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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 |
Investor-specific cash flow 57
Investors 4
Investors, profile 249
IPO See Initial public offering
ISDA See International Swaps and Derivatives Association
Issuers 73
Issuers, profile 19
Issuers, rating 74
kurtosis 68
LEAPS See Long-term Equity Anticipation Securities
Leverage strategies 165—166
Libor See London Interbank Offered Rate
Liquidity premium 44. See also Non-Treasury liquidity premium
Loan profiles, securitization 90
Loan transaction 122
Local currency 6
Local currency, acceptance 186
Local currency, rating 83—84
Local market orientations 252—253
Locking in 227
Lockout 141
Lockout, period 131
Lockout, protection 142
Log-normality, Black — Scholes assumption 126
London Interbank Offered Rate (Libor) 49 80
London Interbank Offered Rate (Libor), cash investment 104
London Interbank Offered Rate (Libor), maturity 97fn
London Interbank Offered Rate (Libor), rates 102 104
Long option 211
Long-dated security 155
Long-term bonds 76
Long-term capital gains 242
Long-term Equity Anticipation Securities (LEAPS) 190
Long-term investment 259
Long-term loan 157
Longer-dated debt 76
Longer-term borrowing 76
Macaulay's duration 174—175
Macaulay's methodology, usage 178—179
Macro fund types 151
Macro-oriented business-level exposure, protection 235
Make delivery 46
Mapping process 144f. See also Cumulative preferred convertible stock
Margin account 35
Market See Secondary markets
Market benchmarks 203
Market capitalization values 48
Market choppiness, near-term period 52
Market control See Federal budgets
Market discipline 259
Market efficiency 258
Market environment 241
Market index 153
Market movement 214
Market neutral arbitrage 151
Market neutral securities hedging 152
Market participants, role enhancement 260
Market prices, attractiveness 52
Market regulation 257
Market risk 205
Market risk reduction 190
Market timing 152
Market transactions 77fn
Market value, actual worth (material difference) 57
Market volatility, zero value 71
Market-moving event 67
Marking convention 167
Maturities 3
Maturities date 19 131—132 144 175
Maturities presence 268
Maturities rating See Split maturity rating
Maturities restrictions 168
Maturities yield 26
MBSs See Mortgage-backed securities
Mexico, default (1982) 102
Modeling conventions 168
Modified duration 175
Modified duration, line 177
Modified duration, price differences See Present value
Modified duration, values, increase 176
Monetary authorities 41
Money market instruments 245
Money market yield 26fn
Moody's Investors Service, ratings, usage 166
Moody's Investors Service, statistical data 98—99
Moody's Investors Service, transition matrices 100t
Mortgage-backed securities (MBSs) 103 134 139 164—165.
Mortgage-backed securities, callable bond optionality, contrast 136t
Mortgage-backed securities, cashflows 136 137f
Mortgage-backed securities, classes 140
Mortgage-backed securities, life 140
Mortgage-backed securities, market 165
Mortgage-backed securities, pass-thru 168
Mortgage-backed securities, pool 140
Mortgage-backed securities, principal 233
Mortgage-backed securities, purchases 261
Mortgage-backed securities, types 262
Mortgage-backed securities, usage 182
Mortgage-backed securities, valuation 137
Mortgages, option-related dynamics 134
Mortgages, pool 129
Moving average calculation 68fn
Moving-mean calculation 68fn
Multiple 31
Multiplication, distributive property 26fn
Multistrategy fund types 152
Municipal bonds 247
NAIC See National Association of Insurance Commissioners
NASDAQ 162
National Association of Insurance Commissioners (NAIC) 261
National currency 188. See also Nonnational currency
Negative carry 117—120 124
Net basis 218
New York Stock Exchange 162
Next day, definition 16
Nikkei 162
Nominal spread (NS) 61f 133 134f
Nominal spread, interrelationships 61f
Nominal yield differences 243
Nominal yield spread, calculation 43
Non-cash-flow paying security 206 229
Non-par bond Treasury security 44
Non-pass-thru-type structures 139
Non-Treasury bond 24 60
Non-Treasury instruments 239
Non-Treasury liquidity premium 45
Non-Treasury par bond curve 60
Non-Treasury products 102
Non-Treasury security 59 102
Non-Treasury security, forward spread calculation 45
Nonbenchmark security 28
Noncallable bond 208
Noncallable bond, price 199
Noncallable securities 199
Nonderivative credit-sensitive instrument 100
Nondeveloped markets 88
Nonfixed income securities 38
Nonnational currency 88
Nonsynthetic CDO 106
Nonsystematic risk 219
Nonsystematic risk, contrast See Systematic risk
Not-for-profit entities 241
Notional amount 126
Notional amount, delta-adjusted amount 127
Notional contract value 192
Notional principal 260
ns See Nominal spread
OAS See Option-adjusted spread
