Index
Page numbers in bold refer to entries in the Glossary
acceptors, bills of exchange
accrued coupons, 2nd
accrued interest, 2nd
acquisitions, 2nd, 3rd
all-or-nothing options see binary options
American options, 2nd, 3rd, 4th, 5th
American Stock Exchange (ASE)
amortising
amortising bonds, 2nd
amortising swaps
Amsterdam Stock Exchange (ASE)
analytical (arbitrage-free) model
analytical pricing models, 2nd
AND operation see multiplication rule
annual percentage rates (APR), 2nd, 3rd
application developers
appreciation
APR see annual percentage rates
arbitrage
arbitrage-free model, 2nd
arbitrage trades, 2nd, 3rd
arbitrageurs, 2nd
ASE (American Stock Exchange)
ASE (Amsterdam Stock Exchange)
Asia/Pacific region
derivatives exchanges
Asian options, 2nd
asking prices
assessments
credit risks
market risks
asset-backed securities, 2nd, 3rd, 4th, 5th
asset swaps, 2nd
assets
average rate options (Asian options), 2nd
average strike options, 2nd
BA (bankers’ acceptances), 2nd
back office structures
backwardation, 2nd
balance sheet instruments, 2nd
balance sheet securities
bankers’ acceptances (BA), 2nd
bankruptcy
banks, credit derivatives users
barrier options, 2nd
base currencies, 2nd, 3rd
basis
basis curves, 2nd
basis points, 2nd
basis risks
basis swaps, 2nd, 3rd
basket options, 2nd
bear markets
bear spreads, 2nd, 3rd
bearer bonds
bearer form, 2nd
bearer securities
bearish option strategies, 2nd, 3rd
benefits, options contracts
Bermudan options, 2nd, 3rd
betas, 2nd
better performance bond options, 2nd
BGM (Brace–Gaterek–Musiela) model
bid/offer spreads
bid prices
bilateral contracts, credit derivatives
bills of exchange, 2nd
binary options, 2nd, 3rd
binomial distributions, 2nd, 3rd
binomial probability function
binomial trees, 2nd, 3rd, 4th, 5th, 6th
Black and Karasinski model
Black, Derman and Toy model
Black model, 2nd, 3rd, 4th, 5th
Black–Scholes model, 2nd, 3rd
bond options pricing and
convertible bonds
European options
interest rate caps
interest rate floors
options pricing, 2nd, 3rd
single stock options
stock index options
bonds
amortising
asset-backed securities
bearer
callable, 2nd, 3rd
conversion factors
convertible see convertible bonds
credit derivatives
credit risks
definition
deliverable, 2nd
derivatives, 2nd
derivatives markets
domestic
dual currency, 2nd
duration
Eurobonds
fixed-coupon
floating rate notes (FRN)
foreign
forward prices
futures, 2nd, 3rd, 4th
Government-issued
index-linked
longer dated
lower coupon
lower yield
market risks
meaning
notional
options, 2nd, 3rd, 4th
perpetual, 2nd
pricing
accrued coupon
analytical methods
convexity adjustments
coupon dates
duration
ex-dividend or ex-coupon
formulae
at inception
no-arbitrage models
yields and prices relationships
puttable, 2nd, 3rd
repos (repurchase agreements) see repos
risk/return measures
strips
yields, 2nd, 3rd, 4th
zero-coupon
bootstrapping
historical simulation, VAR
swap strips
borrowers
collars
repos
boxes, 2nd
Brace–Gaterek–Musiela (BGM) model
Brennan and Schwartz model
brokers
bull markets
bull spreads, 2nd, 3rd
bullish option strategies, 2nd, 3rd
butterflies, 2nd
buy sides
buyers, protection
CAC 40:
calendar spreads
call options see options
callable bonds, 2nd, 3rd
capital markets (CM)
divisions
instruments, 2nd
see also bonds
products, 2nd
capital performance, equity swaps
caplets
capped floaters, 2nd
caps
energy
interest rate, 2nd, 3rd, 4th, 5th
options on see captions
captions, 2nd
cash deposits
yield curves construction, 2nd, 3rd, 4th, 5th
cash markets
cash settlements, 2nd
cashflow analysis
CBOE (Chicago Board of Options Exchange)
CBOT (Chicago Board of Trade), 2nd
CD see certificates of deposit
cdf (cumulative distributions function)
CDO (collateralised debt obligations), 2nd, 3rd
CDO (credit default options)
CDS see credit default swaps
certificates of deposit (CD), 2nd, 3rd, 4th
cheapest to deliver (CTD), 2nd
chi-square (–2) distribution
Chicago Board of Options Exchange (CBOE)
Chicago Board of Trade (CBOT), 2nd
Chicago Mercantile Exchange (CME), 2nd
chooser options, 2nd
clean prices, 2nd, 3rd
clearing houses
