Fixed Income Relative Value Analysis, + website: A Practitioner's Guide to the Theory, Tools, and Trades (The Wiley Finance Series)

An invaluable guide for fixed income practitioners, fully updated to incorporate the shift from LIBOR to SOFR Since its first edition in 2013, Fixed Income Relative Value Analysis: A Practitioner's Guide to the Theory, Tools, and Trades has become the gold standard for guides linking financial theories with practical analysis tools. The newly revised second edition reflects both the progress in statistical tools over the last decade and the impact of the transition to SOFR on swap spreads. You'll find a set of statistical and financial tools, a multitude of actual trades resulting from the application of these tools, as well as access to a companion website featuring spreadsheets illustrating some of the models contained in the book. This book covers: Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis, now including the multivariate Ornstein-Uhlenbeck model. An in-depth approach to understanding swap spreads in theory and practice. A comprehensive discussion of the various basis swaps and their combinations. The incorporation of credit default swaps in yield curve analysis. A classification of option trades into three types and the appropriate analysis tools. Fitted curve techniques for identifying relative value among different bonds. A multi-factor delivery option model for bond future contracts.Fixed Income Relative Value Analysis has proven to be an indispensable desk reference for buy- and sell-side fixed income professionals, including traders, quantitative analysts, portfolio managers, financial engineers, fixed income salespeople with sophisticated clientele and risk managers. Contents Preface to the Second Edition 1 Relative Value Part I: Statistical Models 2 Mean Reversion 3 Principal Component Analysis 4 Multivariate Mean Reversion Part II: Financial Models 5 Some Comments on Yield, Duration, and Convexity 6 Some Comments on Yield Curve Models 7 Bond Futures Contracts 8 Fitted Bond Curves 9 An Analytic Process for Government Bond Markets 10 Overview of the Following Chapters: Asset, Basis, Credit Default Swaps and their Mutual Influences 11 Reference Rates 12 Asset Swaps 13 Credit Default Swaps 14 Intra-Currency Basis Swaps 15 Cross-Currency Basis Swaps 16 Combinations and Mutual Influences of Asset, Basis, and Credit Default Swaps 17 Global Bond RV Via Fitted Curves and Via SOFR Asset Swap Spreads 18 Other Factors Affecting Swap Spreads 19 Options 20 Relative Value in a Broader Perspective Bibliography Index