As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. Taking a practitioner’s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. The book covers: Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis. An in-depth approach to understanding swap spreads in theory and in practice. A comprehensive discussion of the various basis swaps and their combinations. The incorporation of credit default swaps in yield curve analysis. A classification of option trades, with appropriate analysis tools for each category. Fitted curve techniques for identifying relative value among different bonds. A multi-factor delivery option model for bond future contracts. Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it’s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process.
This book addresses everything from the valuation of fixed income securities with embedded options to the features of structured products—such as mortgage-backed securities and asset-backed securities—while also offering insights on ...
The book begins by looking at the main derivative products and their pricing interrelationships.
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 ...
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.
This is material that is pertinent to the investment decisions but is not freely available to those not originating the products.
Although the Lehman Brothers US Corporate Bond Index is the benchmark for the Coughlin funds, Warren is not certain that the index is appropriate for Hanover-Green. He compiled the data given in Exhibit 1 as a step toward deciding what ...
This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout.
Bringing together 20 papers written by, and for, practitioners in the US treasury, this text on fixed income analysis, focuses on applicable techniques, and presents quantitative methodologies for the analysis of fixed income securities.
The various measures quantify the effectiveness of security selection, account for investor flows, operating risk, and worst-case investment scenarios, net out benchmark and peer-fund performance, and control for risk factors that are ...
This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout.