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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 |
Cumulative preferred convertible stock, mapping process 267f
Cumulative protection 82
Currencies See National currency; Nonnational currency; Planet currency acceptance. See Local currency; Sponsor currency
Currencies, controls 87
Currencies, free flow 85
Currencies, futures, opportunities 51
Currencies, management 158
Currencies, price cone 233f
Currencies, rating See Foreign currency rating; Local currency
Currencies, summary 64
Currencies, swap 249
Currency-enhanced securities 129
Debt 4. See also Bad debt; Distressed debt; Longer-dated debt; Shorter-dated debt
Debt, continuum 268f
Debt, cushion 95
Debt, management 85
Decapitalization 250
Deep in-the-money 144
Deep out-of-the-money 144
Default definition 75
Default experiences 74
Default probability 202—203
Default rates 99t
Default scenario 5. See also Country-level default scenario
Default swap See Credit
Deflation 8
Delegated underwriting and servicing security (DUS) 142
Delivery See Accept delivery; Make delivery
Delivery definition 118
Delivery options 46 115—120 120fn
Delivery process See Chicago Board of Trade
Delivery taking 77
Delivery value 121f
Delta See Implied delta; Synthetic option
Delta, hedge 126
Delta, movement 210—211
Delta, price sensitivities 198f
Delta, usage 197 210
Delta-adjusted amount See Notional amount
Delta-neutral strategy 126
Depreciation 8
derivatives 7. See also Credit derivatives
Dirty prices 37 115 174.
Dirty prices, calculation See Forward dirty price calculation
Discount currency 49
Discount notes 245
Discount process 27
Discount rate 26fn 36
Discrete callables 131—133
Distressed / default situations 248—249
Distressed company 5
Distressed debt 24
Distressed securities 151
Dividend-paying philosophy 29
Dividends 4
Dividends, formula, expected growth 30
Dividends, payment 47 124
Dividends, yield 48
DJIA See Dow Jones Industrial Index
Dollar roll 144
Dollar-euro exchange rate 49
Domestic bond markets. Treasuries segments 79
Double-A See Credit risks
Double-B company 201
Double-B corporate bond 224f
Dow Jones Industrial Index (DJIA) 162
Dow Jones Utility Index 162
Downside credit risk protection 149
Downside protection 146
Downside support 148
Drift definition 75 98—99
Drift experiences 74 98
Due diligence 5
Duration 172—182. See also Macaulay's duration; Modified duration; Portfolio calculation. See U.S. Treasury bill; U.S. Treasury STRIPS relationship. See Carry
Duration-neutral positions 245
DUS See Delegated underwriting and servicing security
Economic cycles 100
Economic hedge 235
Economic weakness 103
Efficiency See Market
Embedded calls 148 257
Embedded optionality 136
Embedded puts 148
Embedded short options 130
Emerging markets 88 151
Employee Retirement Income Security Act (ERISA) 262
Employee Retirement Income Security Act, underwriters, exemption eligibility 263t
Entities, triple-A ratings 87
Equities 227f
Equities bonds, similarities / differences 7t 98t
Equities buybacks 250
Equities cash flows 30f
Equities diversification 227
Equities futures See Cash-settled equity futures
Equities index futures 47
Equities life cycle blend 155
Equities market, preferred stock 129
Equities price cone 232f
Equities price risk 182—204
Equities returns 232
Equities statistical methods 205
Equities summary 64
ERISA See Employee Retirement Income Security Act
Euribor rate 80
Euro creation 204—205
Euro market 49
Euro zone members 254
Eurodollar-denominated securities 205
Eurodollars 80
Eurodollars, futures 192 205
Eurodollars, instruments 192
Eurodollars, rate 49
Eurodollars, spot 192
European Central Bank 85
European Community 105
European option 145
Eurorates 49—50
Eurorates, differential 50
Euroyen yield 80
Event-driven situations 152
Events See Credit-related events
Exchange 35. See also Chicago Mercantile
Exchange rate 8. See also Dollar-euro exchange rate; Forward exchange rates
Exchange transaction 77
Exchange-traded contracts 260
Exchange-traded option 214
Exercise right 129
Expected expenses 220
Expected expenses, calculation 221
Expected losses 220
Expected losses, calculation 221
Expected return 220
Extramarket forces 256
Extramarket incentive 57
Face amount 20
Fallen angel 201
Fannie Mae See Federal National Mortgage Association
FASITs 262
Fat-tail distributions 68
Federal budgets, market control 238—239
Federal Financial Institutions Examination Council (FFIEC) 261
Federal Home Loan Bank (FHLB) 243 245—246
Federal Home Loan Mortgage Corporation (FHLMC) 129—130 242
Federal Home Loan Mortgage Corporation, pass-thrus 136fn
Federal National Mortgage Association (FNMA) 129—130 239 242
Federal National Mortgage Association, pass-thrus 136fn
Federal National Mortgage Association, product 246fn
FFIEC See Federal Financial Institutions Examination Council
FHLB See Federal Home Loan Bank
