3
votes
2answers
118 views

Cross-sectional volatility vs temporal volatility

Volatility is usually defined as the standard deviation of returns, but sometimes it is calculated as the standard deviation of cross-sectional return divided by the square root of time, where other ...
2
votes
1answer
189 views

Basis point implied volatility of TY notes

As I see people trading 10-year notes are often quoting implied volatilities in terms of daily (or yearly) basis points. While at first I thought it is simply a translation from % to the actual spot ...
2
votes
0answers
288 views

Yield Curve Volatility

Let you have several issuers, and let each issuer have its yield curve built up with liquid plain vanilla fixed rate bonds. Each yield curve has its slope and its curvature, and they obviously change ...
6
votes
1answer
138 views

Should we apply practical constraints on the distribution of monte carlo paths?

to limit interest rate paths to a 'reasonable' range (if we could define reasonable). Now we calibrate log-normal skew and mean reversion monthly to robust basket of atm swaptions and in and out ...
4
votes
3answers
1k views

Does the debt load affect the volatility of equity?

Does the debt load of a company have an impact on the stock price of a company and its volatility? Also, how does the market react to the announcement of a company issuing bonds?