Puttable and extendible bonds : developing interest rate derivatives for emerging markets /

Puttable and extendible bonds : developing interest rate derivatives for emerging markets /

Saved in:

Bibliographic Details
Author / Creator:	Neftci, Salih N., author.
Imprint:	Washington, D.C. : International Monetary Fund, ©2003.
Description:	1 online resource (29 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/03/201 IMF working paper ; WP/03/201.
Subject:	Interest rates. Bonds -- Developing countries -- Econometric models. Interest rate futures -- Developing countries -- Econometric models. Derivative securities -- Developing countries -- Econometric models. Bond market -- Developing countries -- Econometric models. Bonds -- Prices -- Developing countries -- Econometric models. Bond market -- Econometric models. Bonds -- Econometric models. Bonds -- Prices -- Econometric models. Derivative securities -- Econometric models. Interest rate futures -- Econometric models. Interest rates. Developing countries.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12497475

Hidden Bibliographic Details
Other authors / contributors:	Santos, André, author. IMF Institute. International Monetary Fund.
ISBN:	1282413783 9781282413788 9781451918953 145191895X 9781451874372 1451874375
Notes:	Includes bibliographical references (pages 27-29). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile.
Other form:	Print version: Neftci, Salih N. Puttable and extendible bonds. Washington, D.C. : International Monetary Fund, ©2003
Standard no.:	10.5089/9781451918953.001

Description
Summary:	This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile.
Physical Description:	1 online resource (29 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references (pages 27-29).
ISBN:	1282413783 9781282413788 9781451918953 145191895X 9781451874372 1451874375
ISSN:	2227-8885 ;