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schofield n trading fixed income inflation credit markets 2011

Type:: E-books
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Uploaded On:: Sept. 28, 2023, 10:34 a.m.
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Textbook in PDF format "Trading the Fixed Income, Inflation and Credit Markets" is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. It shows that within any asset class there are mathematical relationships that tie together four key building blocks: cash products, forwards/futures, swaps and options. The nature of these interrelationships means that there may be a variety of different ways in which a particular strategy can be expressed. It then moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It concludes by taking the main themes of relative value and showing how they can be applied within other asset classes. Although the main focus is fixed income the book does cover multiple asset classes including credit and inflation. Written from a practitioner's perspective, the book illustrates how the products are used by including many worked examples and a number of screenshots to ensure that the content is as practical and applied as possible. Product Fundamentals Bond Fundamentals Repurchase Agreements Credit Fundamentals Derivative Fundamentals Pricing Relationships Relative Value The Relative Value Triangle Spot Pricing The Spot–Forward Relationship The Spot–Swap Relationship The Forward–Swap Relationship Pricing Options–Relationship With The Underlying Market Market Risk Management What Do We Mean By Risk? Defining Market Risk Spot Market Risk Forward Risk Swap Market Risk Option Risk Management Value at Risk Expressing Views on the Interrelationships between Products The Spot–Forward Relationship The Spot–Swap Relationship The Forward–Swap Relationship Options and Trading Volatility Identifying Value in Sovereign Bonds What Is Relative Value? Understanding the Yield Curve Measures of Spread Identifying Value in Sovereign Bonds Using Asset Swaps Summary of Yield Measures Trading the Yield Curve Trading Terminology Trading the Short End of the Yield Curve Trading the Slope of the Yield Curve Trading the Curvature of the Yield Curve Volatility, Curvature and Skew Constant-Maturity Products Structured Products – Range Accruals Relative Value in Credit Applying the Relative Value Triangle to Credit Expressing Views on the Credit Term Structure Expressing a View on a Single Reference Entity Expressing a View on a Basket of Reference Entities Relative Value in Inflation Payers and Receivers of Inflation Term Structure of Breakeven Inflation and Real Yields Seasonality Identifying Value in Inflation-Linked Bonds An Overview of Inflation-Linked Trading Strategies Expressing Views on Breakeven Inflation Expressing Views on Real Yields Forward Breakevens Using Options to Express Views on Breakeven and Real Yields

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Schofield N. Trading the Fixed Income, Inflation and Credit Markets 2011.pdf 28.4 MB

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schofield n trading fixed income inflation credit markets 2011

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