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
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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