Questions tagged [yield]
The yield tag has no usage guidance.
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India 10yr Government security/bond yields
Which sites can provide historical data for India 10year government security which is monthly. Im assuming yield implies total return data (including dividends/interest) reinvested. Im a newbie so pls ...
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Arbitrage Free Nelson Siegel Model Python
I am currently trying to implement the Arbitrage Free Nelson Siegel (AFNS) model in Python. However, I am encountering the problem that my results do not match the current yield curve at all. Is there ...
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99 percentile on BBG Government Generic Bonds
I want to calculate 5 day price moves using 10 years of historical data to a 99% confidence level. I have downloaded 10years of yields and converted into price by subtracting the yield from 100 (par). ...
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Is z spread always ‘better’ than nominal spread?
If nominal spread is the addition to the treasury yield at the WAL of the risky bond cashflows (to worst) necessary to make the npv of the cashflows equal to a given price, and z spread is the ...
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Mathematical meaning of an inverted yield curve
I am currently working on rates model. I would like to understand, mathematically, what does it mean to have an inverted yield curve?
And I am asking myself for a certain model, how can I generate an ...
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Aggregate Yield to Maturity with Stochastic Interest Rate Paths
Suppose I am valuing a callable bond using stochastic interest rate paths (LMM generated for example) and I wish to express yield to maturity as a single value.
Would it be appropriate to average the ...
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What is the day-count basis of the "true yield" reported by Bloomberg for bonds?
Plenty of sources the web, including Bloomberg's CFA pararation pages, state that the "true yield" reported by Bloomberg for bonds uses business adjusted payment dates for computation. ...
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Unexpected negative roll yield on USD/EUR forward?
on June 1st 2023, 1 EUR was buying 1.0762 USD spot. In the forward market, one could sell EUR 3m forward for 1.0816 USD.
Forward rate was greater than the spot rate, therefore EUR was trading at a ...
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DV01 of 10-Year vs 1-Year Zero-Coupon Bond at 0% Flat Interest Rate Curve
As the title suggests, what are the DV01s of a 1 million principal zero-coupon bond with 10-year and 1-year TTM with an assumed 0% flat interest rate curve. I understand that the duration for both ...
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How do i use this formula to find the YTM of a step up bond?
I'm trying to find the YTM for a step up bond that trades at par value, how do I use this formula? Since the par value and sale price is the same, and coupon payment is different each payment.
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How to calculate YTM in case coupon payments are reinvested at a different rate than the bond's coupon rate?
I know that calculations of yield to maturity(YTM) assume that all coupon payments are reinvested at the same rate as the bond's current yield and take into account the bond's current market price, ...
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Computing treasury note/bond prices from yield
I wanted to make sure my calculation of the US treasury note/bond price is correct. Since T-notes and bonds pay coupons twice a year, let
\begin{eqnarray}
F &=& \rm{face\_value} = 100 \\
y &...
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Does the rolling of bond payments from non-business days to the next or previous business day affect the calculation of accrued interest and YTM?
(1) Does the rolling of bond payment from non-business days to the next or previous business day affect the coupon payment and the accrued interests within the coupon period? In other words, are the <...
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Strange Market Data YTM for a Zero Coupon Bond
I am trying to compute the YTM of the following Zero-Coupon Bond:
The issue date was 13-01-2022 and the maturity date was 14-01-2023.
For me, it seems strange that the price remains "almost ...
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US Treasury: Calculating Price from Yield [closed]
I'm trying to get the basics of bonds by going from yield to price (and vice-versa hopefully).
What I want to do is from publicly available source go from the treasury bond yield to the price. So for ...
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What is the maximum yield that can be received from owning an equity?
Suppose I lend you an equity security for ten years, interest-free, and you have to return it to me at the end of term (which means little-to-no risk-taking). What is the maximum (near-)riskless yield ...
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How does one get exposure to stock borrow rates?
Suppose I am long equity borrow rates, but I don't know exactly when borrow will increase. What is the most effective way to trade this?
The naive strategy of borrowing the stock now and then lending ...
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What is the difference between Discount Yield and Yield on US Treasury Bills
I would like to understand the fundamental difference between yield and discount yield, specifically relating it to zero coupon treasury bills.
Please see image below:
For those who are terminal ...
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Pricing a bond denominated in USD but issued in Europe
I need to price a USD bond using yield-to-maturity from the yield curve (YC). The bond is issued by a German company.
My question is what yield curve should I use: the US Treasury YC or the EUR YC of ...
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How to interpret YTM of FRN when interest rates change?
Say I have a FRN.
If rates go up, then my cashflows are discounted more, but my coupons also go up, so in the end, my bond may be worth the same.
However, if rates go up, then since my price is ...
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Estimating Zero Coupon Curve using only Fixed-Coupon bonds available
Today I have been struggling with something that someone here for sure has already encountered. I have a corporate issuer with a set of fixed coupon bonds (maturities between 1.5 to 20+ Years, luckily ...
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Why do some TIPS bonds have credit spread < 0 [duplicate]
If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds)
Why is that the case. ...
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Reverse Repo and Yield to maturity
there is one question I got wrong that I am confused about and that is the following :
If you believe that yield will increase in the future which of the following should you choose?
the two ...
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Is High Treasury yield a bullish signal to stock market?
Conventionally, when 10Y T yield is up, investors run away from growth stock, and vice versa, as it affect the risk free rate, and caused changes to their DCF model.
