The Front Office Manual [electronic resource] : The Definitive Guide to Trading, Structuring and Sales /
Sutherland, A.author.
Court, J.author.
The Front Office Manual is unique, providing clear and direct explanations of tools and techniques relevant to front office work. From how to build a yield curve, to how a swap works, to what exactly 'product control' is supposed to do, this book is essential reading for anyone who works (or wants to work) on the 'sell side'.
Description based upon print version of record.
Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Preface; Acknowledgements; 1 The Structure of an Investment Bank; 1.1 Introduction; 1.2 Front office versus back office; 1.3 The basic front to back process; 1.4 The generation of trades; 1.5 Structure versus flow; 1.6 Vanilla versus exotic trades; 1.7 Over-the-counter versus securitized trades; 1.8 New products; 1.9 Trading and profit in a bank - the role of the trader; 1.10 Different types of trading activity; 1.11 Risk management and valuation; 1.12 Explaining P&L; 1.13 The role of Product Control
1.14 Sales and distribution1.15 Structuring; 1.16 Quantative analysts; 1.17 Support functions around the trading desk; 1.18 Research; 1.19 General control processes; 1.20 Risk management; 1.21 Trading and market risk management; 1.22 Credit Risk Management; 1.23 CVA; 1.24 Back-office functions: settlement and mitigation of settlement risk; 1.25 Client Services and Client Valuations; 1.26 Finance and regulatory reporting; 1.27 Collateral Management; 2 Interest Rate Swaps; 2.1 An overview of the product; 2.2 Technical aspects of the swap; 2.3 How much is a swap worth?; 2.4 Counting the days
2.5 Adjusting the days2.6 Holidays; 2.7 Special features - stubs; 2.8 Special features - IMM Dates; 2.9 Special features - amortization; 2.10 Special features - compounding; 2.11 Special features - accruals in arrears; 2.12 Basis swaps; 2.13 Non-deliverable swaps; 2.14 Overnight-index swap; 2.15 Using swaps for hedging exposures; 2.16 Management of the swap lifecycle; 2.17 Operations; 2.18 Product control and the profit and loss process; 2.19 Risk management; 2.20 Changes to swap clearing; 2.21 Tri-Optima; 3 An Introduction to the Interest Rate Yield Curve; 3.1 What is a yield curve?
3.2 LIBOR and the interest rate curve3.3 An introduction to discounting; 3.4 Using deposit rates to build a very simple yield curve model; 3.5 The zero coupon curve; 3.6 Issues with the classic yield curve; 3.7 Where do we go from here?; 3.8 Credit effects; 4 The Mechanics of Simple Yield Curve Construction; 4.1 The yield curve model; 4.2 The classic single-curve; 4.3 The basic discounting curve; 4.4 The forward rate curve; 4.5 A note on rates; 4.6 Building the classic single-curve; 4.7 Introducing the ZCR table; 4.8 Populating the ZCR table from deposits
4.9 Deposit basis, spot days and holidays4.10 Extending the ZCR table with futures; 4.11 Extending the ZCR table with FRAs; 4.12 Introduction to swaps in the yield curve; 4.13 Extending the ZCR table with swaps the simple way; 4.14 Swap basis, frequency for major currencies; 4.15 Extending the ZCR table with swaps: Newton-Raphson; 4.16 Methods of interpolation; 4.17 Other second-order corrections: futures convexity, turn-of-year and swap adjustments; 4.18 Summary; 5 Discount and Forward Interest Rate Curves; 5.1 The overnight index swap and discounting
5.2 Building the basic discounting curve
Includes bibliographical references and index.
The Front Office Manual is unique, providing clear and direct explanations of tools and techniques relevant to front office work. From how to build a yield curve, to how a swap works, to what exactly 'product control' is supposed to do, this book is essential reading for anyone who works (or wants to work) on the 'sell side'.
Capital market.
Banks and banking.
Investment banking.
Securities.
Risk management.
Business enterprises—Finance.
Accounting.
Bookkeeping .
Capital Markets.
Banking.
Investments and Securities.
Risk Management.
Business Finance.
Accounting/Auditing.