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• Cover
• Title Page
• Copyright
• Preface
• EXTENDED EXAMPLES, APPLICATIONS, AND CASES
• List of Acronyms
• CHAPTER 0: Overview
• 0.1 GLOBAL FIXED INCOME MARKETS
• 0.2 US MARKETS
• 0.3 US MARKET PARTICIPANTS
• 0.4 MONETARY POLICY WITH ABUNDANT RESERVES
• 0.5 NEGATIVE RATES AND QE IN EUROPE AND JAPAN
• 0.6 TRADING AND LIQUIDITY
• NOTES
• CHAPTER 1: Prices, Discount Factors, and Arbitrage
• 1.1 GOVERNMENT COUPON BONDS
• 1.2 DISCOUNT FACTORS
• 1.3 THE LAW OF ONE PRICE
• 1.4 ARBITRAGE AND THE LAW OF ONE PRICE
• 1.5 APPLICATION: IDIOSYNCRATIC PRICING OF TREASURY STRIPS
• 1.6 ACCRUED INTEREST
• 1.7 DAY‐COUNT CONVENTIONS
• NOTES
• CHAPTER 2: Swap, Spot, and Forward Rates
• 2.1 INTEREST RATE QUOTATIONS
• 2.2 INTEREST RATE SWAPS
• 2.3 PRICING INTEREST RATE SWAPS
• 2.4 SPOT RATES
• 2.5 FORWARD RATES
• 2.6 RELATIONSHIPS BETWEEN SWAP, SPOT, AND FORWARD RATES
• CHAPTER 3: Returns, Yields, Spreads, and P&L Attribution
• 3.1 REALIZED RETURNS
• 3.2 YIELD TO MATURITY
• 3.3 YIELD AND RETURN
• 3.4 YIELD AND RELATIVE VALUE
• 3.5 SPREADS
• 3.6 APPLICATION: SPREADS OF HIGH‐COUPON TREASURIES
• 3.7 UNCHANGED RATE SCENARIOS FOR P&L ATTRIBUTION
• 3.8 P&L ATTRIBUTION
• NOTES
• CHAPTER 4: DV01, Duration, and Convexity
• 4.1 PRICE–RATE CURVES
• 4.2 DV01
• 4.3 HEDGING A CENTURY BOND: PART I
• 4.4 DURATION
• 4.5 CONVEXITY
• 4.6 HEDGING A CENTURY BOND: PART II
• 4.7 YIELD‐BASED DV01, DURATION, AND CONVEXITY
• 4.8 THE BARBELL VERSUS THE BULLET
• NOTES
• CHAPTER 5: Key‐Rate, Partial, and Forward‐Bucket ’01s and Durations
• 5.1 KEY RATES: MOTIVATION
• 5.2 KEY RATES: OVERVIEW
• 5.3 KEY RATES: SHIFTS
• 5.4 KEY RATES: ’01S, DURATIONS, AND HEDGING
• 5.5 PARTIAL ’01S AND PV01
• 5.6 FORWARD‐BUCKET ’01S
• 5.7 MULTI‐FACTOR EXPOSURES AND PORTFOLIO VOLATILITY
• NOTES
• CHAPTER 6: Regression Hedging and Principal Component Analysis
• 6.1 SINGLE‐VARIABLE REGRESSION HEDGING
• 6.2 TWO‐VARIABLE REGRESSION HEDGING
• 6.3 LEVEL VERSUS CHANGE REGRESSIONS
• 6.4 REVERSE REGRESSIONS
• 6.5 PRINCIPAL COMPONENT ANALYSIS
• NOTES
• CHAPTER 7: Arbitrage Pricing with Term Structure Models
• 7.1 RATE AND PRICE TREES
• 7.2 ARBITRAGE PRICING OF DERIVATIVES
• 7.3 RISK‐NEUTRAL PRICING
• 7.4 ARBITRAGE PRICING IN A MULTI‐PERIOD SETTING
• 7.5 PRICING A CONSTANT‐MATURITY TREASURY SWAP
• 7.6 OPTION‐ADJUSTED SPREAD
• 7.7 PROFIT AND LOSS ATTRIBUTION WITH AN OAS
• 7.8 REDUCING THE TIME STEP
• 7.9 FIXED INCOME VERSUS EQUITY DERIVATIVES
• NOTE
• CHAPTER 8: Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
• 8.1 EXPECTATIONS
• 8.2 VOLATILITY AND CONVEXITY
• 8.3 AN ANALYTICAL DECOMPOSITION OF FORWARD RATES
• NOTE
• CHAPTER 9: The Vasicek and Gauss+ Models
