| |
| |
| About the author | |
| |
| |
| Using the book | |
| |
| |
| Time Value of Money | |
| |
| |
| Simple Interest and Compound Interest | |
| |
| |
| Equivalent Rate, Effective Rate and Continuously Compounded Rate | |
| |
| |
| Future Value (FV), Present Value (PV), Rate of Discount and Discount Factor | |
| |
| |
| Net Present Value (NPV), and Internal Rate of Return (IRR) | |
| |
| |
| Money-weighted and Time-weighted Rates of Return | |
| |
| |
| Annuity | |
| |
| |
| The Money Markets | |
| |
| |
| Certificate of Deposit (CD), Commercial Paper (CP), Treasury Bill, True Yield and Discount Rate | |
| |
| |
| Values Dates, Interpolation and Extrapolation | |
| |
| |
| Zero-coupon Yield and Yield Curve | |
| |
| |
| Zero-coupon Yield, the Spot Yield Curve and Bootstrapping | |
| |
| |
| The Par Yield Curve | |
| |
| |
| The Forward-forward Yield Curve | |
| |
| |
| Forward-forwards, FRAs and Futures | |
| |
| |
| Forward-forward Interest Rate | |
| |
| |
| STIR Futures Contract and Margin | |
| |
| |
| Spread, Butterfly Spread and Condor | |
| |
| |
| Strip | |
| |
| |
| The Bond and Repo Markets | |
| |
| |
| Accrued interest, Clean Price and Dirty Price | |
| |
| |
| Money Market Basis and Bond Basis | |
| |
| |
| Yield to Maturity (YTM) | |
| |
| |
| Current Yield and Simple Yield to Maturity | |
| |
| |
| Zero-coupon Security and Strip | |
| |
| |
| Asset-backed Securities (ABS), Mortgage-backed Securities (MBS), Collateralised Debt Obligations (CDO) and Covered Bonds | |
| |
| |
| Bond Futures, Conversion Factor and CheapesMo-deliver (CTD) | |
| |
| |
| Cash-and-carry Arbitrage and implied Repo Rate | |
| |
| |
| Duration, Modified Duration, Price Value of a Basis Point (PVB),DV01 and Convexity | |
| |
| |
| Hedge Ratio | |
| |
| |
| Haircut and Margin | |
| |
| |
| Securities Lending/Borrowing | |
| |
| |
| The Swaps Market | |
| |
| |
| Interest Rate Swap (IRS) | |
| |
| |
| Asset Swap and Liability Swap | |
| |
| |
| Overnight Index Swap (OIS) | |
| |
| |
| Currency Swap | |
| |
| |
| Foreign Exchange | |
| |
| |
| Forward Outright and Forward Swap | |
| |
| |
| Cross-rate | |
| |
| |
| Short Dates | |
| |
| |
| Forward-forward Exchange Rate | |
| |
| |
| Non-deliverable Forward (NDF) | |
| |
| |
| Options | |
| |
| |
| Calls and Puts | |
| |
| |
| The Black and Scholes Pricing Mode! | |
| |
| |
| Historic Volatility and Implied Volatility | |
| |
| |
| Binomial Pricing Model | |
| |
| |
| The Put/Call Parity | |
| |
| |
| Cap, Floor, Collar and Zero-cost Option | |
| |
| |
| Break Forward, Range Forward and Participation Forward | |
| |
| |
| Option Trading Strategies: Straddle, Strangle, Spread, Butterfly, Condor, Ratio Spread and Risk Reversal | |
| |
| |
| Barrier Options: Knock-out Option and Knock-in Option | |
| |
| |
| Credit Derivatives, CDS, Synthetic CDO and First-to-default Baskets | |
| |
| |
| The 'Greeks'; Delta, Gamma, Vega, Theta and Rho | |
| |
| |
| Statistics | |
| |
| |
| Mean, Median and Mode | |
| |
| |
| Variance and Standard Deviation | |
| |
| |
| Correlation and Covariance | |
| |
| |
| Probability Density and the Normal Probability Function | |
| |
| |
| Risk Management and Investment Management | |
| |
| |
| Value at Risk (VaR) | |
| |
| |
| The Capital Adequacy Ratio | |
| |
| |
| Efficient Markets Hypothesis | |
| |
| |
| Appendices | |
| |
| |
| Glossary | |
| |
| |
| A Summary of. Day/Year Conventions for Money Markets and. Government Bond Markets | |
| |
| |
| Index | |