client marketing
cliquet options, 2nd
CLN (credit linked notes), 2nd
CM see capital markets
CMCDS (constant maturity credit default swaps), 2nd
CME (Chicago Mercantile Exchange), 2nd
CMO (collateralised mortgage obligations), 2nd
CMS/CMT (constant maturity swaps/constant maturity treasury) swaps
collared floaters, 2nd
collars
borrowers ’
energy
interest rates, 2nd, 3rd, 4th, 5th
lenders ’
zero-cost, 2nd
collateral
collateral risks
collateralised debt obligations (CDO), 2nd, 3rd
collateralised mortgage obligations (CMO), 2nd
combinations
commercial-backed securities
commercial paper (CP), 2nd
commodities
derivatives
background
credit risks
energy, 2nd, 3rd
product range
market risks
quantitative analytics
futures, exchanged-traded
options, 2nd
swaps, OTC
Compagnie des Agents de Change (CAC 40)
complex trades
compliance
compound interest, 2nd
compounding frequencies
constant maturity credit default swaps (CMCDS), 2nd
constant maturity swaps/constant maturity treasury (CMS/CMT) swaps
constant proportion debt obligations (CPDO)
contango, 2nd
contingent credit default swaps, 2nd
contingent options, 2nd
contingent payments, credit default swaps
continuous compounding, 2nd, 3rd
continuous distributions
contracts
credit derivatives
financial futures
options
control variates, 2nd, 3rd
controls
credit risks
market risks
convenience yields, energy derivatives
conversion factors, 2nd
conversions, 2nd
convertible bonds, 2nd, 3rd
convexity, 2nd, 3rd, 4th
corporate restructurings, 2nd
corporate treasury
cost of carry, 2nd
counterparties
counterparty risks, 2nd
country risks, 2nd
coupon-bearing securities
coupons
accrued, 2nd
dates
fixed
floating
index-linked bonds
swaps, 2nd, 3rd
zero-coupon bonds
covenants, credit risk management
covered calls, 2nd
covered puts, 2nd
Cox, Ingersoll and Ross model
CP (commercial paper), 2nd
CPDO (constant proportion debt obligations)
credit default options (CDO)
credit default swaps (CDS), 2nd, 3rd, 4th, 5th
credit default swaptions
credit defaults
credit derivatives, 2nd
bilateral contracts
credit events applying
credit risks, 2nd
funded, 2nd
hedgers
introduction to
market risks
money market products
OTC
pricing
product range
quantitative analytics
reference entities
speculators
underlyings
unfunded
users, 2nd
see also mortgage derivatives
credit events, 2nd, 3rd
credit exposures
credit insurance
credit limits, 2nd
credit linked notes (CLN), 2nd
credit ratings, 2nd
credit risks, 2nd
assessments
bonds
capital market products
commodity derivatives
controls
counterparty risks
credit derivatives
equity derivatives
exchange-traded products
foreign exchange instruments
forward rate agreements
management, 2nd
money market products
options
OTC financial securities
product risks
recognition
swaps
credit scoring
credit spread options (CSO), 2nd, 3rd
credit spread swaps, 2nd, 3rd
creditworthiness
cross-currency basis swaps
cross-currency coupon swaps
cross-currency options, 2nd, 3rd, 4th
cross-currency securities
cross-rates see foreign exchange
crossover method, convertible bonds
CSO (credit spread options), 2nd, 3rd
CTD (cheapest to deliver), 2nd
cumulative distributions function (cdf)
currency codes
currency options, 2nd, 3rd
currency swaps, 2nd, 3rd, 4th
current yields, 2nd
customer risks, 2nd
cylinders, 2nd, 3rd
database administrators
DAX (Deutsche Aktien Index)
deal origination, 2nd
debt financed acquisitions, 2nd
debt markets, hybrid instruments
debt obligations, 2nd, 3rd
debt structuring, 2nd
delayed options, 2nd
delayed reset floaters, 2nd
deliverable bonds, 2nd
delta, 2nd, 3rd
dependent events, 2nd
deposits
cash see cash deposits
certificates of deposit see certificates of deposit
time, 2nd
depreciation
derivatives
bonds
commodity see commodities
credit see credit derivatives
energy, 2nd, 3rd
equity see equities
exchange-traded
exchanges
interest rate see interest rates
markets, 2nd
multiple settlements
OTC, 2nd
securities
single settlements
users
Deutsche Aktien Index (DAX)
Deutsche Terminbörse (DTB)
DF see discount factors
diagonal bear spreads, 2nd
