Securities which obligate the borrower/issuer to make payments on a fixed schedule. Fixed income securities include sovereign, corporate and municipal bonds, corporate loans, and securitized lending (e.g., ABS). "Fixed" refers only to the schedule of obligatory payments, not the amount, and may ...

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25 views

Smoothening yield curve by minimizing forward curve slope

I am using government bullet bond data and have bootstrapped a yield curve by solving the following optimization which minimizes unweighted price error: ...
3
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1answer
88 views

Wrong discount factors when finding Nelson Siegel Svensson model parameters

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. Some of the code I have written is below and this is where my ...
1
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1answer
40 views

How to measure the volatility of illiquid bond with no historical prices

The basket of corporate bonds that I am following barely traded after the issuance. Hence, there is no historical data to estimate the volatility. Can you suggest me a different approach to come up ...
2
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1answer
146 views

U.S. Rate Hike Prediction

In a recent ft.com video an analyst mentioned that markets postponed their Fed rate hike expectation from September to around November 2015 due to the CNY devaluation, based on the "shift" of some ...
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0answers
27 views

How is the 50% chance that the Fed will increase borrowing costs on Sept. 16-17 calculated from bond futures? [duplicate]

http://www.bloomberg.com/news/articles/2015-08-14/bond-market-says-chinese-yuan-won-t-stop-the-fed-from-moving Futures contracts indicate traders see a 50 percent chance the U.S. central bank ...
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1answer
297 views

Key Rate Duration for MBSs greater than Key Rate Tenor

Key Rate Durations (KRD) are essentially some fixed income instrument's price sensitivity to a non-parallel shift in interest rates (i.e., a shift at the "Key" Rate). For example, a 10-year bond's ...
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0answers
31 views

Correct form for State Space Equation for Kalman Filter for DNS

In this paper: http://www.ssc.upenn.edu/~fdiebold/papers/paper55/DRAfinal.pdf in eqns 3,5 the state eqn has the mean removed. $(z_t-\mu)=A(z_{t-1}-\mu) + \epsilon_t$ $y_t=C z_t + \delta_t$ ...
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1answer
42 views

Selecting bonds to be used in Nigel-Siegel Svensson OLS Regression

I need to obtain the initial parameters that would be used in the Non-Linear Optimization that provides the Nelson-Siegel Svensson parameters for US Treasury Bonds. The Optimization appears to be very ...
3
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1answer
216 views

Do you have a validation set for Libor Market Model implementation?

I'm trying to calibrate a Libor Market Model (LMM) in Matlab with my user-defined function, not their package. I already fitted the market volatilities using SABR but failed to simulate the ...
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0answers
36 views

Is there a limit to the number of Spot rates than can be calculated from Par Yields

I am just trying to calculate Spot Rates from Par yields. I find that the code below gives very similar spot rates for the data here, yet if I increase the size of the ...
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1answer
59 views

Forward parity in fixed income

In stock and index we have a beautiful forward-spot parity $$ F(t,T) = S(t)\cdot B(t,T) \tag{1} $$ which tells us that to price a forward contract at time $t$ with expiry $T$ we can just borrow ...
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1answer
75 views

Issue with OLS Regression for Nelson Siegel Svensson parameters

I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
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1answer
46 views

Calculating Accrued Interest of Bonds

I am trying to calculate the accrued interest for a set of Treasury Bonds. I am comparing the answer from the code below with that for the 1st Bond(row) over here. In the link the AI is ...
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1answer
39 views

Understanding how to calculate Accrued Interest of Bonds

When calculating the accrued Interest of Treasury Bonds, how does one set the settlement date? And, is it possible for certain bonds that there are no coupon payments before the settlement date and ...
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1answer
75 views

Bond in relation to US T-Bill/Risk-Free rate

By looking at the following charts , i wondered about how to plot a fixed income security against a risk free bond. I have the bond price time series but I am not sure what US T-Bill rate I should ...
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1answer
21 views

Correct Theoretical Discount Factors from Nelson-Siegel-Svensson?

