Fixed income analytics in India

Slideshows

1. The zero coupon yield curve: How well does it work?, Susan Thomas.
2. The zero coupon yield curve, Ajay Shah.
3. Interest rate futures, Susan Thomas.
4. Interest rate options, Susan Thomas.
5. Banks and interest rate risk, Ila Patnaik and Ajay Shah. [Related material]

Yield curve

• Estimating the benchmark yield curve: A new approach using stochastic frontier functions by Gangadhar Darbha.
• Working paper on idiosyncratic factors in the GOI bond market, by G. Darbha, S. Roy and V. Pawaskar.
• Report on spot yield curve estimation by G. Darbha, S. Roy and V. Pawaskar.

MIBOR

• Reference rates on dealer markets: Frequently asked questions.
• Code.

GOI bond index

• Working paper on NSE GOI bond index.

Risk management

• SEBI report on risk management for interest rate derivatives.
• Working paper on fixed income VaR by Gangadhar Darbha.

Data

• Daily time-series of Nelson-Siegel parameters for the yield curve in India

Source code

• A perl program which prints out the daily time-series of interest rates, given the above data file. It internally uses this library function.

Further reading

• SUSAN THOMAS and AJAY SHAH. Interest rates and their markets, in: "India Development Report 2002," (editors) KIRIT PARIKH and R. RADHAKRISHNA, chapter 12, pages 177-194. Oxford University Press, 2002.
• 5th Annual OECD/World Bank bond market forum