diagonal bull spreads, 2nd
diagonal spreads, 2nd, 3rd, 4th
digital options see binary options
direct foreign exchange rates, 2nd, 3rd
directional trades, 2nd, 3rd, 4th
dirty prices, 2nd, 3rd
discount factors (DF), 2nd
formulae
interest rate swaps
yield curves, 2nd
discount instruments
formulae
pricing
discounts
bills of exchange
commercial paper
forward exchange rates
treasury bills
discrete distributions
distribution
diversification, credit risk management
divestitures/divestments, 2nd
dividend-paying stock options, 2nd, 3rd, 4th
dividends, 2nd
income, equity swaps
pricing model, convertible bonds
yields
DJIA (Dow Jones Industrial Average)
domestic bonds
Dow Jones Industrial Average (DJIA)
Dow Jones options
drawers, bills of exchange
DTB (Deutsche Terminbörse)
dual currency bonds, 2nd
dual observation issue
duration, 2nd, 3rd
dynamic credit default swaps, 2nd
EDSP (Exchange Delivery Settlement Price), 2nd, 3rd
effective interest rates, 2nd
energy
caps
collars
derivatives, 2nd, 3rd
futures, 2nd, 3rd
options, 2nd
swaps, 2nd
entire yield curve models
equilibrium models
equities
baskets, mathematical models
derivatives
credit risks
formulae
market risks
maturities
motivations for trading
OTC
product range
quantitative analytics
values
futures
indices, 2nd, 3rd
futures, 2nd, 3rd
options, 2nd, 3rd, 4th
swaps, 2nd, 3rd, 4th, 5th
swaptions
markets
financial derivatives
hybrid instruments
options
swaps, 2nd
see also shares; stocks and entries beginning with stock
equity capital markets departments
EUREX (European Derivatives Exchange)
Eurobonds
Eurocurrencies
European Derivatives Exchange (EUREX)
European options, 2nd, 3rd, 4th, 5th
European Union
derivatives exchanges
ex-coupon, bond pricing
ex-dividend, 2nd, 3rd
Exchange Delivery Settlement Price (EDSP), 2nd, 3rd
exchange rates
see also forward exchange rates
exchange-traded
exchange-traded commodity futures
exchange-traded commodity options
exchange-traded derivatives
exchange-traded options
exchange-traded products, credit risks
exchanges, derivatives
exercise
exercise prices
exotic OTC options
exotic products, pricing models
exotic trades
expiry
expiry dates, options
exposures
foreign indices, equity index swaps
interest rate derivatives
limit policies, market risks
extrapolation
face values
fair values, financial futures
financial control
financial derivatives
bond derivatives, 2nd
commodity derivatives see commodities
credit derivatives see credit derivatives
derivatives see derivatives
equity markets
financial futures see financial futures
foreign exchange see foreign exchange
forward rate agreements see forward rate agreements
futures see futures
hybrid securities, 2nd
options see options
OTC derivatives, 2nd
swaps see swaps
financial futures, 2nd, 3rd
contracts
fair values
formulae
forward rate agreements and, differences between
initial margins
margin payments
market
market risks
prices, 2nd
settlement prices, 2nd
stacks
strips
theoretical basis
trading
valuations
variation margins
financial instruments
yield curves construction choice
financial modelling, 2nd, 3rd
financial restructurings
Financial Times Ordinary Shares Index (FT 30)
Financial Times – Stock Exchange 100 Index (FTSE 100)
finite difference methods, 2nd
first to default credit default swaps, 2nd
fixed coupons
fixed–fixed currency swaps
fixed–floating currency swaps
fixed income capital markets departments
fixed legs, swaps, 2nd
fixed rates
flat yields, 2nd
floaters
capped, 2nd
collared, 2nd
delayed reset, 2nd
floating coupons
floating–floating currency swaps
floating legs, swaps, 2nd, 3rd
floating rate notes (FRN), 2nd
reverse see reverse floating rate notes
floating rates
floorptions, 2nd
floors, 2nd
interest rate see interest rates
flotations
foreign bonds
foreign exchange (FX)
base currencies, 2nd, 3rd
cross-rates, 2nd, 3rd
forward swaps, 2nd
forwards, 2nd, 3rd, 4th
derivatives, quantitative analytics
direct rates, 2nd, 3rd
formulae
forward rates see forward exchange rates
indirect rates
instruments, 2nd
options
spot rates see spot rates
swaps
tables
variable currencies, 2nd, 3rd
