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| Beaumont P.H. — Financial Engineering Principles : A Unified Theory for Financial Product Analysis and Valuation |
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| Предметный указатель |
401k plans See Retirement accounts
529 plans See College savings accounts
A tranches 141
Absolute return fund 150
Absolute return investing 150—153
ABSs See Asset-backed securities
Accept delivery 46
Add-on, usage 260
Adjustable-rate mortgages (ARMs) 164—165
Agency bonds 245
Agency bonds, tax-adjusted total returns 145t
Agency bonds, taxable status See U.S. federal agency bonds
Agency securities, tax-adjusted total returns 244t
Aggressive growth 150
Alpha 161
American option 145
Annualization term 18
Appreciation 8. See also Credit-related appreciation
Arbitrage See Fixed income; Market neutral
ARMs See Adjustable-rate mortgages
Asset-backed bonds 91
Asset-backed instruments 135fn
Asset-backed securities 91 103 134—135
Asset-backed securities (ABSs), types 262
Asset-backed securities, servicer 91
Asset-liability management 156
Asset-liability portfolio management 156
Assets market value 202
Assets stream 156
Assets volatility 202
Asymmetrical information 203
At-the-money call option 215
At-the-money option 63fn 210 213
At-the-money put 208
At-the-money strike prices 127
At-the-money, 10-non-call-2, price volatility 144
Available for sale 259
Average life 139
Average life, prepayment rate, contrast 139f
Average life, sensitivity test 262
Average life, tests 262
B tranches 141
Backed-our See Implied forward credit outlook
Bad debt 24
Balanced funds 155
Bank for International Settlements (BIS) 221 259—260
Bankruptcies 4
Bankruptcies, scenario 254
Bankruptcy-remote entity 93
Banks, liabilities 156
Basis points (bps) 8. See also Total return
Basis points, gain 52
Basis risk 114
Basis trade 114—118 210f
Basis trade, creation 114f
Basle Committee (1993) 260—261
Bear market environment 102
Benchmark See Market
Benchmark quantitative measure 163
Benchmark risk 238—240
Benchmark security 28
Beta definition 183
Beta industry types 185f
Beta unity, value 184
Beta usage 182—204
Bid / offer spreads 213
Binomial option model, tree 59
BIS See Bank for International Settlements
Black — Scholes application 72f
Black — Scholes assumption See Log-normality
Black-Scholes option pricing formula 70
Blue chip stocks 30
Bond-equivalent basis 173
Bond-equivalent yield 25 174—175
bonds See Shorter-maturity bonds
Bonds basis 122f
Bonds basket 121fn
Bonds cheapness / richness 27fn
Bonds coupon value, accruing 37
Bonds credit quality 96f
Bonds futures 45—47
Bonds futures, CTD 123
Bonds futures, price 46—47
Bonds indices, investment-grade portion 169
Bonds market, callable structures 129
Bonds price risk 172—182
Bonds price sensitivity 189
Bonds, portfolio construction 234
Bonds, products, optionality variations 134—150
Bonds, statistical methods 205
Bonds, summary 64
Bonds, total returns 232
Bonds, uncertainty, layers 25fn
Bonds, yield curve See U.S. Treasury
Bonex bonds / securities 86—87
Bonex clause 86—87
Book value 31
Bootsrrapping effect 43
Borrowings See Longer-rerm borrowings; Short-term borrowings
Brady bonds 159fn
Brady bonds, credit benefits 149
Bullet bond 70 208
Business cycle 5
Busted PAC 142
Buy-and-hold-oriented investors 244
C tranches 141
Call option 133 203f 256.
Call option, calculation 59t
Call option, value 53
Call payoff profile 208f
Call value 54—55
Callable bonds 133 149
Callable bonds, conceptual presentation 130f
Callable bonds, creation 129f
Callable bonds, issuing 130
Callable bonds, payoff profile 209
Callable bonds, price, definition 199
Callable structures See Bonds
Callables 200. See also Discrete callables
Callables, price 133
Called away 200
Canadian Treasury bills 50—51
Capital 91—97
Capital Asset Pricing Model (CAPM) 219
Capital, adequacy, supervisory review 259
Capital, allocation See Risk
Capital, amount, availabililty 217
Capital, base 155
Capital, exposure 159
Capital, flight 85
Capital, gains See Long-term capital gains
Capital, guidelines / restrictions 217. See also Risk-based capital guidelines
Capital, impact See Collateralization
Capital, preservation 155
Capital, preservation fund 154
Capital, representation 218
Capital, requirements 259
Capital, return See Return on risk-adjusted capital; Risk-adjusted return on risk-adjusted capital
Capital, structure 92 202
Capital, value 205
Capital-adjusted variables 219—220
Carry (cost of carry) 35 212.
Carry, component 189
Carry, duration, relationship 190f
Carry, options 119
Carry, value 116t 118
Carry, value, scenarios 117f-119f
Carry, zero value 124
Carter bonds 84
Cash / future combinations 118
| Cash derivative 92fn
Cash flow-paying product type 117
Cash flow-weighted average See Yield
Cash flows 3 15.
