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A Trader’s Guide to Bonds Swaps & IR Instrument:

 

Volume 1 – Products, Pricing, Structuring

Subject Index

Available at the ARTShop

(1,073+ colour pages, much software, e-Book & soft cover)

 

(Financial) Economics, 234
Annuity, 220
Annutisation, 220
Arbitrage: synthetically replicated portfolio, 236
Arbitrage Free, 313
Asset/Liability Committee (ALCO), 958
Back Testing, 983
Backward Testing, 980
Bank of England (BoE), 958
Bonds, 369
Bucket Curve Shifts, 868
Business Day Basis, 228
Buy-Side, 42
Calendar basis, 92
Cash Flow Matching, 879
Compounding/Coupon frequency basis, 92
Consol/Long Dated Bonds, 426
convexity, 830
Convexity: Properties, 834
Convexity, 817
Covariance VaR (CVaR), 886, 892, 902, 906, 907
Credit Default Swaps, 884
Curvature: Properties, 834
CVaR, 902
Derivatives: Non-contingent, 441
Discount Factors, 203
Discounting multiple cash flows, 214
Drawdown measures, 791
Duration, 817
Economic Capital, 911
Expectations, 243
Fair Value, 24, 332
Fair Value, 313
Fixed Income: Notes and Bonds, 375
Floating Rate: Notes and Bonds, 404
Foreign Exchange: Forward, 234; Spot, 234
Forward Rates, 211
Forward Testing, 980, 981
Forwards: delivery price, 25, 326, 329
Hedge: ratio, 846; slippage, 815
Hedging: Profile match based, 803; Sensitivity based, 803
histogram, 32
Historical VaR (HVaR), 886, 893; HVaR, 895
holding period, 41
Holiday Convention Basis, 228
How and what you may trade, 193
Immunisation, 798, 879
Interest, 449, 451
Interest basis, 92
Interest Basis, 228
Interest rate: inflation adjustment, 238; nominal, 238; real, 238
Interest Rate Parity, 234
Interest Rate Parity (IRP), 235
Interest Rates: Annutisation, 220; Compound Interest, 205; Continuous compounding, 207; Cost of Capital, 74; Discount Formats, 207; Forward Rates, 211; Frequency conversion, 209; Future value, 207; Negative rates, 74; Price of loan, 71; Price to yield conversion, 223; Simple Interest, 204; Spot, 204; Yield vs. Return, 71
Internal Rate of Return, 215; IRR, 215
Inverse Floaters, 427
IR Curves, 214; Corporate, 253; Government, 253; in Practice, 251; IRR, 252; LIBOR, 253; Shape - Inverted, 248; Shape - Normal, 248; Shape - Steep, 248; Term-structure, 248; Term-structure Models, 248; Term-structure Theory, 248; Zero-Coupon, 252
market price of risk, 36
Market Risk. See also Risk
Mean-Variance Optimisation (MVO), 881
Money Market Instruments, 347
Monte Carlo VaR (MCVaR), 886, 893; MCVaR, 908
Notes, 369
Odd-date Bonds and Stub Periods, 423
opportunity cost, 203
optimal portfolios objectives, 882
PaR, 803, 976
Parallel Curve Shifts, 866
portfolio variance, 905
Position keeping, 803, 957
Position Sensitivity Measures, 812
Premium/Discount Bonds, 420
Present Value: Doubling your money, 208
Present Value Theory, 202
Primary Markets, 161
Profile Matching, 798, 878
Profit-at-Risk, 976
Purchasing Power Parity (PPP), 237
rebalance optimisers, 881
Repo’s: Repo rate, 432; Repurchase Agreement, 432; Reverse Repo, 432
Repo’s, 432
Repurchase Agreements, 432
Risk, 30; Credit Risk, 788; Event Risk, 789; Market Risk, 30, 788; Model/Systems/Valuation, 789; Operational, 789; Reinvestment Risk, 788; Traditional measures, 790; Types of, 788
risk and return, 29
Risk Management, 803, 957
Risk Measure: Drawdown, 30; Profile Matching, 31; Sensitivity, 31; VaR, 31; Variability, 30
Risk neutral, 313
Risk Preference, 33
risk premium, 36
Risk/Return profile, 29, 32, 33, 35
Risk-free, 313
Root Finding, 224
Rotation Risk, 868
Secondary Markets, 161
Sensitivities: Properties, 1st Order, 826
Sensitivity: chord slope, 813; Convexity, 817; Duration, 817; Instantaneous, 817; Matching and Hedging, 806; Measures, 795; Multi-Dimensional, 838; Sensitivity of, 830; tangent slope, 818; V01, 812
Settlement basis, 92
Settlement Convention, 228
Spot: delivery price, 25, 326, 329
squeeze risk, 842
Step-Up/Uneven Coupon Bonds, 421
Strategy Simulation, 244
Swaps, 545
Taylor Series, 832
term-structure, 865
Term-Structure, 248
Term-structure Models, 249
Term-Structure Models, 248
Term-structure Theory: Market Expectations, 249; Market Segmentation, 249; Preferred Habitat, 249
Term-Structure Theory, 248
time buckets, 868
V01 flat, 841
VaR, 803, 885; Covariance VaR (CVaR), 803; Credit VaR, 803, 910; formulation, 887; Historical VaR (HVaR), 803; Measurement, 892; Measures, 799; model assumptions, 888; Monte Carlo VaR (MCVaR), 803; policy, 889; VaR Methods, 912; Verification, 909
Variability Measures, 793
Variance: of a portfolio, 904
Zero-Coupon: rate, 205



 

 

and the Table of Contents with Extracts is HERE.

 

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