see also entries beginning with cross-currency, currency and forward
foreign indices exposures, equity index swaps
forward bond prices
forward exchange rates, 2nd
cross-rates, 2nd, 3rd, 4th
direct rates
discounts
outrights, 2nd, 3rd, 4th
premiums
swaps, 2nd, 3rd
forward–forwards
forward rate agreements (FRA), 2nd, 3rd, 4th
credit risks
financial
financial futures and, differences between
interest rate, 2nd, 3rd
market risks
prices, 2nd
rate formula
settlement prices, 2nd
stacks
strips
valuations
forward rates, no-arbitrage models
forward-start swaps, 2nd
forward swaps formulae
forwards
FRA see forward rate agreements
France
derivatives exchanges
equity indices
France Futures and Options Exchange (MATIF)
friendly acquisitions
FRN see floating rate notes
front office structures
FT 30 index
FTSE 100 futures
FTSE 100 Index
FTSE 100 options
FTSE Eurobloc futures
funded credit derivatives, 2nd
future values (FV), 2nd
future volatility, 2nd
futures
bonds, 2nd, 3rd, 4th
definition
discount factors, yield curves
energy, 2nd, 3rd
equity
equity index, 2nd, 3rd
financial see financial futures
FTSE 100:
FTSE Eurobloc
interest rate see interest rates
long
meaning
options on, 2nd
Black–Scholes
formulae, 2nd
margined premiums, 2nd, 3rd
up-front premiums, 2nd, 3rd
prices, 2nd, 3rd
put–call parity
settlements, pricing formulae
stock index
strip rate formula
synthetic long
FV (future values), 2nd
FX see foreign exchange
gamma, 2nd, 3rd
Garman–Kohlhagen model
gearing
geometric interpolation, 2nd
Germany
derivatives exchanges
equity indices
gilts
graphical representations, yield curves
Greeks, 2nd, 3rd
gross redemption yields (GRY), 2nd
guarantees, interest rate, 2nd
Hang Seng Index
Heath-Jarrow and Morton model
hedge ratios, 2nd, 3rd
hedgers
credit derivatives
derivative users
options
swaps
hedging
histograms
historic volatility, 2nd
historical simulation (bootstrapping), VAR
historical VAR measurement
HKFE (Hong Kong Futures Exchange)
Ho and Lee model
holders, options, 2nd
Hong Kong
equity indices
Futures Exchange (HKFE)
horizontal shifts
horizontal spreads, 2nd, 3rd
hostile acquisitions
Hull and White model
humped yield curves
hybrid securities, 2nd
IMM dates
IMM FRAs, yield curves construction
implied volatility, 2nd
in the money (ITM), 2nd, 3rd
inception, bond pricing at
income enhancement, equity index swaps
independent events, 2nd
independent pricing
index-linked bonds
index multipliers, 2nd
index trackers
indices
equities see equities
stocks
indirect rates
initial margins, 2nd
initial public offerings (IPO), 2nd
instantaneous short-term rates
insurance, credit
interest
accrued, 2nd
compound, 2nd
continuous compounding, 2nd, 3rd
rates see interest rates
simple, 2nd
interest only stripped mortgage-backed securities
interest rates
annual percentage rates (APR), 2nd, 3rd
caps see caps
collars see collars
cylinders
derivatives
exposures
maturities
multiple settlements
pricing
product range
quantitative analytics
settlement types
single settlements
effective rates, 2nd
exposure
floating
floors, 2nd, 3rd, 4th, 5th
FRAs, 2nd, 3rd
futures
exposures
yield curves construction, 2nd, 3rd
guarantees, 2nd
high, 2nd
low, 2nd
nominal, 2nd, 3rd
options, 2nd, 3rd, 4th, 5th, 6th
reinvestment, 2nd, 3rd
risk-free
swaps (IRS), 2nd
exposures
fixed legs
floating legs
formulae
long-term
pricing
rates, 2nd
settlement types, 2nd
short-term, 2nd
yield curves construction, 2nd, 3rd
swaptions, 2nd
trees, 2nd
volatile, 2nd
internal rate of return (IRR), 2nd, 3rd
internal VAR models
International Money Market see entries beginning with IMM
International Petroleum Exchange (IPE), 2nd
interpolation, 2nd, 3rd
intrinsic values, 2nd
inverted yield curves
investment banks
divisions
organisational structures
IPE (International Petroleum Exchange), 2nd
IPO (initial public offerings), 2nd
IRR (internal rate of return), 2nd, 3rd
IRS (interest rate swaps) see interest rates
ISO currency codes
IT departments
iteration, 2nd
ITM (in-the-money options), 2nd, 3rd
Japan
derivatives exchanges
equity indices
Japanese gross redemption yields (JGRY)
