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Understand and interpret the global debt capital markets
Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market.
Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used.
This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
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.
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
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