Читать книгу The Advanced Fixed Income and Derivatives Management Guide - Saied Simozar - Страница 3
List of Tables
Оглавление1.1 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 components, 1992–2012
8.2 Performance of index replicating portfolio using three components, 1992–2012
8.3 Performance of hedging methods, 1998–2012
9.1 Correlations of historical components of TSLV, 2000–2012
9.2 Principal components of historical components of TSLV, 2008–2012
9.3 Adjustment table for US swap volatility, June 30, 2012
9.4 Market, fair, and model volatilities, June 30, 2012
10.1 Components of the TSIR
10.2 Return attribution of coupon Strips 2/15/2027, 1997–2012
10.3 Eurodollar futures contracts, July 30, 2012
10.4 Euribor futures contracts, July 30, 2012
11.1 Timeline for cash flow analysis of inflation linked bonds
11.2 Price and spreads for selected IL bonds, July 30, 2012
11.3 Yield and interest rate durations for selected IL bonds, July 30, 2012
11.4 Real and credit durations for selected IL bonds, July 30, 2012
11.5 Sample US headline inflation index
11.6 Seasonal factors for US CPI
11.7 Yield of short maturity Tips, July 31, 2012
11.8 Risks of selected inflation swaps, July 31, 2012
12.1 Comparison of duration components of credit securities, July 30, 2012
12.2 Term structure of Brazil, May 25, 2012
12.3 Term structure of European credit spreads, May 25, 2012
12.4 Analytics for selected credit securities, July 31, 2012
12.5 Emerging markets portfolio report
12.6 Performance contribution example
12.7 Performance contribution example
12.8 Partial yields of selected securities, July 31, 2012
13.1 Selected analytics with recovery or guarantee, July 31, 2012
13.2 Partial yield and TSCS, July 31, 2012
14.1 Futures options analytics, July 31, 2012
14.2 Futures valuations analytics, July 31, 2012
14.3 Futures risk analytics, July 31, 2012
14.4 Replicating futures risks, July 31, 2012
14.5 Bond futures backtest results, July 31, 2012
14.6 Bond futures backtest underperformers, July 31, 2012
15.1 Bond option premiums, July 8, 2011
15.2 Early exercise of American call option, July 8, 2011
15.3 Bond option Greeks, July 8, 2011
15.4 Bond option durations, July 8, 2011
15.5 Bond option TSLV sensitivities, July 8, 2011
15.6 Bond option beta sensitivities, July 8, 2011
15.7 Call values of credit bonds, July 8, 2011
15.8 Option values for varying correlation parameters, July 8, 2011
15.9 Call risks of credit bonds, July 8, 2011
16.1 Long/short currency trades
18.1 Valuation of mortgage bonds, settlement August 3, 2012
18.2 Risk measures of mortgage bonds, July 31, 2012
18.3 Principal components of mortgage volatility, July 31, 2012
18.4 Principal components of swaption volatility, July 31, 2012
18.5 Hedging volatility of a mortgage
19.1 Sample portfolio analyzer output
19.2 Sample linear optimization constraints
19.3 Sample linear optimization trades, July 31, 2012
19.4 Sample portfolio preview
21.1 Practical discount yields
21.2 Practical floating discount benchmarks
21.3 Types of cash flow
21.4 Matrix of methods of risk calculation