joint probability, 2nd
kappa see vega
knock-in-out options, 2nd
ladder options, 2nd
legs, swaps see swaps
lenders
collars
repos
leveraged and acquisition finance departments, 2nd
leveraged buyouts, 2nd
liabilities
Libid
Libor (London Interbank Offered Rate), 2nd
Libor in arrears swaps
LIFFE (London International Financial Futures and Options Exchange, 2nd
Limean
liquidity preference theory
LME (London Metal Exchange)
log linear (geometric) interpolation, 2nd
log-normal distribution, 2nd, 3rd, 4th
London Interbank Offered Rate (Libor), 2nd
London International Financial Futures and Options Exchange (LIFFE), 2nd
London Metal Exchange (LME)
long butterflies
long call options see options: call
long futures
long positions
long put options see options: put
long straddles
long strangles
long-term currency swaps, valuation
long-term interest rate swaps
long-term investments, 2nd
longer dated bonds
Longstaff and Schwartz model
look-back options, 2nd
lower coupon bonds
lower yield bonds
M&A divisions
Macaulay duration, 2nd, 3rd
Marché à Terme International de France (MATIF)
margined premiums, 2nd, 3rd
margins, 2nd
market makers
market models
market risks
assessments
balance sheet vs. off-balance sheet instruments
bonds
capital market products
commodity derivatives
controls
credit derivatives
departments
equity derivatives
exposure limit policies
financial futures
foreign exchange instruments
forward rate agreements
management, 2nd
money market products
options
recognition
swaps
value at risk (VAR)
markets
derivatives, 2nd
energy derivatives
equities, 2nd
financial futures
swaps
marking to market, 2nd
Markov models
MATIF (France Futures and Options Exchange)
maturities
equity derivatives
interest rate derivatives
options
MD (modified duration), 2nd
means, 2nd, 3rd
medians, 2nd, 3rd
mergers, 2nd
mergers and acquisitions (M&A) divisions
middle office structures
modes, 2nd, 3rd
modified duration (MD), 2nd
money markets
deposits, pricing, analytical methods
products
calculations, 2nd
cashflow analysis
credit derivatives
credit risks
market risks
nominal and effective rates
overview
pricing calculations
time value of money
Monte Carlo simulation, 2nd
Moody’s credit ratings
mortgage-backed securities, 2nd
mortgage derivatives, 2nd
see also collateralised mortgage obligations
mortgages
motivations for trading
equity derivatives
options
see also arbitrage trades; directional trades; volatility trades
multi-factor options
multiple settlements, 2nd
multiplication rule, probability, 2nd
naked options
NASDAQ
negotiable securities
net present values (NPV), 2nd, 3rd
Netherlands
derivatives exchanges
netting, swaps
network engineers
neutral option strategies, 2nd
New York Mercantile Exchange (NYMEX), 2nd
New York Stock Exchange (NYSE) Composite Index
Nikkei 225 Index
no-arbitrage models, 2nd
nominal amounts
nominal interest rates, 2nd, 3rd
non-Markov models
non-traded market risks
normal distribution, 2nd, 3rd, 4th
normal yield curves
notional
notional bonds
NPV (net present values), 2nd, 3rd
numerical pricing models, 2nd
NYMEX (New York Mercantile Exchange), 2nd
NYSE (New York Stock Exchange) Composite Index
obligation acceleration
off-balance sheet instruments, 2nd, 3rd, 4th, 5th
offers
one-factor pricing models
one-month yield curves, 2nd
one touch options see binary options
open outcry
operations divisions
option pricing model, convertible bonds
Option Greeks, 2nd, 3rd
options
American see American options
Asian, 2nd
at-the-money (ATM), 2nd, 3rd
average rate (Asian options), 2nd
average strike, 2nd
barrier, 2nd
basket, 2nd
Bermudan, 2nd, 3rd
better performance bond, 2nd
binary, 2nd, 3rd
bonds, 2nd, 3rd, 4th
call, 2nd
covered
long, 2nd, 3rd, 4th, 5th
put–call parity
short, 2nd, 3rd, 4th, 5th
synthetic long, 2nd
synthetic short, 2nd
on caps (captions), 2nd
characteristics formulae
chooser, 2nd
cliquet, 2nd
commodity, 2nd
contingent, 2nd
contracts
convertible bonds
credit default
credit risks
credit spread (CSO), 2nd, 3rd
currency see currency options
definition
delayed, 2nd
digital see binary above
