Treasury Securities and Derivatives


Treasury securities represent the largest sector of interest rate markets. Treasury Securities and Derivatives provides securities newcomers with the tools they need to get up to speed and seasoned professionals with a valuable reference source. The book covers every aspect of the market, including the basics, valuation techniques, risk analysis, and utilizing derivatives to control interest rate risk.

Treasury Securities and Derivatives covers:

  1. U.S. Treasury Securities
  2. Valuation of Treasury Securities
  3. Yield and Return Calculations
  4. The Term Structure of Interest Rates
  5. Spot Rates, Forward Rates, and Theories of the Term Structure of Interest Rates
  6. Measuring Level Risk
  7. Measuring Yield Curve Risk
  8. Measuring Historical Yield Volatility and Forecasting Yield Volatility
  9. Repurchase Agreements
  10. Tax Treatment
  11. Cash Market Trading Strategies
  12. Treasury Futures Contracts
  13. Treasury Options
  14. Valuation of Treasury Futures and Options
  15. Controlling Interest Rate Level Risk with Treasury Futures and Options
  16. Basis Trading with Futures and Volatility Trades with Options