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Analysing and Interpreting the Yield Curve


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Table of Contents

Foreword ix Preface xi Preface to the First Edition xiii Acknowledgments xv About the Author xvii Part 1 Introduction to the Yield Curve 3 Chapter 1 The Yield Curve 5 Chapter 2 A Further Look at Spot and Forward Rates 61 Part 2 Yield Curve Modelling and Post-2008 Yield Curve Analytics 93 Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts 95 Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices 115 Chapter 5 Interest Rate Models I 139 Chapter 6 Interest Rate Models II 163 Chapter 7 The Index-Linked Bond Yield Curve 181 Chapter 8 Yield Curve Analytics in the Post-2008 Era 193 Chapter 9 Negative Interest Rate Analytics 219 Part 3 Fitting the Yield Curve 229 Chapter 10 Estimating and Fitting the Yield Curve I 231 Chapter 11 Estimating and Fitting the Yield Curve II 253 Part 4 Yield Curves and Relative Value Trading 277 Chapter 12 Yield Curves and Relative Value 279 Chapter 13 Identifying Relative Value in the US Treasury Market: Acquiring New Benchmark Definitions from an Ancillary Yield Curve 291 Appendix: Bond Yield Measurement 321 Index 353

About the Author

DR. MOORAD CHOUDHRY is Head of Asset-Liability Management at Cambridge & Counties Bank in Leicester. He previously worked as a sovereign bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, a structured finance repo trader at KBC Financial Products, and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Institute of Directors, and a Freeman of the Worshipful Company of International Bankers.

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