The Eurodollar Futures and Options Handbook - Burghardt, Galen

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Résumé :
Foreword
Part One The Emergence of the Eurodollar Market
Chapter 1 The Emergence of the Eurodollar Market
The Revolution in Finance
The Futures Revolution
Key Money Market Developments
Why Eurodollars?
Eurodollar Futures
The Death of CD Futures and the Birth of Eurodollar Futures
The Market for Interest Rate Derivatives at the Beginning of the 21st Century
Exchange-Traded Money Market Futures and OTC Interest Rate Swaps
Options on Futures, Forward Rates, and Swaps
Markets around the World
Part Two Building Blocks: Eurodollar Futures
Chapter 2 The Eurodollar Time Deposit
Maturities and Settlement
Quotes
LIBOR and LIBID
Interest Calculations
Chapter 3 The Eurodollar Futures Contract
Contract Specifications
Contract Unit
Price Quote
Tick Size
Minimum Fluctuation
Listed Contract Months
Contract Month Symbols
Color-Coded Grid
Expiring versus Lead Contract
Trading Hours and Mutual Offset
Final Settlement Price
Last Trading Day
Value Dates
Additional Trading Facilities
Initial and Maintenance Performance Bonds
Volume and Open Interest
Other 3-Month Money Market Futures Contracts
Chapter 4 Forward and Futures Interest Rates
Deriving a Forward Rate from Two Term Deposit Rates
Locking an Effective Forward Lending Rate Using Eurodollar Futures
Important Differences between Forward and Futures Markets
Determining the Fair Value of a Eurodollar Futures Contract
Richness and Cheapness
Forward Rates Are Break-Even Rates
Yield Curve Trades
Finding the Forward Term Deposit Curve Implied by Today's Futures Rates
Chapter 5 Hedging with Eurodollar Futures
The Tool Is a Eurodollar Futures Contract
Basic Hedge Algebra
Deriving Present and Forward Values from Eurodollar Futures Rates
Calculating a Forward Value (Terminal Wealth)
Calculating a Zero-Coupon Bond Price (Present Value)
Hedging or Replicating Forward Cash Flows
Forward Valuing the Gain or Loss on the Eurodollar Futures Contract
Present Valuing the Gain or Loss on a Floater
Hedging or Replicating Present Values of Cash Flows
Calculating the Price of a Zero-Coupon Bond
Calculating the Present Value of a Basis Point
Finding the Hedge for a Zero-Coupon Bond
Faster Hedge Ratio Calculations with Calculus
Pricing and Hedging a Coupon-Bearing Bond
Managing Hedge Ratios
As Rates Rise or Fall
As Time Passes
Practical Considerations in Real Hedges
The Stub Period
Date and Term Mismatches
Whole Contracts
Credit Spreads
Variable Credit Spreads
Chapter 6 Pricing and Hedging a Swap with Eurodollar Futures
Fixed/Floating Interest Rate Swaps
Notional Principal Amount
Cash Flows in Arrears
Periodicity
Spot and Forward-Starting Swaps
Day-Count Conventions and Swap Yields
Approaches to Pricing and Hedging Interest Rate Swaps
Cash Flow Approach
Hypothetical Security Approach
Pricing a Swap Using the Cash Flow Method
Hedging a Swap Using the Cash Flow Method
Primary Effects
Secondary Effects
Calculating Hedge Ratios
Hedge Ratios Are Dynamic
Pricing a Swap Using the Hypothetical Securities Method
Hedging a Swap Using the Hypothetical Securities Method
Floating Rate Liability
Fixed Rate Asset
Find the Hedge Ratios
Pricing and Hedging Off-the-Market Swaps
Convexity Differences between Forward and Futures Rates
Comparing Three Yield Curves: Forward, Zero Coupon, and Par Coupon
The Difference between Money Market Rates and Bond Yields
Part Three Eurodollar Futures Applications
Convexity Bias (Chapters 7 through 10)
Term TED Spreads (Chapt...