FHLMC See Federal Home Loan Mortgage Corporation
| Financial engineering 113
Financial engineering, appendix 161—170
Financial fundamentals 5
Financial guarantee schematic 104f
Financial products, investing profile 158—159
Financial Times Stock Exchange (FTSE) 162
Financing agreed-upon rate 36
Financing rate 36 194
Financing risk 189
Financing short-term rate 39
Fixed income arbitrage 151
Fixed income marketplace 163
Fixed income products, outperformance 205
Fixed income securities 101 205
Fixed income securities, price change, effect 181
Fixed-coupon par bond 104
Fixed-rate product 137
Flat price 37fn
FNMA See Federal National Mortgage Association
Foreign currency rating 83—85
Forward / future profile 206—207
Forward agreement 194
Forward agreement, payoff profile 208
Forward clean price calculation 38
Forward contracts, holders 229fn
Forward dirty price calculation 38
Forward duration value See Securities
Forward exchange rates 9
Forward formulas 53t
Forward leaps 40
Forward points 50t
Forward price 214
Forward price, strike price, contrast 208
Forward rates 44t
Forward settlement 33
Forward spread (FS) 61f 133 134f
Forward spread, calculation See Non-Treasury security
Forward spread, interrelationships 61f
Forward transaction 124f. See also Offsetting forward transaction
Forward yields, spot yields (convergence) 191f
Forward-dated option 199
Forward-forward arrangement 196
Forwards, cash flow ownership, relationship 40f
Forwards, futures, contrast 34
Forwards, interrelationships 56f
Forwards, markets 79
Forwards, option, building-block approach 56
Forwards, summary 51—63
Forwards, undervaluation 57
Forwards, yield value 44
Freddie Mac See Federal Home Loan Mortgage Corporation
frequency 19. See also Compounding frequency
FS See Forward spread
FTSE See Financial Times Stock Exchange
Fund management themes 154t
Fund strategies 169t
Funding sources 247
Futures 34—45. See also Bonds; Equity index futures
Futures contract See Standard & Poor's 500
Futures contract, physical settlement 47
Futures contract, unwinding 35
Futures, cheap trading 120
Futures, contrast See Forwards opportunities. See Currencies
Futures, summary 51—63
Futures, undervaluation 57
Futures, usage 125f
G-10 See Group of Ten
G-7 See Group of Seven
Gamma, relation 199f
Gap management 157
GC See General collateral
General collateral (GC) 196
Ginnie Mae See Government National Mortgage Association
Global reserve currencies 205
GNMA See Government National Mortgage Association
Going long 34
Gold Standard 7
Goods, cost, subsidies 11—12
Goods, supply / demand 11
Goods, trade bans 12
Government National Mortgage Association (GNMA) 136 138
Government National Mortgage Association, pass-thrus 136fn
Group of Seven (G-7) 67 88
Group of Ten (G-10) 186
Growth funds 154
Growth-type index 154
Hedge See Delta; Economic hedge
Hedge funds 150 151 221
Hedging See Market neutral
Held for portfolio 259
Hicks method, usage 178
Historical volatility 66—68
Historical volatility, formula, annualizing term 67
Historical volatility, usage 69
Holding companies 252
Home mortgages, purchase 130
Idiosyncratic risk 219
IMF See International Monetary Fund
Implied delta 211
Implied delta, definition 212
Implied forward credit outlook, backed-out 202
Implied repo rare 123
Implied securities lending rate 123
Implied value 7
Implied value, value, calculation 69
Implied volatility 66—70 232
In-the-money See Deep in-the-money
In-the-money, call option 63fn
In-the-money, put option 125
In-the-money, value See Options
Income See Ordinary income
Income fund 155
Income fund, types 151
Income-oriented funds 155
Incremental returns 165
Incremental yield 132
Indexed portfolio managers 167fn
Indexes, adjustments 163
Indexes, return 153
India, long-term sovereign currency rating / short-term local currency rating 88
Individual Retirement Accounts (IRAs) 242
Inflation 8
Initial public offering (IPO) 82—83 152 248
Institutional investor 253
Interest paydown, pass-thru principal (relationship) 138f
Interest rate See Short-term interest rates
Interest rate, changes 230
Interest rate, decline 135fn
Interest rate, differential 8
Interest rate, futures, usage 235
Interest rate, increase 209
Interest rate, parity 8—9
Interest rate, parity, models 232
Interest rate, policy, homogeneity 254
Interest rate, swap 101—102
Interest rate, swap, schematic 103f
Interest rate-sensitive series, linkage / quantification 182—183
Internal strategic planning 82
International fund 157
International Monetary Fund (IMF) loans 188
International Swaps and Derivatives Association (ISDA) 104
Intramouth credit dynamics 166—167
Intrinsic value 84 125
Investment banks 5 249—250
Investment-grade bonds 232
Investment-grade corporate securities 103
Investment-grade corporate securities, usage 182
Investment-grade index 166
Investor-related regulations 265t-266t
Investor-specific assets 57
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