Fixed Income Markets: Management, Trading and Hedging, 2nd Edition

Index

 

• Absolute Prepayment Speed (APS)
• ABSs. See Asset-backed securities (ABSs)
• Acceptances
• Accrual pricing
• Accrued interest:
  • bond yield and
  • country markets and
• African rand (ZAR)
• Agent
• ALM. See Asset-liability management (ALM)
• American options
• Amortised bonds
• Amortising/accreting swap
• Amortization, controlled
• Antidilution clause
• APS. See Absolute Prepayment Speed (APS)
• Arbitrage, capital-structure
• Arbitrage-free pricing
• Arbitrage interest-rate models
• Arbitrageurs
• Arithmetic mean
• Ask price
• Asset:
  • historical volatility of
  • “reference” or “underlying”
  • swaps (see Asset swap(s))
• Asset-backed securities (ABSs):
  • definition of
  • key benefit of
  • liquidity and
  • market observation and
  • performance metrics/test measures
• Asset classes
• Asset-correlation models
• Asset-liability management (ALM):
  • inflation swaps and
  • maturity mismatch and
  • securitization and
• Asset-price process, standard Brownian motion and
• Asset-returns distribution
• Asset swap(s). See also Swaptions
  • about
  • amortising/accreting swap
  • basis swap
  • constant-maturity swap
  • differential swap
  • Eonia/SONIA swaps
  • example of
  • forward-start swap
  • interest-rate swaps, nonvanilla
  • Libor-in-arrears swap
  • margin swap
  • overnight-index swaps (see Overnight-index swaps (OIS))
  • pricing (see Asset swap pricing)
  • terms, illustration of
• Asset swap pricing:
  • about
  • example of
• Assumption of normality
• ASW screen
• “At-the-money”
• Auto loan pools

 

• Backwardation
• Balance sheet capital management
• Balance-sheet risk, securitization and
• Bank(s). See also ...