Isbn: 9798896654339 - rates relative value trading: a python guide to swap spreads and yield curve arbitrage (4 resultados)

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In rates markets, the most compelling opportunities often lie not in outright direction but in the subtle mispricings between instruments, maturities, and curves. This book is written for fixed income practitioners, rates traders, and portfolio managers who want a practical framework for finding and trading those discrepancies with rigor. It bridges market intuition and implementation, showing how relative value ideas in swaps, Treasuries, and basis markets can be translated into disciplined, executable strategies.Readers will learn the full workflow behind modern rates relative value trading: discounting and swap valuation, curve bootstrapping, DV01 and key-rate hedging, swap spread construction, SOFR-OIS basis analysis, PCA-based butterfly trades, and fitted government curve rich-cheap signals. The book then advances to mean-reversion and AR(1)/OU modeling, adaptive state-space methods, and robust backtesting in Python. By the end, readers will be able to design hedged trades, evaluate convergence signals, attribute P&L, and distinguish genuine alpha from carry, roll-down, and unwanted curve beta.Throughout, the treatment is quantitative but market-grounded, with Python serving as a working research and trading language rather than a theoretical add-on. The result is a practitioner-focused guide that connects valuation, modeling, execution, and risk control into one coherent process for rates relative value investing.…

Taschenbuch. Condición: Neu. Rates Relative Value Trading | A Python Guide to Swap Spreads and Yield Curve Arbitrage | Felix J. Warwick | Taschenbuch | Englisch | 2026 | NobleTrex Press | EAN 9798896654339 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand. …