on dividend-paying stocks see dividend-paying stock options
Dow Jones
energy, 2nd
equity index see equities: indices
equity
European see European options
exchange-traded
exotic OTC
expiry dates
on floors (floorptions), 2nd
foreign exchange
formulae
FTSE 100:
future volatility
on futures see futures
hedgers
historic volatility
holders, 2nd
implied volatility
in-the-money (ITM), 2nd, 3rd
interest rate see interest rates: options
intrinsic values
knock-in or knock out, 2nd
ladder, 2nd
look-back, 2nd
market risks
maturity
meaning
multi-factor
naked
one touch see binary above
OTC, 2nd
out-of-the-money (OTM), 2nd, 3rd
outperformance, 2nd
path-dependent, 2nd
physically settled see physically settled options
premiums, 2nd, 3rd, 4th, 5th
pricing
binomial trees
Black model, 2nd
Black–Scholes model, 2nd, 3rd
formulae
practical implementation
put–call parity
put, 2nd
covered
long, 2nd, 3rd, 4th, 5th
put–call parity
short, 2nd, 3rd, 4th, 5th
synthetic long, 2nd
synthetic short, 2nd
quanto, 2nd
rainbow, 2nd
ratchet, 2nd
rate spread, 2nd
shout, 2nd
single stock see single stock options
speculators
spread options, 2nd, 3rd
stock, 2nd, 3rd
stock index, 2nd, 3rd
strategies
arbitrage trades, 2nd, 3rd
bearish, 2nd, 3rd
bullish, 2nd, 3rd
directional trades, 2nd, 3rd
neutral, 2nd
volatility trades, 2nd, 3rd
strike prices, 2nd
strike rates
time values, 2nd
trading motivations
trigger
types, 2nd
underlyings, 2nd
value sensitivities, 2nd
variations on standard specifications
volatility
writers, 2nd
OR operation see summation rule
organisational structures
OTC
commodity swaps
credit derivatives
derivatives, 2nd
energy swaps
equity derivatives
financial securities, credit risks
options, 2nd
out-of-the-money (OTM) options, 2nd, 3rd
outperformance options, 2nd
outrights, 2nd, 3rd
over the counter see OTC
par
parametric VAR measurement
path-dependent options, 2nd
payments
contingent, credit default swaps
failures
pdf (probability density function)
perpetual bonds, 2nd
physically settled options, 2nd, 3rd, 4th, 5th
pitch books
Poisson distribution
portfolio beta formulae
portfolio credit default swaps
portfolio duration, 2nd
portfolio management, equity index swaps
preferred habitat theory
premiums
callable bonds
forward exchange rates
margined, 2nd, 3rd
options see options
puttable bonds
up-front, 2nd, 3rd
present values (PV), 2nd
of basis points (PVBP)
PV 01
yield curves
see also net present values
pricing
American options
bond futures
bond options
bonds see bonds
callable bonds
convertible bonds
credit derivatives
currency swaps
energy derivatives
energy options
energy swaps
equity index swaps
European options
financial futures, 2nd
formulae
forward rate agreements, 2nd
independent
interest rate caps
interest rate floors
interest rate swaps
models
analytical, 2nd
binomial trees, 2nd
Black and Karasinski model
Black, Derman and Toy model
Black model
Black–Scholes model
Brace–Gaterek–Musiela (BGM) model
Brennan and Schwartz model
classification
Cox, Ingersoll and Ross model
entire yield curve models
equilibrium models
exotic products
finite difference methods, 2nd
Garman–Kohlhagen model
Heath-Jarrow and Morton model
Ho and Lee model
Hull and White model
interest rate trees, 2nd
Longstaff and Schwartz model
market models
Markov models
Monte Carlo simulation, 2nd
no-arbitrage models
non-Markov models
numerical
one-factor models
Rendleman and Bartter model
Roll–Geske–Whaley model
short rate models
simple pricing equations
trinomial trees, 2nd
two-factor models
vanilla product models
Vasicek model
money market products
options see options
puttable bonds
repos
risk-based, credit risk management
stock index futures
swaps, 2nd
swaptions
tools
formulae
probability and statistics
quantitative analytics
yield curves
see also valuations
primary currency legs
primary markets
principal exposures
principal only stripped mortgage-backed securities
probability
definition
density function (pdf)
dependent events
distributions
binomial, 2nd
binomial trees
chi-square (χ2)
concept of
continuous
cumulative function (cdf)
discrete
