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Full Description
As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. Taking a practitioner s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. The book covers: * Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis. * An in-depth approach to understanding swap spreads in theory and in practice. * A comprehensive discussion of the various basis swaps and their combinations. * The incorporation of credit default swaps in yield curve analysis.
* A classification of option trades, with appropriate analysis tools for each category. * Fitted curve techniques for identifying relative value among different bonds. * A multi-factor delivery option model for bond future contracts. Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process.
Contents
Foreword by Henry Ritchotte Relative Value: a Practitioner's Guide vii INTRODUCTION CHAPTER 1 Relative Value 1 PART I: STATISTICAL MODELS 17 CHAPTER 2 Mean Reversion 19 CHAPTER 3 Principal Component Analysis 51 PART II: FINANCIAL MODELS 113 CHAPTER 4 Some Comments on Yield, Duration, and Convexity 115 CHAPTER 5 Bond Futures Contracts 121 CHAPTER 6 LIBOR, OIS Rates, and Repo Rates 137 CHAPTER 7 Intra-Currency Basis Swaps 153 CHAPTER 8 Theoretical Determinants of Swap Spreads 157 CHAPTER 9 Swap Spreads from an Empirical Perspective 169 CHAPTER 10 Swap Spreads as Relative Value Indicators for Government Bonds 185 CHAPTER 11 Fitted Bond Curves 193 CHAPTER 12 A Brief Comment on Interpolated Swap Spreads 207 CHAPTER 13 Cross-Currency Basis Swaps 211 CHAPTER 14 Relative Values of Bonds Denominated in Different Currencies 223 CHAPTER 15 Credit Default Swaps 245 CHAPTER 16 USD Asset Swap Spreads versus Credit Default Swaps 273 CHAPTER 17 Options 299 EPILOGUE CHAPTER 18 Relative Value in a Broader Perspective 349 Bibliography 357 Index 359
