The Advanced Fixed Income and Derivatives Management Guide. Saied Simozar

>

      Saied Simozar

      The Advanced Fixed Income and Derivatives Management Guide

      The Advanced Fixed Income and Derivatives Management Guide

      SAIED SIMOZAR

      This edition first published 2015

      © 2015 Saied Simozar

      Registered office

      John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom

      For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com.

      All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher.

      Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand.

      If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com.

      Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor mentioned in this book.

      Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with the respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. It is sold on the understanding that the publisher is not engaged in rendering professional services and neither the publisher nor the author shall be liable for damages arising herefrom. If professional advice or other expert assistance is required, the services of a competent professional should be sought.

       Library of Congress Cataloging-in-Publication Data

      ISBN 978-1-119-01414-0 (hardback); ISBN 978-1-119-01416-4 (ebk);

      ISBN 978-1-119-01417-1 (ebk)

      Cover Design: Wiley

      Top Image: ©Shutterstock.com/bluebay

      Bottom Image: ©Shutterstock.com/wongwean

      List of Tables

      1.1 Yield and duration of a portfolio

      1.2 Key rate duration of a portfolio

      2.1 US historical term structure components

      2.2 US historical volatility of term structure components

      3.1 Weights of principal components, 1992–2012

      3.2 Historical half-life (mean reversion) of US treasury term structure components

      3.3 t-test of half-life of US treasury term structure components

      3.4 Average value of US treasury term structure components

      3.5 Annualized absolute volatility of US treasury term structure components

      4.1 Duration components of zero coupon bonds

      4.2 Curve exposure of portfolios of zero coupon bonds

      4.3 Curve exposure of eurodollar futures contracts

      4.4 Conventional yield and duration of portfolios of securities

      4.5 Duration components of key rate securities

      4.6 Transposed and scaled duration components of key rate securities

      4.7 Duration components and yield of an equal weighted treasury index

      4.8 Average duration components of an equal weighted treasury index

      4.9 Duration components of global treasuries, January 3, 2013

      5.1 Index performance attribution using coupon bonds for the TSIR

      5.2 Index performance attribution using coupon Strips

      5.3 Decay coefficient and contribution to performance, 1992–2012

      5.4 Decay coefficient and volatility of performance, 1992–2012

      5.5 Comparison of aggregated daily performance by basis function, 1992–2012

      5.6 Comparison of annualized volatility by basis function

      6.1 Selected term structure of swaps, July 30, 2012

      6.2 Selected adjustment table for TSLR, July 30, 2012

      6.3 Swap valuation table, July 30, 2012

      7.1 Selected treasury bonds, 2012

      7.2 Analysis of EUR term structure components

      7.3 EUR swap trade, April 22, 2008

      7.4 USD swap trade data, November 26, 2007

      7.5 USD swap trade performance, November 26, 2007

      7.6 USD swap trade data, June 28, 2004

      7.7 USD swap trade performance, November 26, 2007

      7.8 Durations of streams of cash flows

      7.9 Summary of trade result, December 18, 2012

      8.1 Performance of index replicating portfolio using five