5

83-92

10

 

Bloomberg Press (Visit publisher website)

2005

English

 

 

 

Basic

 

 

Fitting the yield curve, splines, ordinary least squares (OLS), bootstrapping, error, noise, smoothing, linear interpolation, cubic polynomials, non-parametric methods, piecewise cubic polynomial, spline-based methods, non-parametric methods, B-splines, Nelson and Siegel curves, Svensson model

 

5.1.1 Yield Curve Smoothing
5.1.2 Smoothing Techniques
5.1.3 Cubic Polynomials
5.2 Non-Parametric Methods
5.2.1 Spline-Based Methods
5.2.2 Nelson and Siegel Curves
5.3 Comparing Curves

 

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** From the Publisher **

An array of techniques and applications are used in the analysis and valuation of the principal debt market instruments. The basic analytical techniques are applicable in all bond markets, but as the instruments being valued become more complex, additional techniques are required. In order to succeed, today’s financial practitioners need to be up to speed on how these derivative products and their underlying securities are structured and valued.

In Fixed-Income Securities and Derivatives Handbook, Moorad Choudhry provides a concise and accessible overview of the main elements of the markets, the techniques used, and their applications. Covering a wide range of market instruments, the book examines simple and complex products and the mathematics behind them.

Analyzing cash and derivative products, Choudhry provides insight into market conventions with case studies demonstrating how the markets really work. The book features an introduction to yield-curve models, curve-fitting techniques, option-adjusted spreads, index-linked bond analytics, and a range of other applications in the fixed-income markets. Choudhry’s unique focus on the international nature of these instruments makes the techniques and applications appropriate to every debt capital market.

Whether new to the field or simply in need of a refresher on recent developments, the practitioner will find Fixed-Income Securities and Derivatives Handbook a resource to have close by.