Fixed–Income Securities and Derivatives Handbook: Analysis and Valuation

Praise for Fixed–Income Securities and Derivatives Handbook Second Edition
"I have been looking for books for my clients and obtained a copy of your book. I think it is the best book about fixed–income securities out there. The book is extremely well written and is the best resource I have found so far."
—Patrick Y. Shim, Financial Advisor, CG Investment Group, Wells Fargo Advisors, LLC
The Second Edition of the Fixed–Income Securities and Derivatives Handbook is a fully updated and expanded post–crash edition of Moorad Choudhry′s bestselling guide. In this latest edition, he explains the new regulatory twists, the evolving derivatives market, as well as a new set of instruments and opportunities in the bond market.
Thoroughly updated and revised, this Second Edition includes new material on important topics such as:A practical demonstration of cubic spline methodology, useful in constructing yield curves
The latest developments in the credit derivative market
An accessible analysis of credit default swap pricing principles
A description of inflation–indexed derivatives
A more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations
A new chapter on credit analysis and the different metrics used to measure bond–relative value
Written in a straightforward and accessible style, Moorad Choudhry′s new book offers the ideal mix of practical tips and academic theory.

Spis treści:
Foreword.
Preface.
PART ONE: INTRODUCTION TO BONDS.
1 The Bond Instrument.
The Time Value of Money.
Bond Pricing and Yield: The Traditional Approach.
Accrued Interest.
2 Bond Instruments and Interest Rate Risk.
Duration, Modifi ed Duration, and Convexity.
3 Bond Pricing and Spot and Forward Rates.
Zero–Coupon B onds.
Coupon Bonds.
Bond Price in Continuous Time.
Forward Rates.
Term Structure Hypotheses.
4 Interest Rate Modeling.
Basic Concepts.
One–Factor Term–Structure Models.
Further One–Factor Term–Structure Models.
Choosing a Term–Structure Model.
5 Fitting the Yield Curve.
Non–Parametric Methods.
Comparing Curves.
Fitting the Term Structure of Interest Rates: The Practical Implementation of Cubic Spline Methodology.
Cubic Spline Methodology.
The Hypothesis.
Practical Approach.
A Look at Forward Rates.
Conclusion.
PART TWO: SELECTED CASH AND DERIVATIVE INSTRUMENTS.
6 Forwards and Futures Valuation.
Forwards and Futures.
Forward–Spot Parity.
The Basis and Implied Repo Rate.
7 Swaps.
Interest Rate Swaps.
Generic Swap Valuation.
Non–Plain Vanilla Interest Rate Swaps.
Interest Rate Swap Applications.
8 Options.
Option Basics.
Option Instruments.
Option Pricing: Setting the Scene.
Option Pricing.
The Black–Scholes Option Model.
Other Option Models.
9 Measuring Option Risk.
Option Price Behavior.
The Greeks.
The Option Smile.
Caps and Floors.
10 Credit Derivatives.
Credit Risk.
Credit Risk and Credit Derivatives.
Credit Derivative Instruments.
Investment Applications.
Credit Derivatives and Relative Value Trading.
Credit–Derivative Pricing.
11 The Analysis of Bonds with Embedded Options.
12 Option–Adjusted Spread Analysis.
13 Convertible Bonds.
Basic Features.
Advantages of Issuing and Holding Convertibles.
Convertible Bond Valuation.
Pricing Spreadsheet.
14 Infl ation–Indexed Bonds.
Basic Concepts.
Index–Linked Bond Cash Flows and Yields.
Analysis of Real Interest Rates.
15 Securitization and Asset–Backed Securities.
The Conc ept of Securitization.
The Process of Securitization.
Securitizing Mortgages.
Cash Flow Patterns.
ABS Structures: A Primer on Performance Metrics and Test Measures.
Securitization: Features of the 2007–2009 Financial Crisis.
16 Collateralized Debt Obligations.
CDO Structures.
Motivation Behind CDO Issuance.
Analysis and Evaluation.
Expected Loss.
CDO Market Overview Since 2005.
PART THREE: SELECTED MARKET TRADING CONSIDERATIONS.
17 The Yield Curve, Bond Yield, and Spot Rates.
Practical Uses of Redemption Yield and Duration.
Illustrating Bond Yield Using a Microsoft Excel Spreadsheet.
Implied Spot Rates and Market Zero–Coupon Yields.
Implied Spot Yields and Zero–Coupon Bond Yields.
Determining Strip Values.
Strips Market Anomalies.
Strips Trading Strategy.
Case Study: Treasury Strip Yields and Cash Flow Analysis.
18 Approaches to Trading.
Futures Trading.
Yield Curves and Relative Value.
Characterizing the Complete Term Structure.
Hedging Bond Positions.
Summary of the Derivation of the Optimum–Hedge Equation.
19 Credit Analysis and Relative Value Measurement.
Credit Ratings.
Credit Analysis.
Industry–Specifi c Analysis.
The Art of Credit Analysis.
Bond Spreads and Relative Value.
Appendix I: The Black–Scholes Model in Microsoft Excel.
Appendix II: Iterative Formula Spreadsheet.
Appendix III: Pricing Spreadsheet.
References.
About the Author.
Index.

Nota biograficzna:
MOORAD CHOUDHRY is Head of Treasury at Europe Arab Bank, a subsidiary of Arab Bank. He was previously at KBC Financial Products in London, the derivatives and convertible bond trading arm of KBC Bank N.V. Brussels. Prior to that, he was a vice president in structured finance services sales and marketing at JPMorgan Chase Bank, a sterling proprietary trader in the treasury division at Hambros Bank Ltd, and a gilt–edged market maker and money markets trader at ABN AMRO Hoare Govett Ltd.

Okładka tylna:
Praise for Fixed–Income Securities and Derivatives Handbook Second Edition
"I have been looking for books for my clients and obtained a copy of your book. I think it is the best book about fixed–income securities out there. The book is extremely well written and is the best resource I have found so far."
—Patrick Y. Shim, Financial Advisor, CG Investment Group, Wells Fargo Advisors, LLC
The Second Edition of the Fixed–Income Securities and Derivatives Handbook is a fully updated and expanded post–crash edition of Moorad Choudhry′s bestselling guide. In this latest edition, he explains the new regulatory twists, the evolving derivatives market, as well as a new set of instruments and opportunities in the bond market.
Thoroughly updated and revised, this Second Edition includes new material on important topics such as:A practical demonstration of cubic spline methodology, useful in constructing yield curves
The latest developments in the credit derivative market
An accessible analysis of credit default swap pricing principles
A description of inflation–indexed derivatives
A more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations
A new chapter on credit analysis and the different metrics used to measure bond–relative value
Written in a straightforward and accessible style, Moorad Choudhry′s new book offers the ideal mix of practical tips and academic theory.