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2
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3answers
870 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 ...
3
votes
4answers
476 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
295 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
933 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
118 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
852 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
149 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
147 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?