UID:
almahu_9948026339602882
Format:
1 online resource (303 p.)
Edition:
1st edition
ISBN:
1-280-96628-9
,
9786610966288
,
0-08-047286-9
Content:
The Gilt-Edged Market is specifically aimed at finance professionals and investors who need to understand the inner working of the United Kingdom gilt market. There is detailed coverage of the different gilt instruments, as well as a look at the structures, institutions and practices of the market itself.Topics include:* Bond basics* Conventional gilts* Index-linked gilts* Gilt strips* The gilt repo market* The gilt bond future basis* Yield spread trading using giltsThere are also personal reminiscenes that illustrate the great changes tha
Note:
Description based upon print version of record.
,
Front Cover; The Gilt-Edged Market; Copyright Page; Contents; Foreword; About the Authors; Preface; Acknowledgements; Chapter 1. The Gilt-Edged Market: An Introduction; Chapter 2. A Primer on Bond Basics; 2.1 Description; 2.2 Bond issuers; 2.3 World bond markets; 2.4 Non-conventional bonds; 2.5 Pricing a conventional bond; 2.6 Clean and dirty bond prices; 2.7 Market yield; 2.8 Bond pricing and yield; 2.9 The price/yield relationship; 2.10 Duration, modified duration and convexity; Chapter 3. The Gilt-Edged Market I: Structure and Institutions; 3.1 Market instruments; 3.2 Taxation
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3.3 Market structure3.4 Market makers and brokers; 3.5 Issuing gilts; 3.6 The DMO and secondary market trading; 3.7 Settlement; 3.8 HM Treasury and the remit of the DMO; 3.9 Exchange-traded gilt derivatives; 3.10 The Minimum Funding Requirement; 3.11 Developments in electronic trading; 3.12 Market developments in 2001-2002; Chapter 4. The Gilt-Edged Market II: Index-Linked Gilts; 4.1 Index-linked gilts; 4.2 Index-linked gilts analytics; 4.3 Calculating break-even inflation; 4.4 Duration matching; 4.5 An implied forward inflation rate curve; 4.6 The DMO's index-linked gilts redesign
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Chapter 5. The Gilt-Edged Market III: The Gilt Strips Market5.1 Gilt strips; 5.2 Zero-coupon bond trading and strategy; 5.3 Strips market anomalies; 5.4 Trading strategy; 5.5 Illustration: yield and cash flow analysis; 5.6 Future developments in strips; Chapter 6. The Gilt Repo Market; 6.1 Introduction; 6.2 The basics of repo; 6.3 The classic repo; 6.4 The sell/buy-back; 6.5 Stock lending; 6.6 Market structure; 6.7 Gilt settlement and CREST/CGO; 6.8 Repo netting and the LCH RepoClear system; 6.9 Code of best practice; Chapter 7. The Gilt Bond Basis I; 7.1 An introduction to forward pricing
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7.2 The LIFFE long gilt future7.3 Futures pricing; 7.4 The bond basis: basic concepts; 7.5 Selecting the cheapest-to-deliver bond; 7.6 Trading the basis; Chapter 8. The Gilt Bond Basis II; 8.1 Analysing the basis; 8.2 Bond delivery factors; Chapter 9. Information Content of the Gilt Yield Curve; 9.1 Using the yield curve; 9.2 Yield to maturity yield curve; 9.3 The zero-coupon (or spot) yield curve; 9.4 The forward yield curve; 9.5 Analysing and interpreting the yield curve; 9.6 Interpreting the yield curve; 9.7 The DMO's yield curve model; Chapter 10. The Art of Government Bond Trading
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Chapter 11. Approaches to Yield Spread Trading Using Gilts11.1 Introduction; 11.2 Coupon spreads; 11.3 Butterfly trades; Chapter 12. Being Some Reminiscences of the Gilt Market...; Glossary; Index
,
English
Additional Edition:
ISBN 0-7506-5163-6
Language:
English
