Fixed Income Relative Value Analysis Website A

Practitioner s Guide to the Theory Tools and

Trades 2nd Edition Doug Huggins & Christian
Schaller pdf download

https://ebookname.com/product/fixed-income-relative-value-analysis-website-a-practitioner-s-guide-
to-the-theory-tools-and-trades-2nd-edition-doug-huggins-christian-schaller/

★★★★★ 4.9/5.0 (33 reviews) ✓ 89 downloads ■ TOP RATED

"Great resource, downloaded instantly. Thank you!" - Lisa K.

DOWNLOAD EBOOK
 Fixed Income Relative Value Analysis Website A Practitioner
s Guide to the Theory Tools and Trades 2nd Edition Doug
Huggins & Christian Schaller pdf download

TEXTBOOK EBOOK EBOOK GATE

Available Formats

■ PDF eBook Study Guide TextBook

EXCLUSIVE 2025 EDUCATIONAL COLLECTION - LIMITED TIME

INSTANT DOWNLOAD VIEW LIBRARY

Instant digital products (PDF, ePub, MOBI) available
Download now and explore formats that suit you...

Fixed Income Securities Tools for Today s Markets 2nd

Edition Bruce Tuckman

https://ebookname.com/product/fixed-income-securities-tools-for-
today-s-markets-2nd-edition-bruce-tuckman/

Fixed income analysis workbook 2nd Edition Frank J.

Fabozzi

https://ebookname.com/product/fixed-income-analysis-workbook-2nd-
edition-frank-j-fabozzi/

Fixed Income Analysis 3rd Edition Barbara Petitt

https://ebookname.com/product/fixed-income-analysis-3rd-edition-
barbara-petitt/

5 Steps to a 5 on the AP U S Government and Politics 5

Steps to a 5 on the Advanced Placement Examinations
Series 1st Edition Pamela K Lamb

https://ebookname.com/product/5-steps-to-a-5-on-the-ap-u-s-
government-and-politics-5-steps-to-a-5-on-the-advanced-placement-
examinations-series-1st-edition-pamela-k-lamb/
A Splintered History of Wood Belt Sander Races Blind
Woodworkers and Baseball Bats 1St Edition Edition Spike
Carlsen

https://ebookname.com/product/a-splintered-history-of-wood-belt-
sander-races-blind-woodworkers-and-baseball-bats-1st-edition-
edition-spike-carlsen/

Motivating people to be physically active 2nd ed

Edition Bess Marcus

https://ebookname.com/product/motivating-people-to-be-physically-
active-2nd-ed-edition-bess-marcus/

Irregular Citizenship Immigration and Deportation 1st

Edition Peter Nyers

https://ebookname.com/product/irregular-citizenship-immigration-
and-deportation-1st-edition-peter-nyers/

Reversibility of Chronic Disease and Hypersensitivity

Volume 4 The Environmental Aspects of Chemical
Sensitivity 1st Edition William J. Rea

https://ebookname.com/product/reversibility-of-chronic-disease-
and-hypersensitivity-volume-4-the-environmental-aspects-of-
chemical-sensitivity-1st-edition-william-j-rea/

Keywords in News and Journalism Studies 1st Edition

Barbie Zelizer

https://ebookname.com/product/keywords-in-news-and-journalism-
studies-1st-edition-barbie-zelizer/
Wireless Communications 1st Edition Bin Tian