I am calculating the theoretical discount factors associated with a bond that has 30 months to maturity from today with the parameters below obtained from here using the Nelson-Siegel-Svensson Model. ...
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0answers
41 views

Fed Funds Rate: longer maturities

FFR published by Fed Bank of NY is the average rate US banks charge each other for the overnight loans of their reserves required by the Fed regulations. Since Fed acts similar to a clearing house ...
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1answer
26 views

Constructing NS-Svensson parameters with zero coupon AND coupon bonds

I am in the process of calculating sovereign zero coupon yield curves using the NS-Svensson parameter for a number of countries. Due to data constraints, I would like to use the information from price ...
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1answer
34 views

Transforming coupon bond returns to ZC bond returns

I am interested in aggregated Amihud ratios measures over bond groups. For a large panel data set with daily bond prices and volumes I have calculated already Amihud ratios per ISIN/day. Naive ...
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2answers
70 views

Legitimate input parameters for Nelson Siegel Svensson model

I had previously asked this question and have come to better understand the answer with regards to setting the input parameters for the Non-Linear Optimization problem that provides the NSS ...
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1answer
50 views

Calculating discount factors using Nelson Siegel Svensson model

I am trying to understand how to calculate the discount factors $disc(TTM)$ mentioned on Page 9 of this pdf. When I'm calculating the discount factors, mentioned each bond has its own cash flow and ...
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1answer
27 views

Term to Maturity when calculating discount function

I am just trying to understand what TTM (Term to Maturity) means in Page 8 of this PDF when calculating the discount function. Is it just the vector representing the difference between the time to ...
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1answer
127 views

Understanding how to obtain Nelson Siegel Svensson parameters

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. I am using the procedure presented in this paper. The way I ...
0
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1answer
84 views

Setting input parameters for Nelson Siegel Svensson model

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non-Linear Optimization problem to do this. I am trying to solve: $$ \min_\theta{\sum{(p_i - \hat ...
2
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0answers
68 views

Calculating Net Annualized Return on LendingClub historical data

I am interested in the formula LendingClub provides as their measure of "Net Annualized Return": $\big(1 + \frac{\sum_{i=1}^N{((I_i + L_i - S_i - C_i + R_i) / P_i) ...
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1answer
44 views

Looking for the conventions for EONIA swaps used to define EONIA swap rates

I'm trying to recreate some historical curves using EONIA swap rates. Unfortunately I can't find a concrete specification for the swaps. Without knowing if there are intermediate coupon payments, I ...
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2answers
92 views

Solving the Bootstrapping equation when matrix is non-square

I am trying to construct a Zero Coupon Yield curve for US Government Bonds from market data (coupons, face values, prices, months to maturity) via Bootstrapping. However, I am not too sure how I would ...
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0answers
50 views

Issue with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I insert into the Dataframe ...
2
votes
0answers
86 views

Problem with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function and eventually the zero-coupon yields. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I ...
1
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1answer
98 views

Jacobian transformation

I am trying to calculate pillar-wise sensitivity of a fixed coupon bond using par rates (given pillar-wise zero coupon sensitivities). I came across the formula pv01(par) = pv01(zero) * dz/dr, where ...
6
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1answer
98 views

Why can CDS indices be used as a bond market index?