Biographie:
Foreword
Part One The Emergence of the Eurodollar Market
Chapter 1 The Emergence of the Eurodollar Market
The Revolution in Finance
The Futures Revolution
Key Money Market Developments
Why Eurodollars?
Eurodollar Futures
The Death of CD Futures and the Birth of Eurodollar Futures
The Market for Interest Rate Derivatives at the Beginning of the 21st Century
Exchange-Traded Money Market Futures and OTC Interest Rate Swaps
Options on Futures, Forward Rates, and Swaps
Markets around the World
Part Two Building Blocks: Eurodollar Futures
Chapter 2 The Eurodollar Time Deposit
Maturities and Settlement
Quotes
LIBOR and LIBID
Interest Calculations
Chapter 3 The Eurodollar Futures Contract
Contract Specifications
Contract Unit
Price Quote
Tick Size
Minimum Fluctuation
Listed Contract Months
Contract Month Symbols
Color-Coded Grid
Expiring versus Lead Contract
Trading Hours and Mutual Offset
Final Settlement Price
Last Trading Day
Value Dates
Additional Trading Facilities
Initial and Maintenance Performance Bonds
Volume and Open Interest
Other 3-Month Money Market Futures Contracts
Chapter 4 Forward and Futures Interest Rates
Deriving a Forward Rate from Two Term Deposit Rates
Locking an Effective Forward Lending Rate Using Eurodollar Futures
Important Differences between Forward and Futures Markets
Determining the Fair Value of a Eurodollar Futures Contract
Richness and Cheapness
Forward Rates Are Break-Even Rates
Yield Curve Trades
Finding the Forward Term Deposit Curve Implied by Today's Futures Rates
Chapter 5 Hedging with Eurodollar Futures
The Tool Is a Eurodollar Futures Contract
Basic Hedge Algebra
Deriving Present and Forward Values from Eurodollar Futures Rates
Calculating a Forward Value (Terminal Wealth)
Calculating a Zero-Coupon Bond Price (Present Value)
Hedging or Replicating Forward Cash Flows
Forward Valuing the Gain or Loss on the Eurodollar Futures Contract
Present Valuing the Gain or Loss on a Floater
Hedging or Replicating Present Values of Cash Flows
Calculating the Price of a Zero-Coupon Bond
Calculating the Present Value of a Basis Point
Finding the Hedge for a Zero-Coupon Bond
Faster Hedge Ratio Calculations with Calculus
Pricing and Hedging a Coupon-Bearing Bond
Managing Hedge Ratios
As Rates Rise or Fall
As Time Passes
Practical Considerations in Real Hedges
The Stub Period
Date and Term Mismatches
Whole Contracts
Credit Spreads
Variable Credit Spreads
Chapter 6 Pricing and Hedging a Swap with Eurodollar Futures
Fixed/Floating Interest Rate Swaps
Notional Principal Amount
Cash Flows in Arrears
Periodicity
Spot and Forward-Starting Swaps
Day-Count Conventions and Swap Yields
Approaches to Pricing and Hedging Interest Rate Swaps
Cash Flow Approach
Hypothetical Security Approach
Pricing a Swap Using the Cash Flow Method
Hedging a Swap Using the Cash Flow Method
Primary Effects
Secondary Effects
Calculating Hedge Ratios
Hedge Ratios Are Dynamic
Pricing a Swap Using the Hypothetical Securities Method
Hedging a Swap Using the Hypothetical Securities Method
Floating Rate Liability
Fixed Rate Asset
Find the Hedge Ratios
Pricing and Hedging Off-the-Market Swaps
Convexity Differences between Forward and Futures Rates
Comparing Three Yield Curves: Forward, Zero Coupon, and Par Coupon
The Difference between Money Market Rates and Bond Yields
Part Three Eurodollar Futures Applications
Convexity Bias (Chapters 7 through 10)
Term TED Spreads (Chapt...