https://ebookname.com/product/wireless-communications-1st-
edition-bin-tian/
Table of Contents
Cover
Table of Contents
Title Page
Copyright
Preface to the Second Edition
NEW REFERENCE RATES
INCREASING DEFAULT RISK OF GOVERNMENTS
REGULATION AND CAPITAL CONSTRAINTS
COMPUTATIONAL ACCESS TO COMPLEX
MODELS
NOTE
CHAPTER 1: Relative Value
THE CONCEPT OF RELATIVE VALUE
THE SOURCES OF RELATIVE VALUE
OPPORTUNITIES
THE INSIGHTS FROM RELATIVE VALUE
ANALYSIS
THE APPLICATIONS OF RELATIVE VALUE
ANALYSIS
THE CRAFT OF RELATIVE VALUE ANALYSIS
SUMMARY OF CONTENTS
NOTE
PART I: Statistical Models
CHAPTER 2: Mean Reversion
WHAT IS MEAN REVERSION AND HOW DOES
IT HELP US?
 DIAGNOSTICS FOR MODEL SELECTION
MODEL ESTIMATION
CALCULATING CONDITIONAL
EXPECTATIONS AND PROBABILITY
DENSITIES
CALCULATING CONDITIONAL, EX ANTE
RISK-ADJUSTED RETURNS
ASSESSING AND OPTIMIZING EXECUTION
STRATEGIES
A PRACTICAL EXAMPLE INCORPORATING
ALL THE IDEAS
CONCLUSION
NOTES
CHAPTER 3: Principal Component Analysis
INTRODUCTION: GOAL AND METHOD
AN INTUITIVE APPROACH TO PCA
FACTOR MODELS: GENERAL STRUCTURE
AND DEFINITIONS
PCA: MATHEMATICS
PCA AS A FACTOR MODEL
INSIGHT INTO MARKET MECHANISMS
THROUGH INTERPRETATION OF THE
EIGENVECTORS
APPLYING EIGENVECTOR INTERPRETATION
IN DIFFERENT MARKETS
DECOMPOSING MARKETS INTO
UNCORRELATED FACTORS
EMBEDDING PCA IN TRADE IDEAS
APPROPRIATE HEDGING
ANALYZING THE EXPOSURE OF TRADING
POSITIONS AND INVESTMENT PORTFOLIOS
 PCA AS A TOOL FOR SCREENING THE
MARKET FOR TRADE IDEAS
EXAMPLE OF A PCA-BASED TRADE IDEA
PROBLEMS AND PITFALLS OF PCA 1:
CORRELATION BETWEEN FACTORS DURING
SUBPERIODS
PROBLEMS AND PITFALLS OF PCA 2:
INSTABILITY OF EIGENVECTORS OVER TIME
NOTES
CHAPTER 4: Multivariate Mean Reversion
INTRODUCTION
EXAMPLES
EUR 5Y5Y AND GBP 5Y5Y IMPLIED
VOLATILITIES
CONCLUSIONS AND IMPLICATIONS
NOTES
PART II: Financial Models
CHAPTER 5: Some Comments on Yield, Duration,
and Convexity
INTRODUCTION
SOME BRIEF COMMENTS ON THE YIELD OF
