# Tagged Questions

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### How to compute treasury yields as reported in the online financial newspapers?

I am trying to compute treasury yields (with different data) similar to what has been done by bloomberg, yahoo finance, msn money, and wall street. I find the data reported by these are not the same ...
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### What techniques can be used to get the missing maturities from the CMT yields?

I have constant maturity treasury data from the h15 release of the FED, from which I use 6 month, 1 year, 2, 3, 5, 7, 10, and 20 year yields. I want to strip the zero coupon curve, but am not sure ...
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### semiannual bond equivalent yield spot rates

I can't seem to find the answer to this question anywhere. This is for CFA study purposes. Semiannual bond equivalent yield spot rates...how do I know if they are annualised or not? I just saw an ...
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### Yield Curve Movement: Risk/Reward versus Safe Haven Demand & Monetary Policy Expectations

UK leaves Europe, credit rating get's downgraded. High uncertainty, higher perceived risk - based on just risk/reward, would expect yields on UK debt to increase. They did the opposite. UK government ...
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### How was money made from bond yield convergence?

I'm currently reading a book which provides examples of how hedge funds employed a global macro trading strategy in the past to generate significant returns. Once such example is the convergence of ...
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### Bonds with embedded options pricing via binomial model

Notation: t - time; G(t) - zero-coupon yield curve; $r$, $r_d$, $r_u$ - interest rates. The task is to find market price of a bond for today, while knowing the price of a number of other bonds. ...
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### Bootstrapping bond spreads as in the standard CDS model

Suppose that we have a spread curve $\boldsymbol{s}:=(s_1, ..., s_n)$, where $s_i$ are CDS par spreads. Moreover, assume the standard ISDA model framework, i.e. piecewise constant forward / hazard ...
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### How to compute the yield on the Ultra-Bond Treasury Futures

I am trying to compute the yield on the Ultra-Bond Treasury Futures which is roughly 172.2187. Heres the description of the contract: U.S. Treasury bonds with remaining term to maturity of not ...
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### Callable bond pricing

I have a HKD callable bond maturing in 2022. the call schedule is bermudan and the next call date is 10/17/16 and redemption price is 100 (the call date is 10/17 every year till maturity). Initially ...
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### Basic questions on the yield curve

When people say "yield curve", do they mean yield/time curve, or yield/price curve? It seems that most of the time, people refer to yield/time curve, as wikipedia suggests. Though sometimes, people ...
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### What is the yield on an infinitely lived ZCB?

I guess the price of a Zero-Coupon Bond with infinite maturity should go to zero, what about its yield? I am asking this because I was dealing with the yield curve and its asymptotic properties when \$...
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### Floating-rate bond

How can I extract expectations about future rates from prices of floating-rate bonds? Please, give reference to any articles, if possible. Thank you in advance.
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### Using the R package “ termstrc ”

I am attempting to use the function estim_nss from the termstrc package in R. However, I am experiencing the following error: ...
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It is claimed that the credit default swap (CDS) spread should approximate the risky par bond yield or coupon rate spread from the riskless bond on the same entity. This comes about when we assume ...
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### Why is the duration of a bond important?

I know what duration measures, but now in the age of computers why is it useful? If the yield changes, we could just simply plug the new yield into a program, or excel or something like that, and ...
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### Pricing a bond contract from the yield curve

When giving a particular class in financial mathematics for a student I saw a problem in a list of exercises that says: How to calculate the price at 15 December 2010 of a bond paying a coupon of 11....
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### Conversion factor for bonds

Hull defines the conversion factor for a bond as the "quoted price the bond would have per dollar of principal on the first day of the delivery month on the assumption that the interest rate for all ...
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### Correlation between S&P500 returns and 10y US Treasuries yields

I'd like to investigate the comovement of stock index returns with bond yields but I don't know which return's duration to use (1-year, 1-month or anything else) to get a better view of the ...
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### Calculate bond yield in python

I want to run the newton method on a large dataset to calculate bond yield. Below is the code I created using a loop. I need to run it on ~50 million lines and the loop is quite unwieldy. Is there a ...
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### Price change of a bond towards yield and YTM

I have been trying to get a good picture of PV01 and DV01(PVBP). I was going through below link. This measure is the absolute value of the change in price of a bond for a one basis point change in ...