OECD See Organization for Economic Cooperation and Development
Off-exchange transaction 77
| Off-rhe-run securities 44fn
Off-the-run issue 196
Offsetting forward transaction 212
OLS See Ordinary least squares
On special (special) 196 240
On-the-run issue 44fn 196
On-the-run securities 44fn
On-the-run Treasury 44fn
Opportunistic fund types 152
Opportunity cost 194
Option-adjusted spread (OAS) 58—61 133 134f
Option-adjusted spread, impact 61f
Option-adjusted spread, interrelationships 61f
Option-adjusted spread, pricing model 200
Option-adjusted spread, volatility, relationship 200
Option-pricing model, modification 69
Option-type product 214
Options, building-block approach 56
Options, deferred feature 58
Options, in-the-money value 208
Options, interrelationships 56f
Options, model, tree See Binomial option model
Options, strategies 168
Options, undervaluation / overvaluation 57
Options, usage 125f
Ordinary income 242
Ordinary least squares (OLS) regression 183fn
Organization for Economic Cooperation and Development (OECD) 259—260
Out-of-the-money 125. See also Deep out-of-the-money
Out-of-the-money, call option 63fn
Out-of-the-money, movement 210
Out-of-the-money, put option 63fn
Over-the-counter (OTC), forward-dated transactions 78
Over-the-counter market 248 253
Over-the-counter options 168
Over-the-counter products 168 260
Over-the-counter transaction 77
Over-the-counter Treasury options 79
Overcollateralization 90
Overcollateralized MBS 135
Overlay funds 158
PACs See Planned amortization classes
Par bond, curve 26 43
Par bond, yield 26
Par swap 104
Pass-through security 134 226
Payments, timeliness 22
Payoff profile 127 193 206 207f.
Payoff profile, benefit 208
Peer group 5
Perpetual bond 97
Perpetuals, coupons 97fn
Planet currency 188
Planned amortization classes (PACs) 140—142. See also Busted PAC
Planned amortization classes, application 142f
Portfolio construction See Bonds
Portfolio duration 185
Portfolio emphasis 152
Portfolio managers 96 162—164 167fn.
Portfolio managers forecast 234
Portfolio product mix 165
Positive carry 118 124
PPP See Purchasing power parity
Predetermined life span 3
Preferred stock 144. See also Equities
Preferred stock, type 145
Premium currency 49
Prepayments 129 135
Prepayments rate See Constant prepayment rate
Prepayments speed 142
Present value, modified duration (price differences) 177
Present yield 25
Price / yield relationship 179—180
Price / yield relationship, comparison 178f 179f 181f
Price cone See Coupon-bearing Treasury; Currencies; Equities
Price risk 223 236.
Price risk, currency classification 187f
Price sensitivity See Delta; Theta; Vega
Price sensitivity test 262
Price to book value 231
Price uncertainty 18 25
Price values, contrast 177t 181t
Price yield, relationship 200
Price, volatility 226. See At-the-money
Price-depressing effect 81
Price-earnings (P/E) ratio 150 231
Price-lifting effect 81
Principal 4
Principal balances 234f
Principal payments 135—137
Principal-coupon cash flows 137
Priorities 5—8
Priorities, ranking 4
Probability profiles 236f
Probability reduction 235
Probability uncertainty, label 222
Probability value 139
Probability-weighted principal 140
Probability-weighted value 140
Productivity 8
Products 3. See also Option-type product
Products characteristics 255t
Products construction 76
Products interrelationships 204—206
Products mix See Portfolio
Products rankings, continuum 6f
Products restrictions 263f
Profit opportunities 118
Profitability 29
Promises 3—8
Prospectus, usage 250—253
Public Securities Association (PSA) model 138
Purchasing power parity (PPP) 9—13
Purchasing power parity, models 232
Put option 147. See also In-the-money
Put option, value 53 146
Put payoff profile 208
Putable bonds 148—149
Quality option 121fn
Raised debt 86
RAROC See Risk-adjusted return on capital
RARORAC See Risk-adjusted return on risk-adjusted capital
Rating See Issuers; Split maturity rating
Rating agencies 74 82 97
Rating insurance See Credit
Recoveries 94t
Recoveries rates See Weighted average discounted recovery rates
Reference curve 45
Regression analysis 219
Reinvested proceeds 165
Reinvestment rates 20—21 41 223m 229m
Reinvestment risk 195 223 236
Reinvestment risk, comparison 225
Reinvestment risk, dispensing 227
Reinvestment risk, uncertainty 225
Reinvestment uncertainty 18
Relative return fund 150
Relative return investing 153—159
Relative return strategies 161—164
Relative value 27 79
REMICs 262
Repurchase (repo) See Reverse repo
Repurchase agreement 123 195
Repurchase financing See Synthetic option
Repurchase market 36 79
Repurchase rate See Implied repo rate
Residual tranche 141
Retirement accounts (401k plans) 242
Return on risk-adjusted capital (RORAC) 219—220
Return profile 194f
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