Principal components of mortgage volatility, July 31, 2012
18.4 Principal components of swaption volatility, July 31, 2012
18.5 Hedging volatility of a mortgage
19.1 Sample portfolio analyzer output
19.2 Sample linear optimization constraints
19.3 Sample linear optimization trades, July 31, 2012
19.4 Sample portfolio preview
21.1 Practical discount yields
21.2 Practical floating discount benchmarks
21.3 Types of cash flow
21.4 Matrix of methods of risk calculation
List of Figures
2.1 Chebyshev term structure components in τ space
2.2 Chebyshev term structure components in time space
2.3 Forward rate components in τ space
2.4 Forward rate components in time space
2.5 US term structure of interest rates for September 30, 2010
2.6 Components of US yield curve for September 30, 2010
2.7 Level of yield curve shifted by 50 bps.
2.8 Slope of yield curve shifted by 50 bps.
2.9 Bend of yield curve shifted by 50 bps.
2.10 Yield curve on December 11, 2008
2.11 Comparison of ISM manufacturing index and bend of the TSIR
2.12 Implied historical decay coefficient
2.13 Implied historical decay coefficient from treasury market
3.1 Orthogonal term structure components in τ space
3.2 Orthogonal term structure and principal components in τ space, 1992–2012
3.3 Term structure and volatility adjusted principal components in τ space, 1992–2012
3.4 Historical bend of the Chebyshev basis function
4.1 Eurodollar futures contracts VBP
4.2 Key rate contribution to duration, time space
6.1 Term structure of swap curve, May 25, 2012
6.2 Spread of repo and Libor over treasury bills
7.1 Historical term structures of euro swaps
7.2 Historical term structures of USD swaps
7.3 AUD and NZD swap curves, May 24, 2012
7.4 AUD and NZD instantaneous forward swap curves, May, 24, 2012
7.5 AUD and NZD swap curves, December, 18, 2012
8.1 Portfolio optimization example
9.1 Selected cross-sections of relative Libor volatility, June 30, 2012
9.2 Selected cross-sections of absolute Libor volatility, June 30, 2012
10.1 Convexity adjusted yield curve, May 28, 1999
10.2 Yield curve without convexity adjustment, May 28, 1999
10.3 Convexity adjusted long zero curves
10.4 Treasury and swap curves for calculations of EDFC, July 30, 2012
11.1 Spot real (Rts) and nominal (Tsy) rates, July 30, 2012
11.2 Term structure of inflation expectations, July 30, 2012
11.3 Average monthly inflation rates
11.4 Standard deviation of monthly inflation in the US
11.5 Cumulative seasonal inflation adjustment for US
11.6 Implied and market inflation rates, July 31, 2012
12.1 Credit spread of Brazil, May 25, 2012
12.2 Term structures of rates in France and Germany, July 31, 2012
12.3 Contribution to partial yield
13.1 TSCS and TSDP for Ford Motor Co., July 31, 2012
15.1 European at-the-money