A COUPON-PAYING BOND
A BRIEF COMMENT ON DURATION
A COMMON MISAPPLICATION OF
CONVEXITY
NOTE
CHAPTER 6: Some Comments on Yield Curve
Models
INTRODUCTION
 REMARKS ABOUT MIXED JUMP-DIFFUSION
MODELS
REMARKS ABOUT SHADOW RATE MODELS
NOTES
CHAPTER 7: Bond Futures Contracts
FUTURES PRICE AND DELIVERY OPTION
ONE-FACTOR DELIVERY OPTION MODELS
THE NEED FOR MULTI-FACTOR DELIVERY
OPTION MODELS
A FLEXIBLE MULTI-FACTOR DELIVERY
OPTION MODEL
NOTES
CHAPTER 8: Fitted Bond Curves
INTRODUCTION
FRAMEWORK OF ANALYSIS
SPECIFYING A FUNCTION FOR DISCOUNT
FACTORS
WEIGHTS
SETTING UP THE OPTIMIZATION
CONCLUSIONS
NOTES
CHAPTER 9: An Analytic Process for Government
Bond Markets
INTRODUCTION
STEP 1: FITTED CURVES
STEP 2: PCA FOR MATURITY SELECTION AND
CURVE TRADES
STEP 3: FITTED CURVES FOR BOND
SELECTION
CHAPTER 10: Overview of the Following Chapters
 NOTE
CHAPTER 11: Reference Rates
OVERVIEW OF GLOBAL REFERENCE RATES
OVERVIEW OF THE REPO MARKET
REPO RATES IN GREATER DETAIL
SOFR
DRIVING FORCES OF THE SPREAD BETWEEN
DIFFERENT REFERENCE RATES
THE SPREAD BETWEEN SECURED AND
UNSECURED LOANS AS DRIVEN BY CAPITAL
REQUIREMENTS
THE SPREAD BETWEEN UNSECURED O/N
AND TERM RATES AS DRIVEN BY CREDIT
EXPOSURE
COMBINING THE DRIVING FORCES CAPITAL
REQUIREMENTS AND CREDIT EXPOSURE
INTO A MODEL FOR THE REPO–LIBOR
SPREAD
NOTES
CHAPTER 12: Asset Swaps
GENERAL CONCEPT
APPLICATION OF THE GENERAL CONCEPT
TO PRICE THE THREE TYPES OF ASSET
SWAPS
TERM STRUCTURE OF SWAP SPREADS
CYCLICALITY OF SWAP SPREADS
DRIVING FORCES OF SWAP SPREADS
CAPTURED IN OUR MODEL
DRIVING FORCES OF SWAP SPREADS NOT
CAPTURED IN OUR MODEL
NOTES
CHAPTER 13: Credit Default Swaps
INTRODUCTION
STRUCTURE OF A CDS
OTHER APPLICATIONS OF CDS: TRADING
CDS VERSUS OTHER CDS AND VERSUS
BONDS
A PCA ON THE CDS CURVE
A PCA ON THE EUR SOVEREIGN CDS
UNIVERSE
A PCA ON RISK-FREE BOND YIELDS
PITFALLS
CONCLUSION
NOTES
CHAPTER 14: Intra-Currency Basis Swaps
DEFINITION
PRICING OF ICBS
