Author: Nicola Anderson
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
Book Description
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Estimating and Interpreting the Yield Curve
Author: Nicola Anderson
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
Book Description
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
Book Description
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Estimating and Interpreting the Yield Curve
Author:
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 221
Book Description
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 221
Book Description
Analysing and Interpreting the Yield Curve
Author: Moorad Choudhry
Publisher: John Wiley & Sons
ISBN: 1119141052
Category : Business & Economics
Languages : en
Pages : 390
Book Description
Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Publisher: John Wiley & Sons
ISBN: 1119141052
Category : Business & Economics
Languages : en
Pages : 390
Book Description
Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Estimating and Interpreting Forward Interest Rates
Author: Lars E. O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
Book Description
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel`s functional form.
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
Book Description
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel`s functional form.
Estimating and Interpreting Forward Interest Rates
Author: Mr.Lars E. O. Svensson
Publisher: International Monetary Fund
ISBN: 1451853750
Category : Business & Economics
Languages : en
Pages : 76
Book Description
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Publisher: International Monetary Fund
ISBN: 1451853750
Category : Business & Economics
Languages : en
Pages : 76
Book Description
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Estimating the Yield Curve
Author: Deborah Hoffman Miller
Publisher:
ISBN:
Category :
Languages : en
Pages : 196
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 196
Book Description
Capital Market Instruments
Author: M. Choudhry
Publisher: Springer
ISBN: 0230279384
Category : Business & Economics
Languages : en
Pages : 566
Book Description
Revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed-income instruments. Fundamental concepts in equity market analysis, foreign exchange and money markets are also covered to provide a comprehensive overview. Analysis and valuation techniques are given for practical application.
Publisher: Springer
ISBN: 0230279384
Category : Business & Economics
Languages : en
Pages : 566
Book Description
Revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed-income instruments. Fundamental concepts in equity market analysis, foreign exchange and money markets are also covered to provide a comprehensive overview. Analysis and valuation techniques are given for practical application.
Bond and Money Markets
Author: Moorad Choudhry
Publisher: Butterworth-Heinemann
ISBN: 0080574939
Category : Business & Economics
Languages : en
Pages : 1152
Book Description
The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices* A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics
Publisher: Butterworth-Heinemann
ISBN: 0080574939
Category : Business & Economics
Languages : en
Pages : 1152
Book Description
The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices* A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics
Estimating Yield Curve Noise
Author: Michael G. Abrahams
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
Book Description
In this paper, I explore methods for estimating noise in the yield curve. I evaluate optimization methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial library.
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
Book Description
In this paper, I explore methods for estimating noise in the yield curve. I evaluate optimization methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial library.
Modeling the Term Structure from the On-the-Run Treasury Yield Curve
Author: Sattar Mansi
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
We propose a new model to estimate the term structure of interest rates using observed on-the-run Treasury yields. The new model is an improvement over models that require apriori knowledge of the shape of the yield curve to estimate the term structure. The general form of the model is an exponential function that depends on the estimation of four parameters fit by nonlinear least squares and has straightforward interpretations. In comparing the proposed model with current yield curve smoothing models, we find that, for the data used, the proposed model does best overall in terms of pricing accuracy both in-sample and out-of-sample.
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
We propose a new model to estimate the term structure of interest rates using observed on-the-run Treasury yields. The new model is an improvement over models that require apriori knowledge of the shape of the yield curve to estimate the term structure. The general form of the model is an exponential function that depends on the estimation of four parameters fit by nonlinear least squares and has straightforward interpretations. In comparing the proposed model with current yield curve smoothing models, we find that, for the data used, the proposed model does best overall in terms of pricing accuracy both in-sample and out-of-sample.