Analysing and Interpreting the Yield Curve (eBook)

DR. MOORAD CHOUDHRY is Head of Asset-Liability Management at Cambridge & Counties Bank in Leicester. He previously worked as a sovereign bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, a structured finance repo trader at KBC Financial Products, and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Institute of Directors, and a Freeman of the Worshipful Company of International Bankers.

Foreword ix

Preface xi

Preface to the First Edition xiii

Acknowledgments xv

About the Author xvii

Part 1 Introduction to the Yield Curve 3

Chapter 1 The Yield Curve 5

Chapter 2 A Further Look at Spot and Forward Rates 61

Part 2 Yield Curve Modelling and Post-2008 Yield Curve Analytics 93

Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts 95

Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices 115

Chapter 5 Interest Rate Models I 139

Chapter 6 Interest Rate Models II 163

Chapter 7 The Index-Linked Bond Yield Curve 181

Chapter 8 Yield Curve Analytics in the Post-2008 Era 193

Chapter 9 Negative Interest Rate Analytics 219

Part 3 Fitting the Yield Curve 229

Chapter 10 Estimating and Fitting the Yield Curve I 231

Chapter 11 Estimating and Fitting the Yield Curve II 253

Part 4 Yield Curves and Relative Value Trading 277

Chapter 12 Yield Curves and Relative Value 279

Chapter 13 Identifying Relative Value in the US Treasury Market: Acquiring New Benchmark Definitions from an Ancillary Yield Curve 291

Appendix: Bond Yield Measurement 321

Index 353