The bond tag has no wiki summary.
2
votes
2answers
98 views
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
I'm trying to price a fixed rate bond one year from now on.
The bond is the PEUGOT 7 ⅜ 03/06/18, whose ISIN code is FR0011439975. I'm using such a specific example because in this way everyone can ...
3
votes
0answers
60 views
RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?
Please, consider the following functions from RQuantLib package:
FixedRateBond()
...
3
votes
3answers
140 views
YTM and current yield
Which of the following statements is correct?
a. If a bond’s yield to maturity exceeds its coupon rate, the bond’s current yield must also exceed its coupon rate.
b. If a bond’s yield to maturity ...
1
vote
2answers
116 views
CTD and bond futures
I am reading a chapter on bond futures in Fabozzi's book. It states that without CF (conversion factor) the CTD (cheapest to deliver) would be the bond with the longest maturity and highest coupon. ...
2
votes
3answers
196 views
What is the clean price and dirty price of a risky bond?
Following up on this question: Yield of a risky bond, what is the definition of clean and dirty prices for a risky (defaultable, catastrophe, etc.) bond?
I would think the dirty price should ...
2
votes
4answers
225 views
Yield of a risky bond
When working with risky bonds, i.e. corporate bonds, what is usually defined as the yield of such a bond? Is it the yield calculated as if the bond was riskless, or is it calculated by properly taking ...
1
vote
1answer
181 views
equity linked notes (bull/bear equity performance bonds)
I have to price what my lecturer calls "Bull and Bear Equity Performance Bonds". Basically there's dates $t_i \in [0,T]$, where $t_i - t_{i-1}$ is the same for all choice of $i$. On each date the bull ...
2
votes
1answer
214 views
Calculate the “ten year zero rate” given two bonds with two prices
I have a little question and need some help with the notation. So, the question goes as follows:
A bond with a maturity of ten years that pays annual coupons of 8% has a price of \$90. A bond with ...
1
vote
1answer
91 views
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option?
The bonds which Greece has paid had been valued by market as junk once, just before there payment. Given that the observed market value is the net present value of the instrument, why were they so ...
1
vote
3answers
273 views
How to properly interpret accrued interest of bonds
Ever since I work in finance I was wondering what accrued interest (AI) are good for (see the wikipedia article for a short introduction). I think I have a clear picture in mind now and the usual ...
2
votes
0answers
107 views
What is the highest frequency greek for options on futures on bonds?
I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
0
votes
1answer
114 views
How do I check whether OAS value is correct?
How do I check whether the Option-adjust spread value I have retrieved from external calc utility is correct? Can you please tell me the steps to verify this?
