Saied Simozar
The Advanced Fixed Income and Derivatives Management Guide
The Advanced Fixed Income and Derivatives Management Guide
SAIED SIMOZAR
This edition first published 2015
© 2015 Saied Simozar
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Library of Congress Cataloging-in-Publication Data
ISBN 978-1-119-01414-0 (hardback); ISBN 978-1-119-01416-4 (ebk);
ISBN 978-1-119-01417-1 (ebk)
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List of Tables
1.1 Yield and duration of a portfolio
1.2 Key rate duration of a portfolio
2.1 US historical term structure components
2.2 US historical volatility of term structure components
3.1 Weights of principal components, 1992–2012
3.2 Historical half-life (mean reversion) of US treasury term structure components
3.3 t-test of half-life of US treasury term structure components
3.4 Average value of US treasury term structure components
3.5 Annualized absolute volatility of US treasury term structure components
4.1 Duration components of zero coupon bonds
4.2 Curve exposure of portfolios of zero coupon bonds
4.3 Curve exposure of eurodollar futures contracts
4.4 Conventional yield and duration of portfolios of securities
4.5 Duration components of key rate securities
4.6 Transposed and scaled duration components of key rate securities
4.7 Duration components and yield of an equal weighted treasury index
4.8 Average duration components of an equal weighted treasury index
4.9 Duration components of global treasuries, January 3, 2013
5.1 Index performance attribution using coupon bonds for the TSIR
5.2 Index performance attribution using coupon Strips
5.3 Decay coefficient and contribution to performance, 1992–2012
5.4 Decay coefficient and volatility of performance, 1992–2012
5.5 Comparison of aggregated daily performance by basis function, 1992–2012
5.6 Comparison of annualized volatility by basis function
6.1 Selected term structure of swaps, July 30, 2012
6.2 Selected adjustment table for TSLR, July 30, 2012
6.3 Swap valuation table, July 30, 2012
7.1 Selected treasury bonds, 2012
7.2 Analysis of EUR term structure components
7.3 EUR swap trade, April 22, 2008
7.4 USD swap trade data, November 26, 2007
7.5 USD swap trade performance, November 26, 2007
7.6 USD swap trade data, June 28, 2004
7.7 USD swap trade performance, November 26, 2007
7.8 Durations of streams of cash flows
7.9 Summary of trade result, December 18, 2012
8.1 Performance of index replicating portfolio using five