I don't understand why the iTraxx indices family, which are credit default swap indices, are in practice often used to gauge the bond market. How are CDS prices related to bonds prices ? And what ...
3
votes
2answers
259 views

Practical implementation of Libor Market Model

I am trying to implement a project about the BGM model, suggested in the book "The Concepts and Practice of mathematical finance" by Mark Joshi. My question is related to the forward volatility ...
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0answers
33 views

Swiss Zero-Coupon Bond Yield Curve Data

I am trying to access the Swiss Zero-Coupon Yield Curve Data. I know that the Swiss National Bank provides this data, as noted on the 8th Page of this paper under Section 3.2. However, I am for the ...
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1answer
75 views

Using Spot Rates to construct Zero-Coupon Bond Yield Curve

I am just trying to get an explanation as to why Spot Rates can't be used to create a yield curve for Zero-Coupon Bonds? Or if they can, would it involve Bootstrapping? Thanks
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1answer
35 views

Export security description data from bloomberg into excel

I have the cusip of about 300 bonds. I want to retrieve the security description from bloomberg and then export it into excel. Does anyone have any tips as to how to accomplish this?
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1answer
65 views

API that provides Zero Coupon Bond Yield Curves?

Would anyone know and API or Database where one could access Zero Coupon Bond Yield Curves? Also, is it wrong to use Coupon Paying Bonds Yield Curves and then zero-finding and then bootstrapping to ...
2
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1answer
52 views

One state variables implies perfect correlation of returns?

In Vasicek's seminal 1977 paper "An equilibrium characterization of the term structure", he states the bond price $P(t,s)$ is a function of the spot rate $r(t)$, $P(t,s) = P(t,s,r(t))$. He then ...
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2answers
55 views

returns of Bonds and exchange rates

which are the best distributions in order to model the bonds and exchange rate returns distributions. I am searching for a distribution such as the log-normal one of the stocks ( N(m-0.5*v),Sqrt[v])
6
votes
1answer
158 views

Pricing Treasury futures

I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...
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11answers
29k views

What is the difference between Option Adjusted Spread (OAS) and Z-spread?

I am preparing for the CFA level 2 exam, I got confused by the concept Z-spread and OAS. When a call option is added to a bond, since it is not favorable to the bond buyer, they would require more ...
2
votes
1answer
115 views

Building curves using onshore or offshore JPY overnight rates?

I am trying to build Japanese Yen interest rate curves. When defining the curve instruments for the 'OIS' (discount) curve (aka TONAR), I am uncertain as to which rate to use for the overnight deposit ...
3
votes
1answer
1k views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
5
votes
1answer
511 views

Can duration gap analysis be applied to mortgages?

Can a mortgage loan be treated like a bond and its duration calculated using the bond duration formula? More precisely, can I calculate the loan portfolio duration for duration gap analysis, with ...
2
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0answers
99 views

Modified duration in multi-currency portfolio

I was thinking about how to figure aut duration for portfolio of bonds denominated in different currencies… I would like to compare sensitivity of portfolio to shift of yield with competitive ...
2
votes
1answer
148 views

UST Yield Curve Forecasting - Bond Structure Testing

I have a project in mind that I am working on, but have little idea where to start. I am a relative newcomer to python (about 1 years exp.) and limited knowledge of quant finance. What I would like ...
2
votes
2answers
4k views

how to calculate a cross-currency swap in basis pt?

This question has been bugging me for awhile now and I've been trying to find a definite answer, however, no avail... My question, in specific, relates to the USD/CNH CCS rate. From what I understand ...
0
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1answer
52 views

Effective & Maturity Date Modified Following

I am constructing discount curve for tenor 1 month. First Instrument - PLN_1M_WIBOR has Effective Date on 2015-01-29 (spot). I was wondering what Maturity Date should be? 2015-02-27 or 2015-03-02? I ...
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vote
2answers
106 views

Factor immunization for bond portfolio

I'm trying to figure out some kind of immunization using a factor model I developed for interest rates. Here is the basic problem. Let's say that we have a bond portfolio containing $N$ bonds with ...
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0answers
106 views

bond price formula in excel

I inherited a excel spreadsheet that has the following code to price a bond given coupon and current yield ...
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0answers
35 views

Invoice Discount pricing model

I was wondering whether there exist pricing models in particular for Invoice Discounting contracts and short-term financing solution where credit risk plays a major role. Specifically, assuming that ...