Sommaire:
Foreword
Part One The Emergence of the Eurodollar Market
Chapter 1 The Emergence of the Eurodollar Market
The Revolution in Finance
The Futures Revolution
Key Money Market Developments
Why Eurodollars?
Eurodollar Futures
The Death of CD Futures and the Birth of Eurodollar Futures
The Market for Interest Rate Derivatives at the Beginning of the 21st Century
Exchange-Traded Money Market Futures and OTC Interest Rate Swaps
Options on Futures, Forward Rates, and Swaps
Markets around the World
Part Two Building Blocks: Eurodollar Futures
Chapter 2 The Eurodollar Time Deposit
Maturities and Settlement
Quotes
LIBOR and LIBID
Interest Calculations
Chapter 3 The Eurodollar Futures Contract
Contract Specifications
Contract Unit
Price Quote
Tick Size
Minimum Fluctuation
Listed Contract Months
Contract Month Symbols
Color-Coded Grid
Expiring versus Lead Contract
Trading Hours and Mutual Offset
Final Settlement Price
Last Trading Day
Value Dates
Additional Trading Facilities
Initial and Maintenance Performance Bonds
Volume and Open Interest
Other 3-Month Money Market Futures Contracts
Chapter 4 Forward and Futures Interest Rates
Deriving a Forward Rate from Two Term Deposit Rates
Locking an Effective Forward Lending Rate Using Eurodollar Futures
Important Differences between Forward and Futures Markets
Determining the Fair Value of a Eurodollar Futures Contract
Richness and Cheapness
Forward Rates Are Break-Even Rates
Yield Curve Trades
Finding the Forward Term Deposit Curve Implied by Today's Futures Rates
Chapter 5 Hedging with Eurodollar Futures
The Tool Is a Eurodollar Futures Contract
Basic Hedge Algebra
Deriving Present and Forward Values from Eurodollar Futures Rates
Calculating a Forward Value (Terminal Wealth)
Calculating a Zero-Coupon Bond Price (Present Value)
Hedging or Replicating Forward Cash Flows
Forward Valuing the Gain or Loss on the Eurodollar Futures Contract
Present Valuing the Gain or Loss on a Floater
Hedging or Replicating Present Values of Cash Flows
Calculating the Price of a Zero-Coupon Bond
Calculating the Present Value of a Basis Point
Finding the Hedge for a Zero-Coupon Bond
Faster Hedge Ratio Calculations with Calculus
Pricing and Hedging a Coupon-Bearing Bond
Managing Hedge Ratios
As Rates Rise or Fall
As Time Passes
Practical Considerations in Real Hedges
The Stub Period
Date and Term Mismatches
Whole Contracts
Credit Spreads
Variable Credit Spreads
Chapter 6 Pricing and Hedging a Swap with Eurodollar Futures
Fixed/Floating Interest Rate Swaps
Notional Principal Amount
Cash Flows in Arrears
Periodicity
Spot and Forward-Starting Swaps
Day-Count Conventions and Swap Yields
Approaches to Pricing and Hedging Interest Rate Swaps
Cash Flow Approach
Hypothetical Security Approach
Pricing a Swap Using the Cash Flow Method
Hedging a Swap Using the Cash Flow Method
Primary Effects
Secondary Effects
Calculating Hedge Ratios
Hedge Ratios Are Dynamic
Pricing a Swap Using the Hypothetical Securities Method
Hedging a Swap Using the Hypothetical Securities Method
Floating Rate Liability
Fixed Rate Asset
Find the Hedge Ratios
Pricing and Hedging Off-the-Market Swaps
Convexity Differences between Forward and Futures Rates
Comparing Three Yield Curves: Forward, Zero Coupon, and Par Coupon
The Difference between Money Market Rates and Bond Yields
Part Three Eurodollar Futures Applications
Convexity Bias (Chapters 7 through 10)
Term TED Spreads (Chapt...