[下载]Fixed Income Securities and Derivatives Handbook:Analysis and Valuation

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[下载]Fixed Income Securities and Derivatives Handbook:Analysis and Valuation
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PART ONE INTRODUCTION TO BONDS
1 The Bond Instrument 3
The Time Value of Money . . 4
Basic Features and Definitions . . . . . . . 5
Present Value and Discounting . . . . . . . 6
Discount Factors . . . . . . . . 12
Bond Pricing and Yield: The Traditional Approach . . . . . . . . 15
Bond Pricing . . 15
Bond Yield . . . 19
Accrued Interest . 27
Clean and Dirty Bond Prices . . . . . . . 27
Day-Count Conventions . . 28
2 Bond Instruments and Interest Rate Risk 31
Duration, Modified Duration, and Convexity . . . 31
Duration . . . . . 32
Properties of Macaulay Duration . . . . 36
Modified Duration . . . . . . 37
Convexity . . . . 41
3 Bond Pricing and Spot and Forward Rates 47
Zero-Coupon Bonds . . . . . . 47
Coupon Bonds . . 49
Bond Price in Continuous Time . . . . . 51
Fundamental Concepts . . . 51
Stochastic Rates . . . . . . . . 54
Coupon Bonds 56
Forward Rates . . . 57
Guaranteeing a Forward Rate . . . . . . . 57
The Spot and Forward Yield Curve . . . 59
Calculating Spot Rates . . . 60
Term Structure Hypotheses . 63
The Expectations Hypothesis . . . . . . . 63
Liquidity Premium Hypothesis . . . . . . 65
Segmented Markets Hypothesis . . . . . 65
C O N T E N T S
4 Interest Rate Modeling 67
Basic Concepts . . 67
Short-Rate Processes . . . . . 68
Ito’s Lemma . . 70
One-Factor Term-Structure Models . . . 71
Vasicek Model . 71
Hull-White Model . . . . . . 72
Further One-Factor Term-Structure Models . . . . . 73
Cox-Ingersoll-Ross (CIR) Model . . . . 74
Two-Factor Interest Rate Models . . . . . 75
Brennan-Schwartz Model . 76
Extended Cox-Ingersoll-Ross Model . . 76
Heath-Jarrow-Morton (HJM) Model . 77
The Multifactor HJM Model . . . . . . . 78
Choosing a Term-Structure Model . . . . 79
5 Fitting the Yield Curve 83
Yield Curve Smoothing . . . 84
Smoothing Techniques . . . 86
Cubic Polynomials . . . . . . 87
Non-Parametric Methods . . 88
Spline-Based Methods . . . . 88
Nelson and Siegel Curves . 91
Comparing Curves . . . . . . . . 92
PART TWO SELECTED CASH AND DERIVATIVE INSTRUMENTS
6 Forwards and Futures Valuation 95
Forwards and Futures . . . . . . 95
Cash Flow Differences . . . 96
Relationship Between Forward and Futures Prices . 98
Forward-Spot Parity . . . . . . . 99
The Basis and Implied Repo Rate . . . 101
7 Swaps 105
Interest Rate Swaps . . . . . . 106
Market Terminology . . . . 107
Swap Spreads and the Swap Yield Curve . . . . . . . 109
Generic Swap Valuation . . . 112
Intuitive Swap Valuation . 112
Zero-Coupon Swap Valuation . . . . . . 113
Calculating the Forward Rate from Spot-Rate Discount Factors . . . . . . . 113
The Key Principles of an Interest Rate Swap . . . . 117
Valuation Using the Final Maturity Discount Factor . . . . . . . 118
Non–Plain Vanilla Interest Rate Swaps . . . . . . . . 119
Swaptions . . . . . 122
Valuation . . . 122
Interest Rate Swap Applications . . . . . 124
Corporate and Investor Applications . 124
Hedging Bond Instruments Using Interest Rate Swaps . . . . . 127
8 Options 133
Option Basics . . 134
Terminology . 136
Option Instruments . . . . . . 137
Option Pricing: Setting the Scene . . . 140
Limits on Option Prices . 141
Option Pricing . 142
The Black-Scholes Option Model . . . 144
Assumptions . 145
Pricing Derivative Instruments Using the Black-Scholes Model . . . . . . . 145
Put-Call Parity . . . . . . . . 149
Pricing Options on Bonds Using the Black-Scholes Model . . 149
Interest Rate Options and the Black Model . . . . . 152
Comments on the Black-Scholes Model . . . . . . . 155
Stochastic Volatility . . . . . 156
Implied Volatility . . . . . . 156
Other Option Models . . . . 157
9 Measuring Option Risk 159
Option Price Behavior . . . . 159
Assessing Time Value . . . 159
American Options . . . . . 160
The Greeks . . . . 161
Delta . . . . . . . 161
Gamma . . . . . 163
Theta . . . . . . 165
Vega . . . . . . . 165
Rho . . . . . . . . 166
Lambda . . . . . 168
The Option Smile . . . . . . . 169
Caps and Floors 170
10 Credit Derivatives 173
Credit Risk . . . . 175
Credit Risk and Credit Derivatives . . 175
Applications of Credit Derivatives . . . 177
Credit Derivative Instruments . . . . . . 178
Credit Default Swap . . . . 178
Credit Options . . . . . . . . 179
Credit-Linked Notes . . . . 180
Total Return Swaps . . . . . 181
Investment Applications . . 184
Capital Structure Arbitrage . . . . . . . . 184
Exposure to Market Sectors . . . . . . . . 184
Credit Spreads 184
Funding Positions . . . . . . 185
Credit-Derivative Pricing . 186
Pricing Total Return Swaps . . . . . . . . 187
Asset-Swap Pricing . . . . . 187
Credit-Spread Pricing Models . . . . . . 188

