利率衍生品建模/基礎實務指南

(正在進行)

在本部分中，我們將涵蓋以下內容

第一部分。市場基礎

第 1 章。資金供求

 - Borrowers of funds, funding cost
 - Lenders of funds, investment yield
 - Where borrowers meet lenders -- banks, primary market and secondary market
   - market segmentation
   - product format
   - example products
 - Three dimensions (to analyze the price of money a.k.a. interest rate):
   - credit worthiness (name, collateral)
   - currency
   - term
 - This book focuses on "macro" factors

第 2 章。衍生品

 - doesn't bring funds / provide yield in itself
 - serve as hedging / transformation / etc purpose
 - (trading venues?)
 - example products:
   - in currency dimension: fxswap, ccs
   - in term dimension: interest rate swap

第 3 章。做市商、套期保值和套利

 * liquidity provider
 * economy of scale
 * law of one price
 * risk-free and risky arbitrage
 * arbitrage in term, currency, market access
 * potato

第 4 章。監管限制

第二部分。建模基礎（可能與第一部分合並）

第 5 章。模型的作用

 * Banking book (accrual accounting) vs trading book (mark-to-market accounting)
 * price and avoid arbitrage
 * pricing on unseen point / hedging
 * q-quant vs p-quant
 * q-quant: key is hedging and replication
 * p-quant: statistical hedging and arbitrage (cross-sectional or in time a.k.a carry)
 * Non-parametric approach
 * provide benchmark for potato price
 * mark-to-market vs mark-to-model: potato
 * price/pricing vs value/valuation

第 6 章。產品定價/估值方法

 - "know your problem" phase
   * (why) understand the purpose of its existence (how does it help demand and supply)
   * (what) understand payoff (termsheet, master agreement; link to spec and/or open source code)
   * (how) roughly go through the front-to-back workflow
 - Modelling phase
   * replicate with traded instruments with known price (model-free, q-quant)
   * price the residual payoff using a model (model-dependent, p-quant)
   * check the hidden costs (regulatory charges, VAs, tax, etc)

第三部分。建模融資交易

第 7 章。單一貨幣融資和收益率曲線

- non-collateralized funding
  - deposit (non-tradable); deposit curve (discount curve)
  - bond (tradable); yield curve
- collateralized funding
  - repo (non-tradable); repo "curve" (not "macro"?)
  - mbs/abs (just mention)

第 8 章。跨貨幣融資和收益率差異

- fx swap
  - interest rate parity

第四部分。建模衍生品交易

第 9 章。利率掉期和遠期曲線

 - why what how
 - short-model way
 - "market model" way (potatoes)
 - which is better?

第 10 章。基差掉期和基差曲線

 - why what how
 - irs is not funding / LIBOR is *not* funding / no "unique" funding curve!

第 11 章。隔夜指數掉期（以及短期利率模型和市場模型的結合）

 - why what how
 - major ois indices
 - moving from LIBOR to OIS
 - again, OIS is not unique (e.g. fed-fund v sofr)
 - reunion of short-rate and market model (from a model perspective)

第 12 章。跨貨幣掉期

 - CCS, CBS, MTM-CCS, MTM-CBS
 - not exactly replicable!

第 13 章。場外交易特性

 - bilateral trading
   - collateral, csa
   - not linked to the payoff but affects valuation on a trade basis
   - 2nd order effect in nature (funding rate is 1st order effect)
 - central clearing
   - types of margins
   - not linked to the payoff and affects valuation on an aggregate basis
   - how do we price them?

第 14 章。期貨

- trading venue (exchange), margin process, settlement / fixing
- interest rate futures and convexity adjustment
- bond futures, delivery basket, cheapest to deliver, options
- fx futures (??)

(??) 可選內容：信用違約掉期和存續曲線（更重要）；通脹產品（?? 較不重要）；結構性產品（不太適合這裡）

第五部分。校準

在前面的章節中，我們假設利率期限結構由一個黑盒給出，該黑盒適合所有市場交易的工具。在本章中，我們將考慮這個黑盒是如何工作的。

- parametric Interpolation
- non-parametric optimization
- reference to books and open source libraries