Index
A
Accrued interest
Agency securities
Federal reserve bank balance sheet
Annuity factor
CV01
Yield-based formula
Arbitrage-free models
Arbitrage pricing
Derivatives
Financing arrangements
Forward agreements
Law of one price
LIBOR swaps with fed funds as the investable and collateral rate
Replicating portfolio
Asset-backed securities
Issuers
Japan
On- and off-balance sheet securitizations
Asset swap spreads
B
Bank of Japan (BOJ)
Banks
Europe
Japan
United States
Barbell vs. bullet
Basel II
Basis point
Basis swaps, see Swaps, Basis
Benchmark rates and securities
Curve construction
Key rate analysis
Partial '01s and PV01
Bermudan option
Bilateral agreements
Binomial tree
Black-Karasinski model
Black-Scholes models
Bond futures options
Bond options
Caplets and caps
Expectation formulae
Euribor futures options
Eurodollar futures options
Floorlet
Skew
Swaptions
Theoretical foundations for applications
Bond covenants
Bond options
Call protection
Embedded
Interest rate behavior
Valuation with Black-Scholes models
Valuation with term structure models
Broker-Dealers
Bullet portfolio, see Barbell vs. bullet
Business days and Treasury coupon payments
C
Capital asset pricing model (CAPM)
Caplets and caps
Carry, see Carry-Roll-Down
Carry-Roll-Down
Forward swap rates, May 28
Scenarios
Cash carry
Central counterparty
CDS, see Credit default swaps
Cheap securities
Chinese ownership of U.S. Treasuries
Clean price, see Quoted price
Clearinghouse
Clearing mandates for over-the-counter derivatives ...
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