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关键词：fixed income derivatives Securities Derivative Valuation Analysis handbook Securities Income Valuation

11 The Analysis of Bonds with Embedded Options 189
Understanding Option Elements Embedded in a Bond . . . . . . . . . . . . . 189
Basic Options Features . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
Option Valuation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
The Call Provision . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
The Binomial Tree of Short-Term Interest Rates . . . . . . . . . . . . . . . . . . . 193
Arbitrage-Free Pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194
Options Pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196
Risk-Neutral Pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197
Recombining and Nonrecombining Trees . . . . . . . . . . . . . . . . . . . . . . . . 198
Pricing Callable Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
Price and Yield Sensitivity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
Measuring Bond Yield Spreads . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206
Price Volatility of Bonds with Embedded Options . . . . . . . . . . . . . . . . . 207
Effective Duration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 207
Effective Convexity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 208
Sinking Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
12 Inflation-Indexed Bonds 211
Basic Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
Choice of Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
Indexation Lag . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213
Coupon Frequency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
Type of Indexation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
Index-Linked Bond Cash Flows and Yields . . . . . . . . . . . . . . . . . . . . . . . 216
TIPS Cash Flow Calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
TIPS Price and Yield Calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
Assessing Yields on Index-Linked Bonds . . . . . . . . . . . . . . . . . . . . . . . . . 221
Which to Hold: Indexed or Conventional Bonds? . . . . . . . . . . . . . . . . . 222
Analysis of Real Interest Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
Indexation Lags and Inflation Expectations . . . . . . . . . . . . . . . . . . . . . . . 223
An Inflation Term Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
13 Hybrid Securities 227
Floating-Rate Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
Inverse Floating-Rate Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231
Hedging Inverse Floaters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
Indexed Amortizing Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234
Advantages for Investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 236
Synthetic Convertible Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237
Investor Benefits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238
Interest Differential Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238
Benefits for Investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
14 Securitization and Mortgage-Backed Securities 241
Reasons for Undertaking Securitization . . . . . . . . . . . . . . . . . . . . . . . . . . 242
Market Participants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
Securitizing Mortgages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 244
Growth of the Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 244
Types of Mortgages and Their Cash Flows . . . . . . . . . . . . . . . . . . . . . . . 245
Mortgage Bond Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248
Types of Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . 249
Cash Flow Patterns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250
Prepayment Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250
Prepayment Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254
Collateralized Mortgage Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
Sequential Pay . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
Planned Amortization Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
Targeted Amortization Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260
Z-Class Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261
Interest-Only and Principal-Only Classes . . . . . . . . . . . . . . . . . . . . . . . . 261
Nonagency CMO Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264
Credit Enhancements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264
Commercial Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . 265
Issuing a CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
Types of CMBS Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266
Evaluation and Analysis of Mortgage-Backed Bonds . . . . . . . . . . . . . . . 267
Term to Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268
Calculating Yield and Price: Static Cash Flow Model . . . . . . . . . . . . . . . 268
Bond Price and Option-Adjusted Spread . . . . . . . . . . . . . . . . . . . . . . . . 270
Effective Duration and Convexity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271
Total Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
Price-Yield Curves of Mortgage Pass-Through, PO, and IO Securities . . 274
15 Collateralized Debt Obligations 279
CDO Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
Conventional CDO Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
Synthetic CDO Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283
Motivation Behind CDO Issuance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 284
Balance Sheet–Driven Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285
Investor-Driven Arbitrage Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . 285
Analysis and Evaluation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Cash Flow Analysis and Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Originator’s Credit Quality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287
Operational Aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287
Review of Credit-Enhancement Mechanisms . . . . . . . . . . . . . . . . . . . . . 288
Legal Structure of the Transaction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
Expected Loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289
PART THREE SELECTED MARKET TRADING CONSIDERATIONS
16 The Yield Curve, Bond Yield, and Spot Rates 293
Practical Uses of Redemption Yield and Duration . . . . . . . . . . . . . . . . . 293
The Concept of Yield . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294
Yield Comparisons in the Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 296
Measuring a Bond’s True Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 297
Implied Spot Rates and Market Zero-Coupon Yields . . . . . . . . . . . . . . 300
Spot Yields and Coupon-Bond Prices . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
Implied Spot Yields and Zero-Coupon Bond Yields . . . . . . . . . . . . . . . 304
Determining Strip Values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307
Strips Market Anomalies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308
Strips Trading Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309
Case Study: Treasury Strip Yields and Cash Flow Analysis . . . . . . . . . . 311
17 Approaches to Trading 315
Futures Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316
Yield Curves and Relative Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320
Determinants of Government Bond Yields . . . . . . . . . . . . . . . . . . . . . . . 320
Characterizing the Complete Term Structure . . . . . . . . . . . . . . . . . . . . . 323
Identifying Relative Value in Government Bonds . . . . . . . . . . . . . . . . . . 323
Hedging Bond Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
Simple Hedging Approaches . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
Hedge Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
Summary of the Derivation of the Optimum-Hedge Equation . . . . . . 329
Appendix: The Black-Scholes Model in Microsoft Excel . . . . . . . . . . . 331
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333
Index. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345