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| Preface | |
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| Acknowledgements | |
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| A Beginner's Toolkit | |
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| Money markets | |
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| What is money? | |
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| Why there is a money market? | |
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| Choosing a maturity | |
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| Repo | |
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| Central-bank money-market operations | |
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| Two money markets | |
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| The euro | |
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| Writing money | |
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| Settlement details | |
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| Summary | |
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| Government bonds | |
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| Introduction | |
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| The concept of yield | |
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| Example yield calculations | |
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| Coupon and yield | |
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| The yield curve | |
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| Primary dealers | |
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| Government bond markets | |
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| Repo as part of the government-bond market | |
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| Accrued interest | |
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| STRIPS | |
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| Other tradable government debt | |
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| Non-government debt | |
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| Rating agencies | |
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| Summary | |
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| Futures | |
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| The gold miner's problem | |
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| The gold miner's solution | |
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| Contract specification | |
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| Credit and margin | |
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| Cash settlement | |
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| Cash-settling other contracts | |
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| The fixings | |
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| The 3-month interest rate future | |
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| Price action | |
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| The strip and TED spreads | |
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| Arbitrage | |
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| Some trading jargon | |
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| Summary | |
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| Swaps | |
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| Introduction | |
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| An example | |
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| Asset swaps | |
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| A typical swap in detail | |
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| Credit risk in swaps | |
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| Trading jargon | |
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| Swaps and interest rate futures | |
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| Myth and reality | |
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| Summary | |
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| Options | |
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| Introduction | |
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| Puts and calls | |
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| What is the option worth? | |
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| Combinations | |
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| Underlyings | |
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| Embedded options | |
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| Implied volatility | |
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| Summary | |
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| Foreign exchange | |
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| The basic rationale | |
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| Size and conventions | |
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| Forwards | |
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| Shake the dice | |
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| Summary | |
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| Players | |
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| Governments | |
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| Pseudo-government issuers | |
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| Non-financial corporations | |
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| Pension funds | |
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| Insurers | |
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| Mutual funds | |
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| Hedge funds | |
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| Commercial banks | |
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| Mortgage lenders | |
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| Central banks | |
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| Private investors | |
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| Summary | |
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| People | |
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| Introduction | |
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| Proprietary traders | |
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| Market makers | |
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| Brokers | |
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| Salespeople | |
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| Researchers | |
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| Back office and middle office | |
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| Investment bankers | |
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| Summary | |
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| Price action | |
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| Why do prices move? | |
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| Necessity never made a good bargain | |
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| Stability and leverage | |
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| Fixed-income prices | |
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| A stylised crash in fixed income | |
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| Forwards, zeros and par yields | |
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| Trading the crash | |
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| Market irrationality | |
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| Summary | |
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| More detail | |
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| Swaps revisited | |
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| Introduction | |
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| Credit risk in swaps | |
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| Reducing the credit risk | |
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| Cross-currency basis swaps | |
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| The price of a basis swap | |
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| A cross-currency issue | |
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| Reducing credit risk in basis swaps | |
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| Forward rate agreements | |
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| Summary | |
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| Non-government issuance | |
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| Introduction | |
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| Bringing a deal to market | |
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| The syndicate | |
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| Book-building: taking orders | |
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| Pricing a swapped deal | |
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| Pricing an unswapped deal | |
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| Some legal details | |
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| Free to trade | |
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| An example issue | |
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| Opportunistic reopenings | |
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| Summary | |
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| Yield, duration, repo and forward bond prices | |
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| Measuring risk | |
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| Yields: compounding frequencies | |
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| Duration continued | |
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| Definition of DV01 | |
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| How coupon affects duration and DV01 | |
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| An example yield curve | |
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| A 3s10s flattener | |
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| A flattener generates cash | |
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| A forward flattener | |
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| What happens if nothing happens? | |
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| Weighting the forward flattener | |
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| A barbell | |
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| Carry and slide | |
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| Summary | |
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| Bond futures | |
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| Introduction | |
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| Specification | |
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| Delivery day | |
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| The delivery process | |
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| Cheapest to deliver: at par | |
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| Cheapest to deliver: far from par | |
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| CTD calculations before delivery | |
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| Delivery tail | |
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| Summary | |
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| Basic fixed-income arithmetic | |
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| The proportion of a year | |
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| Yield to price and price to yield | |
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| Semi to annual: halve and square | |
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| Forward yield | |
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| Forward asset swap | |
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| Summary | |
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| Index | |