Analysing and interpreting the yield curve. (2019)

• Record Type: Book
• Further Information: Note: Moorad Choudhry.
• Authors: Choudhry, Moorad
• Contents: 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
• Edition: Second edition
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2019
• Extent: 1 online resource
• Subjects: 332.6323; Bonds -- Valuation -- Econometric models
• Languages: English
• ISBNs: 9781119141051
• Related ISBNs: 9781119141068
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.