreasury Bond Relative Value—Par Curve 191\u003c\/p\u003e \u003cp\u003eOther Treasury Relative Value Trades 193\u003c\/p\u003e \u003cp\u003eSummary 194\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Hedging Risks in Interest Rate Products 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrinciples of Hedging 198\u003c\/p\u003e \u003cp\u003eChoices of Instruments for Hedging 202\u003c\/p\u003e \u003cp\u003eCalculating Hedge Ratios 210\u003c\/p\u003e \u003cp\u003eYield Betas 215\u003c\/p\u003e \u003cp\u003eConvexity Hedging 218\u003c\/p\u003e \u003cp\u003eSummary 223\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Trading Swap Spreads 225\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow Swap Spreads Work 225\u003c\/p\u003e \u003cp\u003eWhy Trade Swap Spreads? 230\u003c\/p\u003e \u003cp\u003eDirectionality of Swap Spreads to Yields 240\u003c\/p\u003e \u003cp\u003eFutures Asset Swaps 241\u003c\/p\u003e \u003cp\u003eSpread Curve Trades 243\u003c\/p\u003e \u003cp\u003eSummary 245\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Interest Rate Options and Trading Volatility 247\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOption Pricing and Fundamentals 249\u003c\/p\u003e \u003cp\u003eModifications for the Interest Rate Markets 254\u003c\/p\u003e \u003cp\u003eQuoting Volatility 256\u003c\/p\u003e \u003cp\u003eMeasuring Risks in Option Positions 257\u003c\/p\u003e \u003cp\u003ePut\/Call Parity 266\u003c\/p\u003e \u003cp\u003eImplied and Realized Volatility 268\u003c\/p\u003e \u003cp\u003eSkew 270\u003c\/p\u003e \u003cp\u003eDelta Hedging 270\u003c\/p\u003e \u003cp\u003eInterest Rate Options 275\u003c\/p\u003e \u003cp\u003eEmbedded Options and Hedging 280\u003c\/p\u003e \u003cp\u003eMore Exotic Structures 283\u003c\/p\u003e \u003cp\u003eYield Curve Spread Options 284\u003c\/p\u003e \u003cp\u003eForward Volatility 285\u003c\/p\u003e \u003cp\u003eVolatility Trading 286\u003c\/p\u003e \u003cp\u003eInterest Rate Skew 293\u003c\/p\u003e \u003cp\u003eVolatility Spread Trades 294\u003c\/p\u003e \u003cp\u003eCaps versus Swaptions 297\u003c\/p\u003e \u003cp\u003eSummary 298\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Treasury Futures Basis and Rolls 299\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Futures Delivery Option 299\u003c\/p\u003e \u003cp\u003eCalculating the Delivery Option Value 309\u003c\/p\u003e \u003cp\u003eOption-Adjusted and Empirical Duration 311\u003c\/p\u003e \u003cp\u003eTreasury Futures Rolls 313\u003c\/p\u003e \u003cp\u003eSummary 318\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 Conditional Trades 319\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eConditional Curve Trades 320\u003c\/p\u003e \u003cp\u003eConditional Spread Trades 324\u003c\/p\u003e \u003cp\u003eSummary 328\u003c\/p\u003e \u003cp\u003eReferences 329\u003c\/p\u003e \u003cp\u003eAbout the Author 331\u003c\/p\u003e \u003cp\u003eAbout the Web Site 333\u003c\/p\u003e \u003cp\u003eIndex 335\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eSIDDHARTHA JHA\u003c\/b\u003e is a Senior Analyst with Arrowhawk Capital Partners. Previously, as part of J. P. Morgan's Fixed Income Strategy Team, he covered a wide range of rates markets—from municipals to liquid products including Treasuries, swaps, futures, and options—analyzing macroeconomic trends as well as short-term technical factors. He spent five years there developing trade ideas, building quantitative models, and discussing market trends with institutional investors. He graduated cum laude with a dual bachelor's and master's in applied mathematics and statistics from Harvard University.   \u003c\/p\u003e\u003cp\u003e\u003cb\u003eAn indispensable tool of the trade\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eWith trades worth trillions of dollars annually, the U.S. interest rate markets are some of the largest and most important markets in the world. These markets attract a wide variety of participants, from individuals and corporations to governments, and offer numerous financial instruments that include bonds, swaps, futures, and options. Each of these instruments requires careful understanding of unique risks. \u003c\/p\u003e\u003cp\u003eGrowing out of the author's experience as a fixed income strategist, \u003ci\u003eInterest Rate Markets\u003c\/i\u003e equips the reader with the knowledge and tools needed to rationally assess those risks for informed investment decisions. Toward this end, the book discusses the structural drivers and the main players of fixed income markets; explains how to understand and forecast the yield curve and spreads; and elaborates on the trades in cash and derivative products. To develop a complete picture of fixed income space, it analyzes rate options and volatility trading.  \u003c\/p\u003e\u003cp\u003eA detailed primer, \u003ci\u003eInterest Rate Markets\u003c\/i\u003e starts from the first principles to acquaint newcomers with interest rate products, mathematical tools, and intuitive understanding of market concepts. It then expands upon these basics and provides an in-depth understanding of the drivers of rates markets and interest rate volatility. The experienced professional will find this book an indispensable resource on trading, hedging, and market indicators. Seasoned professionals and novices alike will also find value on the companion website, including example sets, commonly used calculations, and trade construction methods.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989443166437,"sku":"NP9780470932209","price":94.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470932209.jpg?v=1761784117","url":"https:\/\/k12savings.com\/products\/interest-rate-markets-isbn-9780470932209","provider":"K12savings","version":"1.0","type":"link"}