Cash flows, appendix 66—70
Cash flows, combination 209f
Cash flows, diversification 232
Cash flows, interrelationships 206—236
Cash flows, intramouth, reinvestment 165
Cash flows, priority 202
Cash flows, profiles 65f
Cash flows, reinvestment 226
Cash flows, restrictions 263f
Cash flows, series 156
Cash flows, triangle 147f
Cash flows, types 226—227
Cash settlement 33
Cash-and-carry trade 123
Cash-out value 19
Cash-settled equity futures 47—51
CBO See Collateralized bond obligation
CBOT See Chicago Board of Trade
CDO See Collateralized debt obligation
Ceilings 217
Central bank authorities 41
Century bonds 3fn
Certificate of deposit (CD) 6 157
CFA See Communaute Financier e Africaine
Cheapest-to-deliver (CTD) 115—118 120fn.
Cheapest-to-deliver, beneficial change 121
Cheapness / richness See Bonds
Chicago Board of Trade (CBOT) 77
Chicago Board of Trade, 10—year Treasury bond future 115
Chicago Board of Trade, bond futures contract 115
Chicago Board of Trade, delivery process 115
Chicago Mercantile Exchange 35
Class A/B/C securities 140
Clean prices 37
Clean prices, calculation See Forward clean price calculation
Cleanup tranche 141
CLO See Collateralized loan obligation
Close out, usage 212
CMOS See Collateralized mortgage obligations
CMT See Constant Maturity Treasury
Collateral See General collateral
Collateralization 89—91 107.
Collateralization, capital, impact 89—97
Collateralized bond obligation (CBO) 105
Collateralized debt obligation (CDO) 105—107. See also Nonsynthetic CDO; Synthetic CDO
Collateralized loan obligation (CLO) 105—106. See also Synthetic CLOs
Collateralized MBS 135
Collateralized mortgage obligations (CMOs) 164—165 261
College savings accounts (529 plans) 242
Communaute Financiere Africaine (CFA) 257
Companies, geographical diversification 87
Compounding frequency 19
Constant Maturity Treasury (CMT) swap 102—103
Constant Prepayment Rate (CPR) 138
Consumer Price Index (CPI) 12
Contract-eligible bond 46
Conversion factor 45
Convertible bond, transformation scenarios 146f
Convertible preferred stock 145—146
Convertible-equity conversion price 145—146
Convertibles, creation 145f
Convexity 172—182
Convexity, calculation 180t
Convexity, risk 197
Convexity, strategies 169 193f
Corporate securities, tax-adjusted total returns 244t 245t
Corporate settlement 33
Correlation coefficient 183—186
Correlation coefficient, decrease 187
Correlation coefficient, generation 182fn
Cost of carry See Carry
Counterparty risk 77 80
Country-level default scenario 88
Coupon cash flow, reinvestment 22 223
Coupon payments 19 173
Coupon payments, date 131
Coupon reinvestment risk 224
Coupon reinvestment risk, uncertainty 25
Coupon-bearing bonds 25 96 117
Coupon-bearing bonds, form 90
Coupon-bearing bonds, price 26fn
Coupon-bearing bonds, spot purchase 227
Coupon-bearing security 18 22
Coupon-bearing Treasury 21 36 176
Coupon-bearing Treasury, 12-month 229
Coupon-bearing Treasury, 5-year, price cone 230f
Coupon-bearing Treasury, bond 42
Coupon-bearing Treasury, bond, cash flows 18fn
Coupon-bearing Treasury, one-year 230
Coupon-bearing Treasury, reinvestment patterns, requirements 2lfn 22fn
Covenants 250—253
Covenants, types 251t
CPI See Consumer Price Index
CPR See Constant Prepayment Rate
Credit 73
Credit absorbing vehicle 101
Credit card receivables 262
Credit derivatives 75 97—108
Credit derivatives, issuer-specific types 101
Credit derivatives, profiles 107t
Credit derivatives, valuation 99
Credit risks 25 75—89 165 190
Credit risks, allocation methodology 216—217
Credit risks, comparison 225
Credit risks, decrease 226
Credit risks, double-A 78
Credit risks, protection See Downside credit risk protection
Credit risks, quantification 203
Credit risks, security types, conceptual linking 94f
Credit, call option 257
Credit, cone 200 201f
Credit, considerations 158
Credit, conversion factors 260
Credit, default swap 104
Credit, dynamics See Intramouth credit dynamics
Credit, incremental risk 223
Credit, instrument See Spot
Credit, interrelationships 216—217
Credit, near-term outlook 103
Credit, quality, uncertainty 22 25
Credit, rating 74t 79
Credit, rating, insurance 75
Credit, restrictions 263f
Credit, review 75
Credit, shocks 79
Credit, spread 79
Credit, spread, increase 100
Credit, spread, option 100
Credit, trades 166
Credit, watch 75
Credit, yield spreads 60f
Credit-enhanced bond, creation 147f 148f
Credit-enhancing strategies 267f
Credit-free securities 79
Credit-linked note 101 105
Credit-linked note, schematic 101f
Credit-related appreciation 149
Credit-related events 99
Credit-related risks, layering 93f
Credit-sensitive bond 100
Credit-sensitive instrument See Nonderivative credit-sensitive instrument
Credit-sensitive products, demand 103
Credit-sensitive securities 103
Creditworthiness, evaluation 76
Crossover credits 166
CTD See Cheapest-to-deliver
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