formulae
log-normal, 2nd, 3rd, 4th
means, 2nd
medians, 2nd
modes, 2nd
normal, 2nd, 3rd, 4th
options
parameters
Poisson
range
standard deviation, 2nd, 3rd
student’s t
types
formulae
independent events
joint, 2nd
main concepts
model, credit derivatives pricing
multiplication rule, 2nd
summation rule, 2nd
values
weighting, 2nd
product ranges
product risks
properties, duration
proposal pitching
proprietary traders
protection buyers
protection sellers
pull-to-par effect
pure expectation theory, yield curve shapes
put options see options
put–call parity, 2nd, 3rd, 4th
puttable bonds, 2nd, 3rd
PV see present values
PV 01
PVBP (present values of basis points)
qualitative VAR standards
quantitative analysts see quants
quantitative analytics, 2nd, 3rd
quantitative VAR standards
quanto options, 2nd
quanto swaps, 2nd
quants, 2nd, 3rd
rainbow options, 2nd
range, probability distributions
ratchet options, 2nd
rate spread options, 2nd
rates see foreign exchange; forward exchange rates; forward rate agreements; interest rates
ratio back spreads, 2nd
ratio spreads, 2nd
recapitalisations, 2nd
‘redeem’, meaning
redemption, 2nd
reference entities, credit derivatives
reinvestment rates, 2nd, 3rd
Rendleman and Bartter model
replacement risks
repos (repurchase agreements), 2nd, 3rd, 4th, 5th
research departments
reserve policies
restructurings, 2nd
retail price index (RPI) swaps
reversals, 2nd
reverse floating rate notes, 2nd
reverse repos, 2nd
rho, 2nd, 3rd
risk-based pricing
risk-free interest rates
risk-neutral pricing, 2nd, 3rd
risk/return measures, bonds
risks
management
credit risks
market risks
option contracts
Roll–Geske–Whaley model
rollover
rollover dates
RPI (retail price index) swaps
S&P 500 (Standard & Poor’s 500 Index)
sales and trading divisions, 2nd
sales desks
seasonality, energy derivatives
secondary currency legs
secondary markets
bonds
certificates of deposit
interest rate swaps valuations
secured loan credit default swaps
securities
asset-backed see asset-backed securities
bearer
derivatives
hybrid, 2nd
negotiable
securitisation, 2nd, 3rd, 4th
sell sides
sellers, protection
sequential pay tranches
settlement prices
financial futures, 2nd, 3rd
forward rate agreements, 2nd
settlement risks
settlement types, interest rate derivatives
shares, 2nd
portfolios
see also equities; stocks
short butterflies
short call options see options: call
short positions
short put options see options: put
short rate models, 2nd
short selling
short straddles
short strangles
short-term currency swaps, valuation
short-term interest rate swaps, 2nd
short-term investments, 2nd
shout options, 2nd
SIMEX (Singapore International Monetary Exchange), 2nd
simple bond dirty price formula
simple interest, 2nd
simple pricing equations
simple yields to maturity, 2nd
Singapore International Monetary Exchange (SIMEX), 2nd
single settlements, 2nd
single stock options, 2nd, 3rd, 4th
single tranche collateralised debt obligations
special purpose vehicles (SPV)
speculation
speculators
credit derivatives
derivative users
options
swaps
spot rates, 2nd, 3rd, 4th
spread options, 2nd, 3rd
spreads, 2nd
bear, 2nd, 3rd
bull, 2nd, 3rd
diagonal see diagonal spreads
horizontal, 2nd, 3rd
ratio, 2nd
vertical
SPV (special purpose vehicles)
stacks, 2nd, 3rd
Standard & Poor’s
500 Index (S&P 500)
credit ratings
standard deviation, 2nd, 3rd
standard log-normal distribution, 2nd
standard normal distribution
standard yield curves
standardised VAR models
statistics, probability see probability
steep yield curves
stochastic
stochastic simulation, VAR
stock betas, 2nd, 3rd
stock exchange brokers
stock exchanges
stock index futures
stock index options, 2nd, 3rd
stock markets, 2nd
stock options, 2nd, 3rd
see also dividend-paying stock options
stocks
baskets
indices
see also equities; shares
straddles, 2nd
strangles, 2nd
strategic restructurings
strategies, options see options
strategists
strike prices, options, 2nd
strike rates, options
stripped mortgage-backed securities
strips
bonds
financial futures
forward rate agreements
futures rate formula
interest rate caps
