Fixed income markets and their derivatives
The 3e of this well-respected textbook continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. The book matches well with fixed income securities courses. The book's organization emphasizes institutions in the first part, analytics...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cincinnati, Ohio :
South-Western College Pub
c2009.
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| Edición: | 3rd ed |
| Colección: | Academic Press Advanced Finance
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009623430806719 |
Tabla de Contenidos:
- Front Cover; Fixed Income Markets and Their Derivatives; Copyright Page; Contents; Preface; Acknowledgments; 1 INSTITUTIONS AND CONVENTIONS; 1 Overview of Fixed Income Markets; 1.1 Overview of Debt Contracts; 1.1.1 Cash-Flow Rights of Debt Securities; 1.1.2 Primary and Secondary Markets; 1.2 Players and Their Objectives; 1.2.1 Governments; 1.2.2 Central Banks; 1.2.3 Federal Agencies and Government-Sponsored Enterprises (GSEs); 1.2.4 Corporations and Banks; 1.2.5 Financial Institutions and Dealers; 1.2.6 ""Buy-Side"" Institutions; 1.2.7 Households; 1.3 Classification of Debt Securities
- 1.4 Risk of Debt Securities1.4.1 Interest Rate Risk; 1.4.2 Credit Risk; 1.4.3 Liquidity Risk; 1.4.4 Contractual Risk; 1.4.5 Inflation Risk; 1.4.6 Event Risk; 1.4.7 Tax Risk; 1.4.8 FX Risk; 1.5 Return-Risk History; Suggested References and Readings; 2 Price-Yield Conventions; 2.1 Concepts of Compounding and Discounting; 2.1.1 Future Values; 2.1.2 Annuities; 2.1.3 Present Values; 2.2. Yield to Maturity or Internal Rate of Return; 2.2.1 Semiannual Compounding; 2.3. Prices in Practice; 2.4. Prices and Yields of T-Bills; 2.4.1 Yield of a T-Bill with n < 182 Days
- 2.4.2 Yield of a T-Bill with n > 182 Days2.5. Prices and Yields of T-Notes and T-Bonds; 2.6. Price-Yield Relation Is Convex; 2.7. Conventions in Other Markets; Suggested References and Readings; 3 Federal Reserve (Central Bank) and Fixed Income Markets; 3.1 Central Banks; 3.2 Monetary Policies; 3.2.1 Open Market Operations; 3.2.2 The Discount Window; 3.2.3 Reserve Requirements; 3.3 Fed Funds Rates; 3.4 Payments Systems and Conduct of Auctions; 3.5 Fed's Actions to Stem the Credit Crunch of 2007-2008; Suggested Readings and References; 4 Organization and Transparency of Fixed Income Markets
- 4.1 Introduction4.2 Primary Markets; 4.2.1 Treasury Markets; 4.2.2 Corporate Debt; 4.3 Interdealer Brokers; 4.4 Secondary Markets; 4.4.1 Dealer Market Transparency; 4.4.2 Indicators of Transparency; 4.4.3 Evidence on Trading Characteristics; 4.4.4 Matrix Prices and Execution Costs; 4.5 Evolution of Secondary Markets; Suggested Readings and References; 5 Financing Debt Securities: Repurchase (Repo) Agreements; 5.1 Repo and Reverse Repo Contracts; 5.1.1 Repo Contract Defined; 5.1.2 Reverse Repo Contract Defined; 5.1.3 Repo as Secured Lending; 5.2 Real-Life Features
- 5.3 Long and Short Positions Using Repo and Reverse Repo5.4 General Collateral Repo Agreement; 5.4.1 GC Repo Contract and Market; 5.4.2 GC Repo Rates; 5.5 Special Collateral Repo Agreement; 5.6 Fails in Repo Market; 5.7 Developments in Repo Markets; Suggested Readings and References; 6 Auctions of Treasury Debt Securities; 6.1 Benchmark Auctions Schedule; 6.1.1 Auctions of Money Market Instruments; 6.1.2 Auctions of Treasury Notes; 6.1.3 Auctions of Treasury Bonds; 6.1.4 Auctions of TIPS; 6.2 Conduct of Treasury Auctions; 6.2.1 Auction Announcement; 6.2.2 When-Issued Trading and Book Building
- 6.2.3 Auction Mechanisms