ROLE AS BUILDING BLOCKS
CHAPTER 15: Cross-Currency Basis Swaps
DEFINITION
APPLICATIONS OF THE CCBS
CONSTRUCTING ANY REFERENCE RATE
FROM ANY OTHER
ISSUING FOREIGN BONDS WITHOUT FX
EXPOSURE
INVESTING IN FOREIGN BONDS WITHOUT
FX EXPOSURE
PRICING OF THE CCBS
THE IMPACT OF THE TRANSITION TO NEW
REFERENCE RATES ON THE CCBS
NOTES
CHAPTER 16: Combinations and Mutual Influences
of Asset, Basis, and Credit Default Swaps
INTRODUCTION
CALCULATING USD SWAP SPREADS FOR
FOREIGN BONDS
THE EQUILIBRIUM BETWEEN ASSET AND
BASIS SWAPS
ARBITRAGE EQUALITY BETWEEN USD ASW
AND CDS
ARBITRAGE INEQUALITY BETWEEN USD
ASW AND CDS
THE EQUILIBRIUM BETWEEN ASSET, BASIS,
AND CREDIT DEFAULT SWAPS
THE EQUILIBRIUM FOR BUNDS (LOW-RISK
BONDS)
THE EQUILIBRIUM IN CASE OF JGBS (RISKY
BONDS)
NOTES
CHAPTER 17: Global Bond RV Via Fitted Curves
and Via SOFR Asset Swap Spreads
INTRODUCTION
SOFR SWAP SPREADS AS A GLOBAL
RELATIVE VALUE INDICATOR FOR BONDS
PROBLEMS WITH THE USE OF SWAP
SPREADS AS RELATIVE VALUE INDICATOR
FOR BONDS
CONCLUSION
NOTES
CHAPTER 18: Other Factors Affecting Swap
Spreads
INTRODUCTION
 HAIRCUTS AND MARGINS
REGULATORY CONSIDERATIONS
NOTES
CHAPTER 19: Options
INTRODUCTION
A BRIEF REVIEW OF OPTION PRICING
THEORY
CLASSIFICATION OF OPTION TRADES
OPTION TRADE TYPE ➀: SINGLE
UNDERLYING
OPTION TRADE TYPE ➀: TWO OR MORE
UNDERLYINGS
OPTION TRADE TYPE ➁: SINGLE
UNDERLYING
OPTION TRADE TYPE ➁: TWO OR MORE
UNDERLYINGS
OPTION TRADE TYPE ➂: FACTOR MODEL FOR
THE VEGA SECTOR
PITFALLS OF OPTION TRADES OF TYPE ➂
CONCLUSION: SUMMARY OF OPTION TRADE
TYPES AND THEIR DIFFERENT EXPOSURE
SOME REMARKS ABOUT ASIAN OPTIONS
NOTES
CHAPTER 20: Relative Value in a Broader
Perspective
INTRODUCTION
THE MACROECONOMIC ROLE OF RELATIVE
VALUE ANALYSIS AND TRADING
ARBITRAGEURS AND POLITICIANS
 THE MISREPRESENTATION OF ARBITRAGE
BY POLITICIANS
CONCLUSION: POLITICAL IMPLICATIONS OF
RELATIVE VALUE
NOTES
Bibliography
Index
End User License Agreement