• 9.1 THE VASICEK MODEL
• 9.2 THE GAUSS+ MODEL
• 9.3 A PRACTICAL ESTIMATION METHOD
• 9.4 RELATIVE VALUE AND MACRO‐STYLE TRADING WITH THE GAUSS+ MODEL
• NOTES
• CHAPTER 10: Repurchase Agreements and Financing
• 10.1 REPURCHASE AGREEMENTS
• 10.2 USES OF REPURCHASE AGREEMENTS
• 10.3 MARKET STRUCTURE AND SIZE
• 10.4 SOFR
• 10.5 GC AND SPECIAL REPO RATES
• 10.6 LIQUIDITY MANAGEMENT AND CURRENT REGULATORY ISSUES
• 10.7 CASE STUDY: MF GLOBAL’S REPO‐TO‐MATURITY TRADES
• NOTES
• CHAPTER 11: Note and Bond Futures
• 11.1 FORWARD CONTRACTS AND FORWARD PRICES
• 11.2 FORWARD BOND YIELD
• 11.3 THE INTEREST RATE SENSITIVITY OF A FORWARD CONTRACT
• 11.4 MECHANICS OF US TREASURY NOTE AND BOND FUTURES
• 11.5 PRICING AND HEDGING IMPLICATIONS OF DAILY SETTLEMENT
• 11.6 COST OF DELIVERY AND THE FINAL SETTLEMENT PRICE
• 11.7 MOTIVATIONS FOR A DELIVERY BASKET AND CONVERSION FACTORS
• 11.8 THE QUALITY OPTION AT EXPIRATION
• 11.9 GROSS AND NET BASIS AND BASIS TRADES
• 11.10 IMPLIED REPO RATES
• 11.11 FUTURES PRICE AND THE QUALITY OPTION BEFORE EXPIRATION
• 11.12 THE TIMING, END‐OF‐MONTH, AND WILD‐CARD OPTIONS
• 11.13 CASE STUDY: BASIS TRADES IN MARCH 2020
• NOTES
• CHAPTER 12: Short‐Term Rates and Their Derivatives
• 12.1 SHORT‐TERM RATES AND THE TRANSITION FROM LIBOR
• 12.2 ONE‐MONTH SOFR FUTURES
• 12.3 FED FUND FUTURES
• 12.4 THREE‐MONTH SOFR FUTURES
• 12.5 EURIBOR FORWARD RATE AGREEMENTS AND FUTURES
• 12.6 THE FUTURES‐FORWARD DIFFERENCE
• NOTES
• CHAPTER 13: Interest Rate Swaps
• 13.1 MARKET SIZE AND PARTICIPANTS
• 13.2 IRS CASH FLOWS AND ANALYTICS
• 13.3 USES OF INTEREST RATE SWAPS
• 13.4 COUNTERPARTY CREDIT RISK
• 13.5 CLEARING AND CENTRAL COUNTERPARTIES
• 13.6 BASIS SWAPS
• NOTES
• CHAPTER 14: Corporate Debt and Credit Default Swaps
• 14.1 CORPORATE BONDS AND LOANS
• 14.2 DEFAULT RATES, RECOVERY RATES, AND CREDIT LOSSES
• 14.3 CREDIT SPREADS
• 14.4 CREDIT RISK PREMIUM
• 14.5 CREDIT DEFAULT SWAPS
• 14.6 CDS UPFRONT AMOUNTS
• 14.7 CDS‐EQUIVALENT BOND SPREAD
• 14.8 CDS‐BOND BASIS
• 14.9 HAZARD‐ADJUSTED DURATION AND DV01
• 14.10 SPREAD DURATION AND DV01
• 14.11 CDS SETTLEMENT AUCTIONS
• 14.12 OPPORTUNISTIC CDS STRATEGIES
• 14.13 CASE STUDY: THE LONDON WHALE
• NOTES
• CHAPTER 15: Mortgages and Mortgage‐Backed Securities
• 15.1 THE MORTGAGE MARKET IN THE UNITED STATES
• 15.2 FIXED‐RATE MORTGAGE LOANS
• 15.3 ADJUSTABLE‐RATE MORTGAGES
• 15.4 PREPAYMENTS
• 15.5 MORTGAGE POOLS
• 15.6 PREPAYMENT MODELING
• 15.7 MORTGAGE PRICING, SPREADS, AND DURATION
• 15.8 TBA AND SPECIFIED POOLS MARKETS
• 15.9 RISK FACTORS AND HEDGING AGENCY MBS
• 15.10 DOLLAR ROLLS
• 15.11 OTHER MBS
• 15.12 CREDIT RISK TRANSFER SECURITIES
• NOTES
• CHAPTER 16: Fixed Income Options