interest rate floors
swaps bootstrapping
structured finance products
structuring, 2nd
student’s t distribution
summation rule, 2nd
swap-linked notes, 2nd
swap options see swaptions
swaps
amortising
arbitrageurs
asset, 2nd
basis, 2nd
concepts and applications
constant maturity swaps/constant maturity treasury (CMS/CMT)
coupon, 2nd
credit default see credit default swaps
credit risks
credit spread, 2nd, 3rd
currency see currency swaps
definition
energy, 2nd
equity, 2nd
equity index see equities: indices
foreign exchange
forward exchange rates, 2nd, 3rd
forward-start, 2nd
hedgers
interest rate see interest rates: swaps
legs, 2nd, 3rd, 4th
Libor in arrears
market risks
markets
meaning
netting
pricing, 2nd
quanto, 2nd
retail price index (RPI)
speculators
strips, bootstrapping
total rate of return (TROR), 2nd, 3rd
total return
types
vanilla
swaptions, 2nd, 3rd
credit default
equity index
interest rate, 2nd
pricing
SWIFT currency codes
synthetic collateralised debt obligations
synthetic long calls, 2nd
synthetic long futures
synthetic long puts, 2nd
synthetic longs, 2nd
synthetic short calls, 2nd
synthetic short puts, 2nd
synthetic shorts, 2nd
synthetic stock market investments
synthetic transactions
systems analysts
systems developers
T-Bills, 2nd
t distribution
takeovers, 2nd, 3rd
technology (IT) divisions
tenors
TGE (Tokyo Grain Exchange)
theoretical basis, financial futures
theta, 2nd, 3rd
third parties, credit default swaps
three-month yield curves, 2nd
ticks, 2nd
Tiffe (Tokyo International Financial Futures Exchange)
time deposits, 2nd
time value of money, 2nd, 3rd, 4th
time values, options, 2nd
Tokyo Grain Exchange (TGE)
Tokyo International Financial Futures Exchange (Tiffe)
total rate of return (TROR) swaps, 2nd, 3rd
total return swaps
traders, 2nd, 3rd
trades
arbitrage, 2nd, 3rd
complex
directional see directional trades
exotic
volatility see volatility trades
volume-driven
trading, 2nd
desks
financial futures
motivations for see motivations for trading
options motivations
transfer risks, 2nd
Treasury bills (T-Bills), 2nd
trigger options
trinomial distribution
trinomial trees, 2nd
TROR see total rate of return swaps
two-factor pricing models
underlyings
credit derivatives
options, 2nd
underwriting, 2nd
unfunded credit derivatives
United Kingdom
derivatives exchanges
equity indices
United States
derivatives exchanges
equity indices
up-front premiums, 2nd, 3rd
valuations
convertible bonds
currency swaps
equity index swaps
equity swaps
financial futures
forward rate agreements
interest rate swaps
tools
formulae
probability and statistics
quantitative analytics
yield curves
see also pricing
value at risk (VAR), 2nd
value dates
value sensitivities, options, 2nd
values
equity derivatives
intrinsic, 2nd
probability
vanilla product models
vanilla swaps
VAR (value at risk), 2nd
variable currencies, 2nd, 3rd
variances
variation margins
Vasicek model
vega, 2nd, 3rd
vertical shifts
vertical spreads, 2nd
volatile interest rates, 2nd
volatility, 2nd
volatility trades, 2nd, 3rd, 4th
volume-driven trades
web developers
writers, options, 2nd
yield curves, 2nd
basis curves, 2nd
construction
basis curves
bootstrapping swap strips
cash deposits, 2nd, 3rd, 4th, 5th
financial instruments choice
IMM FRAs
interest rate futures, 2nd, 3rd
interest rate swaps, 2nd, 3rd
interpolation methods, 2nd
log linear (geometric) interpolation, 2nd
methodology
one-month curves
three-month curves
zero-rate linear interpolation
definition
discount factors, 2nd
entire yield curve pricing models
flat
formulae
futures discount factors
graphical representations
humped
inverted
normal
one-month, 2nd
present values
shapes
flat or humped yield curves
inverted yield curves
liquidity preference theory
normal yield curves
preferred habitat theory
pure expectation theory
steep yield curves
standard
steep
three-month, 2nd
yields
bonds see bonds
convenience
current, 2nd
curves see yield curves
dividends
to maturity (YTM), 2nd
zero-cost collars, 2nd
zero coupon bonds, 2nd
zero coupons
zero-rate linear interpolation
zeta see vega