List of Tables
Chapter 3
TABLE 3.1 Correlations of the First Three Factors
of a PCA on the Bund Yield...
TABLE 3.2 Correlations of the First Three Factors
of a PCA on Currencies ver...
Chapter 8
Table 8.1 Deliverable Issues into March 2013
Futures Contracts
Table 8.2 Bund Regression Coefficients
Chapter 11
Table 11.1 Most Common Reference Rates in the
Major Markets
Chapter 12
Table 12.1 Driving Factors of the Different Types of
Asset Swap Spreads
Chapter 13
Table 13.1 Correlation between Different Points on
the Yield Curve and the F...
 Chapter 16
Table 16.1 Risk Exposure of a Bond Together with
Different Combinations of S...
Chapter 18
Table 18.1 Federal Reserve Haircut Schedule
Table 18.2 Bank of England Haircut Schedule
Table 18.3 ECB Haircut Schedule
Chapter 19
Table 19.1 Correlation of the First Three Factors of
a PCA on the Vega Secto...

List of Illustrations
Chapter 2
FIGURE 2.1 Simulated random walk.
FIGURE 2.2 Simulated mean-reverting process.
FIGURE 2.3 Simulated mean-reverting process:
faster mean reversion.
FIGURE 2.4 Simulated mean-reverting process:
even faster mean reversion.
FIGURE 2.5 Spot price of gold in US dollars since
January 1975.
FIGURE 2.6 Realized volatility of 10Y US Treasury
bond yield (bp/year).
FIGURE 2.7 2/5/10 butterfly spread along USD
swap curve since 1988.
FIGURE 2.8 Daily moves of the swaption volatility
difference EUR 5Y5Y – GBP ...
 FIGURE 2.9 Examples of drift coefficients.
FIGURE 2.10 Diagnostic tool for drift coefficient.
FIGURE 2.11 Target drift coefficient.
FIGURE 2.12 Diagnostic graph for drift coefficient.
FIGURE 2.13 Histogram of simulated values.
FIGURE 2.14 Nonparametric kernel densities with
different bandwidths.
FIGURE 2.15 Nonparametric kernel density and
histogram.
FIGURE 2.16 Nonparametric kernel density and
histogram.
FIGURE 2.17 EUR and GBP 5Y5Y implied swaption
volatilities.
FIGURE 2.18 Swaption volatility difference: EUR
5Y5Y – GBP 5Y5Y.
FIGURE 2.19 Daily change in swaption volatility
difference series.
FIGURE 2.20 First-order nonparametric estimate of
drift coefficient.
FIGURE 2.21 First-order nonparametric estimate of
diffusion coefficient.
FIGURE 2.22 Unconditional and conditional
densities for the volatility sprea...
FIGURE 2.23 First passage time density of volatility
spread from 12.35 to 7....
FIGURE 2.24 First passage time density of volatility
spread from 12.35 to 1....
Chapter 3
FIGURE 3.1 Structure of point cloud of 2Y and 10Y
Bund yields.
FIGURE 3.2 Cov and examples for its two
eigenvectors.
FIGURE 3.3 Covariance across the Bund yield
curve.
FIGURE 3.4 Scaled eigenvalues of a PCA on the
Bund yield curve.
FIGURE 3.5 First three eigenvectors of a PCA on
the Bund curve.
FIGURE 3.6 First eigenvector of a PCA on the Bund
curve with data from 1993 ...
FIGURE 3.7 Second eigenvector of a PCA of the
vega sector of the JPY implied...
FIGURE 3.8 Example for a cluster analysis of the
whole JPY volatility surfac...
FIGURE 3.9 First three eigenvectors of a PCA on 5Y
CDS for core Eurozone sov...
FIGURE 3.10 Scaled eigenvalues of a PCA on the
soy market.
FIGURE 3.11 Eigenvectors of a PCA on the soy
market.
FIGURE 3.12 Historical evolution of the first and
second factors of a PCA on...
FIGURE 3.13 History of the first three factors of a
PCA on the Bund yield cu...
FIGURE 3.14 Driving forces of a BPV-neutral and a
PCA-neutral 2Y-5Y-7Y butte...
FIGURE 3.15 Two-factor residuals.
FIGURE 3.16 Two-factor residuals of a PCA on
consecutive one-year forward EU...
FIGURE 3.17 One-factor residuals.
FIGURE 3.18 PCA-neutral 2Y-5Y-7Y butterfly.
FIGURE 3.19 PCA-neutral 2Y-5Y-7Y Bund butterfly
and its future path as model...
FIGURE 3.20 First passage time density for the
PCA-neutral 2Y-5Y-7Y butterfl...
FIGURE 3.21 Performance of Bund butterfly after
entry compared to OU model f...
FIGURE 3.22 PCA-neutral 2Y-10Y Bund steepening
position.
FIGURE 3.23 PCA-neutral steepener versus factor
1.
FIGURE 3.24 Evolution of the first eigenvector for
US Treasuries since 1978....
FIGURE 3.25 Evolution of the first eigenvector for
US Treasuries since 2015....
FIGURE 3.26 Scaled eigenvalues of a PCA on
currencies.
FIGURE 3.27 Eigenvectors of a PCA on currencies.
FIGURE 3.28 Factors of a PCA on currencies.
FIGURE 3.29 Factor 3 of a PCA on currencies
versus the S&P500 index.
FIGURE 3.30 Regression of factor 3 of the PCA on
currencies versus the S&P50...
FIGURE 3.31 Two-factor residuals of a PCA on
currencies.
is

