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Tables of Contents for Pricing Money
Chapter/Section Title
Page #
Page Count
Preface
xiii
 
Acknowledgements
xv
 
Part 1: A Beginner's Toolkit
1
110
Money markets
3
14
What is money?
3
1
Why there is a money market?
4
2
Choosing a maturity
6
1
Repo
7
2
Central-bank money-market operations
9
1
Two money markets
10
2
The euro
12
1
Writing money
13
2
Settlement details
15
1
Summary
16
1
Government bonds
17
18
Introduction
17
1
The concept of yield
18
1
Example yield calculations
19
3
Coupon and yield
22
1
The yield curve
23
1
Primary dealers
24
1
Government bond markets
24
2
Repo as part of the government-bond market
26
1
Accrued interest
27
1
STRIPS
27
2
Other tradable government debt
29
2
Non-government debt
31
1
Rating agencies
32
1
Summary
33
2
Futures
35
16
The gold miner's problem
35
1
The gold miner's solution
36
1
Contract specification
37
1
Credit and margin
38
1
Cash settlement
39
1
Cash-settling other contracts
40
1
The fixings
41
2
The 3-month interest rate future
43
1
Price action
44
2
The strip and TED spreads
46
1
Arbitrage
47
1
Some trading jargon
48
2
Summary
50
1
Swaps
51
12
Introduction
51
2
An example
53
2
Asset swaps
55
1
A typical swap in detail
56
2
Credit risk in swaps
58
1
Trading jargon
59
1
Swaps and interest rate futures
60
1
Myth and reality
61
1
Summary
62
1
Options
63
8
Introduction
63
1
Puts and calls
63
2
What is the option worth?
65
1
Combinations
66
1
Underlyings
66
1
Embedded options
67
1
Implied volatility
68
1
Summary
69
2
Foreign exchange
71
6
The basic rationale
71
1
Size and conventions
72
1
Forwards
72
1
Shake the dice
73
2
Summary
75
2
Players
77
12
Governments
77
1
Pseudo-government issuers
78
1
Non-financial corporations
79
1
Pension funds
79
2
Insurers
81
1
Mutual funds
82
1
Hedge funds
83
1
Commercial banks
83
2
Mortgage lenders
85
1
Central banks
86
1
Private investors
87
1
Summary
87
2
People
89
8
Introduction
89
1
Proprietary traders
89
2
Market makers
91
1
Brokers
92
1
Salespeople
93
1
Researchers
94
1
Back office and middle office
94
1
Investment bankers
94
1
Summary
95
2
Price action
97
14
Why do prices move?
97
2
Necessity never made a good bargain
99
1
Stability and leverage
100
1
Fixed-income prices
101
2
A stylised crash in fixed income
103
1
Forwards, zeros and par yields
104
4
Trading the crash
108
1
Market irrationality
109
1
Summary
110
1
Part 2: More detail
111
58
Swaps revisited
113
12
Introduction
113
1
Credit risk in swaps
113
1
Reducing the credit risk
114
2
Cross-currency basis swaps
116
1
The price of a basis swap
117
1
A cross-currency issue
118
3
Reducing credit risk in basis swaps
121
1
Forward rate agreements
122
1
Summary
122
3
Non-government issuance
125
14
Introduction
125
1
Bringing a deal to market
126
2
The syndicate
128
1
Book-building: taking orders
129
1
Pricing a swapped deal
130
1
Pricing an unswapped deal
131
1
Some legal details
132
2
Free to trade
134
1
An example issue
135
1
Opportunistic reopenings
136
1
Summary
137
2
Yield, duration, repo and forward bond prices
139
16
Measuring risk
139
1
Yields: compounding frequencies
140
2
Duration continued
142
2
Definition of DV01
144
1
How coupon affects duration and DV01
144
1
An example yield curve
145
2
A 3s10s flattener
147
1
A flattener generates cash
148
1
A forward flattener
148
1
What happens if nothing happens?
149
1
Weighting the forward flattener
150
1
A barbell
151
1
Carry and slide
152
1
Summary
153
2
Bond futures
155
10
Introduction
155
1
Specification
156
1
Delivery day
157
1
The delivery process
158
1
Cheapest to deliver: at par
159
1
Cheapest to deliver: far from par
160
1
CTD calculations before delivery
161
1
Delivery tail
162
1
Summary
163
2
Basic fixed-income arithmetic
165
4
The proportion of a year
165
2
Yield to price and price to yield
167
1
Semi to annual: halve and square
167
1
Forward yield
168
1
Forward asset swap
168
1
Summary
168
1
Index
169