Fundamental Fixed Income Strategies

This is an introductory guide to the formulation of trading and investment strategy in interest rate markets. Fundamental Fixed Income Strategies arms students and practitioners with a thorough understanding of how fixed income markets operate in practice, taking a rigorous approach to the pricing and trading of interest rate instruments within a larger macroeconomic framework. The book begins by considering the supply and demand of credit before examining how central banks set short-term interest rates. It then examines the pricing of money market and derivative instruments and how to use them to implement a preferred strategy. It outlines the empirical behaviour of the yield curve through the business cycle and provides a rigorous treatment of the implementation of strategies in the bond and derivatives markets. Finally, the book outlines a framework for formulating strategy in the corporate bond and credit derivatives markets. Throughout, readers will find examples of spreadsheets and calculators, as well as examples of strategies commonly employed by practitioners. It presents a thorough introduction to fixed income/interest rate markets for traders, asset managers, hedge funds, and institutional investors. It is written by one of the leading bond strategists in the industry. It is intended to bridge the gap between finance and economic texts, analysing trading and hedging strategies through a broad macroeconomic framework.