Advanced fixed income analysis

Moorad Choudhry9780750662635, 0750662638, 9781417544394

This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He introduces the latest techniques used for analysis and interpretation, including: Relative value trading Approaches to trading and hedging Dynamic analysis of spot and forward rates Interest rate modelling Fitting the yield curve Analysing the long bond yield Index-linked bond analytics Corporate bond defaults * Aspects of advanced analysis for experienced bond market practitioners * Complex topics described in an accessible style * Brings together a wide range of topics in one volume

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Table of contents :
Contents……Page 7
Foreword……Page 8
About the Author……Page 10
Preface……Page 11
1 Approaches to Trading and Hedging……Page 20
2 Relative Value Trading using Government Bonds……Page 38
3 The Dynamics of Asset Prices……Page 53
4 Interest-rate Models I……Page 73
5 Interest-rate Models II……Page 96
6 Estimating and Fitting the Term Structure I……Page 113
7 Estimating and Interpreting the Term Structure II: a Practical Implementation of the Cubic Spline Method……Page 133
8 Advanced Analytics for Index-linked Bonds……Page 156
9 Analysing the Long Bond Yield……Page 168
10 The Default Risk of Corporate Bonds……Page 178
11 Brady Bonds……Page 184
B……Page 190
C……Page 191
F……Page 192
I……Page 193
J……Page 194
N……Page 195
R……Page 196
S……Page 197
Y……Page 198
Z……Page 199