I am here trying to breakdown the ...
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Does tail risk disappear in the long horizon in any rolling over strategy with shorter frequency?
Say I am investing to gain weekly yields ${y_{i}}$ for over a year, gaining the overall yield:
$\prod_{n=1}^{52} (1+y_i) -1$
The most dominant term in the above product is the sum of all yields, which ...
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How do you construct a zero coupon curve from the current market yield curve?
If I was to take the current market yield to maturity and tenor for all bonds for a particular issuer how can I convert this curve into a zero-coupon curve?
For example if we were to get the yield and ...
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Data on historical, cross-country nominal yield curves
Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI.
(I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
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How do I calculate yield and trading margin of an Australian Dollar floating rate note?
I am trying to calculate the yield and trading margin on an AUD FRN in a robust manner. I am hoping someone can help with a few details.
I am forecasting cash flows and solving for the discount rate ...
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Definition / convention of statements receive 10s30s and boxes
I have a very practical question regarding the terminology of swap / rates trading. What is the exact definition of statements like receive 10s30s. I know that it is the spread between 30y and 10y ...
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Building a yield curve out of YTM's with different coupon periodicities
I want to graph a yield curve using the yield to maturity of my bonds. However, my coupon rates have different periodicities. Financial Mathematics for Actuaries by Wai-Sum Chan Yiu-Kuen Tse give the ...
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YTM calculation of a portfolio
Should I take in count future which are used to lower the duration to calculate the portfolio's YTM ?
(Bloomberg calculate portfolio's YTM without Future)
Im currently doing the weighted average. I ...
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Yield to maturity of amortized bond
I have an amortized bond with maturity at 30.04.2023, a semiannual frequency, 10% coupon rate, 30Е/360 day convention, and a clean price of 104.9367. Also, there are two amortization payments: 300 at ...
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Long Breakeven inflation
I want to go long bei by going long individual 10 year tips and short individual 10 year treasuries. How do I calculate and match the duration?
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Schedule, Yield-to-Maturity, and NPV of Fixed Rate Bond from QuantLib Python
I would like to price a fixed rate bond using QuantLib Python.
The pricing is fine, however I would like to understand how to extract the Yield-to-Maturity (YTM) of the fixed rate bond, that is, the ...
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Problem with bond.bondYield Quantlib
I'm having issues with a simple FixedRateBond bond yield calculation using QuantLib:
...
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Bond Future and Bond Yield relation
I recently read, that yield changes during a short time window can be approximated by dividing the returns of futures on the bond by its Duration. Has anybody heard this before and can shed some light ...
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How to bootstrap zero coupon rates and what is the relationship with par yields
I understand the basic logic of bootstrapping zero coupon rates (take a bond, discount each cashflow at the prevailing/previously solved zero rate, and solve for the last rate at the last cashflow). I ...
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Carry and Pull to Par of a bond
I am of the understanding the true carry of a bond is yield - repo rate. And not simply coupon + repo cost because this doesn’t ...
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TNote Futures contract YTM vs yield on bought notes? [duplicate]
I understand how to calculate the yield on a 10 yr TNote based on face, price & coupon.
I don’t understand why the yield (and price) on a futures contract about to expire is so different than the ...
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Interpolating a yield from two yields (giving more weight to one of the two)
I would like some guidance with the following please.
Suppose I have two yields:
...
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Hull's book par yield example [closed]
In Hull's book (9th edition), on page 83, there is a simple example of par yield:
I am a bit confused when it says "this has semiannual compounding because payments are assumed to be made every ...
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corporate bonds - general questions [closed]
Newbie here and not trading IRL but for a school assignment.
I want to buy corporate bonds because they are a safe bet from what I read. I have a few questions though, I hope I will find an answer ...
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Calculating the cumulative probability of default from recovery rate, yield and coupon rate
I have the following details:
A 10-year U.S.Treasury strip has a yield of 6% and a 10-year zero issued by XYZ Inc, rated A by S&P and Moody's, has 7% (semi-annual compounding). Assuming a recovery ...
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ICVS 133 Bloomberg Curve
This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants.
I'm ...
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Which relation stands between IRR and the cumulative profits?
In the graph below you can see an irregular Cash Flow.
The graph is cumulative, on the y axes there are moneys, on the x the dates.
In the second graph the IRR (...
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How to compute par yield from zero rate curve?
How does one calculate the below two-year par yield given the zero rate curve:
Assume the following two-year zero rate curve, with continuous compounding:
...
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FED rate cuts don't exist
I would just like to confirm my understanding of how the FED controls interest rates. In my view there's no such thing as changing an interest rate. Because rate/yield is just an effect of price ...
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Agency Fixed Rate RMBS Yield Decomposition
I'm trying to find the best way to decompose the yield on an index of fixed residential MBS securities and want to open up the question to the community. The goal is to look at this from a ...
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reason behind bond yield diverge for bonds with the same maturity during 2008 crisis
I was told that the following two US treasury bonds diverged in yields during 2008 crisis up to 80 bps. what was the reason for it ?
They are both matured in 15th Aug 2015 but has different coupon ...
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Calculating coupon yield and continous compounding
I need to calculate the yield of a 2 year Coupon Bond. Price = 98, Coupon = 3.5, N = 100.
Now when I try to solve this, I arrive at the equation:
$$
98 = 3,5*e^{-y}+103,5*e^{-2*y}
$$
But I can't ...