• 16.1 EMBEDDED BOND CALL OPTIONS
• 16.2 EURIBOR FUTURES OPTIONS
• 16.3 BOND FUTURES OPTIONS
• 16.4 CAPS AND FLOORS
• 16.5 SWAPTIONS
• 16.6 SWAPTION SKEW
• NOTES
• APPENDIX TO CHAPTER 1: Prices, Discount Factors, and Arbitrage
• A1.1 DERIVING REPLICATING PORTFOLIOS
• A1.2 THE EQUIVALENCE OF DISCOUNTING AND ARBITRAGE PRICING
• APPENDIX TO CHAPTER 2: Swap, Spot, and Forward Rates
• A2.1 CONTINUOUS COMPOUNDING
• A2.2 RELATIONSHIPS BETWEEN SWAP OR PAR, SPOT, AND FORWARD RATES
• APPENDIX TO CHAPTER 3: Returns, Yields, Spreads, and P&L Attribution
• A3.1 YIELD TO MATURITY FOR SETTLEMENT DATES OTHER THAN COUPON PAYMENT DATES
• A3.2 YIELD TO MATURITY AND EX‐POST RETURNS
• A3.3 REALIZED FORWARD SCENARIO
• APPENDIX TO CHAPTER 4: DV01, Duration, and Convexity
• A4.1 DV01, DURATION, AND CONVEXITY OF PORTFOLIOS
• A4.2 ESTIMATING PRICE CHANGE WITH DURATION AND CONVEXITY
• APPENDIX TO CHAPTER 6: Regression Hedging and Principal Component Analysis
• A6.1 REGRESSION HEDGES AND P&L VARIANCE
• A6.2 CONSTRUCTION OF PRINCIPAL COMPONENTS
• A6.3 CONSTRUCTION OF PC: MATHEMATICAL DETAILS
• NOTE
• APPENDIX TO CHAPTER 8: Expectations, Risk Premium, Convexity and the Shape of the Term Structure
• NOTE
• APPENDIX TO CHAPTER 9: The Vasicek and Gauss+ Models
• A9.1 THE VASICEK MODEL IN A BINOMIAL TREE
• A9.2 THE GAUSS+ MODEL
• NOTES
• APPENDIX TO CHAPTER 11: Note and Bond Futures
• A11.1 FORWARD DROP APPROXIMATELY EQUALS CASH CARRY
• A11.2 FORWARD VERSUS FUTURES PRICES IN A TERM STRUCTURE MODEL
• A11.3 THE FUTURES‐FORWARD DIFFERENCE
• A11.4 FUTURES DELIVERY OPTIONS IN A TERM STRUCTURE MODEL
• APPENDIX TO CHAPTER 12: Short‐Term Rates and Their Derivatives
• APPENDIX TO CHAPTER 13: Interest Rate Swaps
• A13.1 PRICING A EURIBOR SWAP AS OF FEBRUARY 24, 2022
• A13.2 TWO‐CURVE PRICING
• APPENDIX TO CHAPTER 14: Corporate Debt and Credit Default Swaps
• A14.1 CUMULATIVE DEFAULT AND SURVIVAL RATES
• A14.2 UPFRONT AMOUNTS
• A14.3 AN APPROXIMATION FOR CDS SPREADS
• A14.4 CDS‐EQUIVALENT BOND SPREADS
• A14.5 BOND SPREAD WITH MARKET RECOVERY
• APPENDIX TO CHAPTER 15: Mortgages and Mortgage‐Backed Securities
• A15.1 MONTH‐END BALANCES
• A15.2 PRICING MBS WITH TERM STRUCTURE MODELS
• NOTE
• APPENDIX TO CHAPTER 16: Fixed Income Options
• A16.1 THEORETICAL FOUNDATIONS FOR APPLYING BLACK‐SCHOLES‐MERTON (BSM) TO SELECTED FIXED INCOME OPTIONS
• A16.2 NUMERAIRES, PRICING MEASURES, AND THE MARTINGALE PROPERTY
• A16.3 CHOOSING THE NUMERAIRE AND BSM PRICING
• A16.4 EXPECTATIONS FOR BLACK‐SCHOLES‐MERTON STYLE OPTION PRICING
• A16.5 FUTURES PRICES ARE MARTINGALES WITH THE MONEY MARKET ACCOUNT AS A NUMERAIRE
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