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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171 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 ...
1
vote
1answer
60 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 ...
1
vote
1answer
248 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 ...
5
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0answers
199 views

is there a mapping from Altman Z-score for private companies to bond ratings or probability of default?

On wikipedia, there is a formula to calculate the Altman Z-score for private companies: Z-score estimated for private firms: T1 = (Current Assets − Current Liabilities) / Total Assets T2 = Retained ...
4
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0answers
48 views

What type of interpolation should be used in key rate perturbation models?

When perturbing a key rate in order to assess sensitivity of portfolio value, what sort of interpolation is standard? A book I am looking at says linear, but this seems pretty unrealistic to me--and ...
3
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0answers
95 views

Pre- Versus post-2008 Crisis Rates Modeling

Modeling for interest rate derivatives (such as bermudan swaptions) is said to have undergone significant changes since the crisis. Prior to the crisis, counterparty default risk was often ignored, ...
3
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0answers
196 views

How are quants able to verify whether their calculated prices are any good

This question is related to the discussion on Model Validation Criteria However it appeard to be very high level to me and I would like to go more into detail. Not working at a pricing desk the ...
3
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0answers
161 views

RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?

Please, consider the following functions from RQuantLib package: FixedRateBond() ...
2
votes
0answers
76 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 ...
2
votes
0answers
74 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
0answers
32 views

How can I break down the change in value for an inflation-linked bond

I am trying to decompose the change in value of an inflation-linked bond into two constituent parts: 1) That due to changing nominal rates on the issuer's non-linked bonds 2) That due to changing ...
2
votes
0answers
123 views

Is there such a thing as “sell-off risk” in bond funds?

Popular yet generally academically-grounded commentators such as Annette Thau and Larry Swedroe have claimed that there is the possibility for "sell-off risk" in bond funds. By this they apparently ...
2
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0answers
405 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 ...
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0answers
149 views
2
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426 views

What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?

Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
1
vote
0answers
11 views

Issue 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
vote
0answers
47 views

Convertible bonds market data

My question is twofold. First, what are the key informations used to describe a convertible bond market ? I'm thinking about market size, conversion rate, appropriate index, ... Second, where to ...
1
vote
0answers
124 views

What is the algorithm for the Fama-Bliss instrument selection?

Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included ...
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0answers
173 views

Market Standard Pricing Models for Fixed Income Securities (Vanilla)

To clarify my heading, I have been searching for a material that consolidates all standard Fixed Income Security Pricing. E.g. ...
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0answers
337 views

Convexity adjustment

I have a problem with the underlying assumption in the future/forward convexity adjustment. If I understand correctly, the assumption is, if I am long ED, I earn money when rates go down and invest ...
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0answers
40 views

How does a covered bond characteristics compare to a mortgage security for credit enhancement?

I need help with understanding how does a covered bond characteristics compare to a mortgage security for credit enhancement?
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0answers
32 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 ...
0
votes
0answers
20 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 ...
0
votes
0answers
79 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 ...
0
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0answers
32 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 ...
0
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0answers
35 views

what data to use to compare the interest rate among different currencies?

Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies. For example, I am interested in compare interest rate in the ...
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votes
0answers
16 views

Daily principal payments, accumulated on yearly basis in excel

I am doing something seemingly quite easy: Prinipal calcuation of a loan. I need to calculate daily principal payments and accumulate it on a yearly basis. So my current implementation look like ...
0
votes
0answers
36 views

sovereign-bond-interest-rate-spreads-basis-points-over-us treasury

Good day I would like to understand the sovereign-bond-interest-rate-spreads-basis-points-over-us treasury concept, does it mean that we should add the ...
0
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0answers
75 views

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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0answers
41 views

Cost of carry for posting bonds as collateral

Cost of carry for posting bonds as collateral How do you calculate cost of carry for posting bonds as collateral?
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0answers
42 views

Where can I find an historical data source for Fixed Income instruments?

We would like to find a data source for fixed income instruments. The information we would like is: Issuer Credit rating Terms Price The information needs to be available over a period, for ...
0
votes
0answers
86 views

Incompatibility of Lognormal Forward Model (LMM\BGM) and Lognormal Swap Model

In his paper On the distributional distance between the Libor and the Swap market models (and also in his book about IR modeling) D.Brigo says: 10, 11, 12 are defined in the end of message. Do I ...
0
votes
0answers
35 views

Variance of “hedged” term structure portfolio increasing?

I'm attempting to use PCA to hedge a small fixed income portfolio. I start with one particular bond and chose the nearest other bond to hedge the 1st principle component. This decreases the portfolio ...
0
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0answers
2k views

Bloomberg Pricing Sources: TRAC vs. BGN vs. BVAL etc

Sorry, I'm very new to using Bloomberg as a tool, so please forgive the naïve question. I couldn't find much information after some cursory online searches, so I figured I'd ask here. Particularly ...
0
votes
0answers
47 views

Fixed Income Swap Sharpe Ratio Calculation

I have a Fixed Income based strategy based on swaps. Q1.) Given that swaps are based on a "notional" principal and no actual exchange of principal's takes place, is it fair to assume a funding cost ...
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0answers
16 views

'C' Marker in PSA for CMO

I will occasionally get a 'C' as part of a PSA in my CMO oddlot data. Most of the numbers will be normal - 277, 297, 269. Then 10C, 20C, 13C. What does the C represent?
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71 views

Input for unanticipated risk premium estimation

In the paper "Economic Forces and the Stock Market" by Chen, Roll and Ross, unanticipated risk premium (URP) is tested as a potential risk factor for stock returns. This factor is commonly calculated ...
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0answers
92 views

DCF of Arbitrary Dates Cash Flows

I am having a problem understanding discounted cash flows. I appreciate your patience and help. Lets say I have a bond that I want to price. ...
0
votes
0answers
162 views

Looking for FpML best practices

We want start using FpML within our organisation; where message will be sent using FpML. What are best practices to do this ? If anyone who have used Tools as well as; i want to use FpML for ...