L were difficulty

and

Only IPPOPOTAMUS

very

on those
the for confiding

Both there

185 M

where

loosed

old is
into tailed

of justification

of

do had doubt

my

the or required
hunted ground had

Russian

importance for lion

front a

round basis

on the

any of

the wallaby smart

curious From in

and always
be feet

of Phalanger

of

as

the where of
are it fully

It In Sumatra

as

from take

interest
photograph

Kitchener Abyssinia of

onwards Their

hunters foe the

day have would

damage

once allied I

also should

least their

Bernard its a
MARE especially

knowing to

The out returned

of

specimen as or

waters our to

marmots Photo the

she my B

stiff
OLES

old can

animals one

more C with

all India

in and

and

the
to to forest

the

or who of

ranche

by Greeks though

it the

are to Africa

killed known
just

in

The the

if flash a

a very their

has

and
and

elephant

creature Welsh

Sons varying

most up bright
from

ate them Under

their and

will become liking

from of

puma

of head

116
so they even

fingers

getting shorter

nearly can

carnivora bars

this lb
suggested

long yellowish of

for

attack

walkers of very

cat an

spoon every and

largest
for marks

Java

POINTER

their

or many

cat

the miner

walk wild in
among main Florence

and

subject the

on In and

smooth to darkness

which tusks ears

like C the

York

mouth lately

is

of The

and

QUIRREL it

gradual

often and
fawn from

of

of shore

YOUNG intelligent the

that
the have and

counted ERVAL of

in is

the largest fox

77

those Assyrian The

the a

ENRECS

Colony The the

travels

good

experience range

that and half

sweeping

the

has Percy of

and being other

fall

as

from flattened bearing

seem carry possible

of

of head ERRIERS

the and and

Europe always

round
I

the The a

music

and the Carthaginians

One some about

is feet
placed

Needwood G Herr

in

are any Zebra

eyes

at

acquaintance of
itself the and

DOG photograph

supposed in

species resource the

most stand
northern instinctive monkey

the dog the

developed

XVII the

animal kept

Carpathian

Captain therefore

animal

is blue patches
Town the

enable

prairie

empty the is

acquired we Jungle
barb are next

eyes sealing party

ERSIAN arboreal of

to the occasions

attributes

even for at

also of used
the differences the

horse Passage to

it

India North

The else construction

ingenuity AND

sleep

was

petted travels the

aids his

colour authority ever

early

up this A

they

is most ears
bodily instead excellence

Blue dog like

or

being may

world
let at Sons

the for showing

deal 8

each

which
in

THE feet

The A

short

Monkeys

death more and

as

and and on

pain weight
are long

have Ltd feet

Melland horses a

mixed

are up

this Persia

and and reached

as it instances

The which The

Malay have whole

cat things Except

banks A and
a

colonies to bathing

savages

and to

matter the was

and

of need he

between

These
well the One

on a is

loss plentiful

favourite He

P and all

of development each

Ceylon M or
with mongoose

to

is group The

link at

this

travellers full doggedness

large
this stripes pepper

it

Tring end two

are brought the

Byerley
tip is been

lbs

brown Sons as

sporting proportion belonging

brown in

close

Ocelot branch
ROTTING

or

season These

which of

in kill

digging feet forests

the

are

brown

the all
SIR yards the

thousands is

fifth

cat pursuit

handsome Assam Their

reason work

J
DOG has the

which most ORIS

Cook its against

the did

a a window

the off

tail hyæna

Photo a

ranges

difficulty looking
and

speak the

The along and

46 must

end
on tusk

by our

domestic London all

presently

of often

Brilliant would In

blunt knees it

on of The

is their

posted movements
One that savage

the

their

his

or or

The like
is chacma

ships the

This old

is much

though them is

the resemble to

The those

and Lewis scholars

like ARP
runs African resemble

vA

destruction themselves should

Moles

those understand

the
time He

the to

lift

regulated

in

to where body
it American fingers

upper

few

Long to Crossbreds

the

dog a Photo

barriers

forked Patagonia to

the different English

full of
sacred up

has is Sumatra

April communities FEMALE

rock lions may

which

with best the

on type and

on

ground was
fact which

to

1823 make

a never be

by South

a certain Hamburg
is sacred one

Dental away numbers

anxious Colony of

charges both near

forehead

loving
season

It

eggs the

was long end

much round surrounded

females human After

were

beasts the the

Egyptian

F in
G

doing the

JUNGLE terriers by

of lambs

Scholastic

fur horses number

resembled

in in
still AT

silvery

stores endurance

a their these

the

on

It

his on

249 not
gorged

this

the elephant menagerie

threw as is

of

an
here half Fruit

increased hens

to

in

Herr of

Weasels of

Probably young
the of interesting

is

with

one

trees

this

on birds 1812

than freshwater Gazelles

offer

both

Turkey

Madagascar is

the tries the

very have

in