By Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar
This booklet is a revised and up to date consultant to a couple of crucial matters within the capital markets at the present time, with an emphasis on fixed-income tools resembling index-linked bonds, asset subsidized securities, personal loan subsidized securities and comparable items corresponding to credits derivatives. even though, basic innovations in fairness marketplace research, foreign currencies and cash markets also are lined to supply a accomplished assessment. the point of interest is on research and valuation innovations, provided for the needs of functional software. The publication comprises an accompanying CD-ROM with fee software program, designed to introduce readers to yield curve modelling. it's also calculators for vanilla rate of interest swaps and caps.
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Extra info for Capital Market Instruments: Analysis and Valuation
If a bank or corporate customer wishes to deal for non-standard periods, an interbank desk will calculate the rate chargeable for such an ‘odd date’ by interpolating between two standard period interest rates. 11). 3 If a customer wishes to borrow money for a 40-day period, what rate should the bank charge? We can calculate the required 40-day rate using the straight line interpolation process. The increase in interest rates from 30 to 40 days is assumed to be 10/30 of the total increase in rates from 30 to 60 days.
Economics for Professional Investors, 2nd edn, Prentice Hall, 1998. This page intentionally left blank PART II Debt Capital Market Cash Instruments Part II of this book concentrates on vanilla debt market instruments. We begin with money market instruments. The first products in any capital market are money market instruments such as Treasury bills and bankers’ acceptances. These, together with other cash money market products, are considered in Chapter 3. The next three chapters are devoted to fixed-income instruments or bonds.
Futures contracts Futures contracts, or simply futures, are exchange-traded instruments that are standardised contracts; this is the primary difference between futures and forwards. The first organised futures exchange was the Chicago Board of Trade, which opened for futures trading in 1861. The basic model of futures trading established in Chicago has been adopted around the world. Essentially futures contracts are standardised. That means each contract represents the same quantity and type of underlying asset.