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Questions tagged [bond]

The tag has no usage guidance.

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0answers
26 views

Fixed Income Products - CQF [on hold]

Does anyone know or familiar with a common Bond Pricing Equation?
0
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1answer
35 views

Why is the number of accrued days equal to one on coupon dates for NL/365?

Accrued day should be zero on coupon dates. This is true for all day count conventions. However, I found that Bloomberg returns 1 accrued day on coupon dates only for NL/365 day count. Bond example: ...
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1answer
42 views

How should we calculate the duration of a convertible bond?

For callable bonds we can use the effective duration to approximate the modified duration, since the future interest rates will affect the expected cash flows. For convertible bonds the underlying of ...
0
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1answer
64 views

Units of Modified Duration and Macauley Duration

I know that the unit of the mod. Duration is % (actually no unit, because every number can be written as %) and the Macauley Duration has the unit time. If you want to convert the Macauley Duration ...
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3answers
103 views

YTM of “very-seasoned” bond issues

There is a liquidity premium between on-the-run treasury issues and off-the-run issues with similar characteristics. This is why when building a yield curve, typically on-the-run issues are used to ...
0
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0answers
27 views

Soft Question: Why forward-rate curve models?

Why did people move away from short-rate models to forward-rate curve models (besides the HJM drift restriction)? Are there any benefits of short-rate models which forward-rate curve models do not ...
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0answers
61 views

Isn't CS01 the same as spread duration (converted to 01 terms)?

CS01 is sensitivity of price to change in credit spread. Spread duration is sensitivity of price to change in OAS. OAS (assuming non-callable bond) is t he additive spread one needs to add to a risk ...
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0answers
17 views

Duration Calculation with Delayed Amortization

I am trying to calculate Duration for a bond with a 10 year maturity, but experiences 10% Amortization over the last 5 years. It also has a 5% coupon. I am interested in the answer, but more ...
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0answers
20 views

Pricing European Call on Coupon Bond in Lattice

What's the best approach to pricing a par call option on a coupon paying bond? Is it to discount the greater of the price and strike through the lattice? And for this, is the price used the dirty or ...
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1answer
40 views

How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?

I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in. One example of what I have tried ...
1
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1answer
58 views

What's the most accurate benchmark index for US corporate and treasury bonds

I'm looking for an index for US corporate bonds and US treasury bonds to benchmark my strategy. I could easily use some ETFs as the benchmark for the recent years but I need data for the time range <...
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0answers
25 views

Money Market Account vs Zero Coupon Bond

Suppose a paper says the investor is able to borrow at the risk-free rate and/or short any security with no transaction costs. The investor wants to obtain cash in the amount of X today and pay it ...
0
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2answers
36 views

Australian Treasury Bonds - Price Calculation with Accrual

In this document ASX Interest Rate Derivatives (on page 7) the Australian Commonwealth Treasury Bond (paying semi-anually) is valued as $$ P = v^{f/d} \cdot \left(\frac{c}{2} + \frac{c}{2}\cdot\sum_{...
0
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1answer
52 views

different Z-spreads for a same company

A same company has two different bonds. I expected the Z-spread to be close for both bonds (since my representation of the Z-spread is the spread due to credit-risk proper to the company). Here is an ...
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0answers
14 views

How to compute historical bond drawdowns from yields

I came across a very interesting article which shows a picture with the drawdowns bondholders would have faced by investing in Fixed Income since 1919. However, the picture I get looks a bit ...
0
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1answer
120 views

How to compute bond drawdowns?

I came across a very interesting article which shows a picture with the drawdowns bondholders would have faced by investing in Fixed Income since 1919. The data is based on the Moody's seasoned AAA ...
0
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2answers
49 views

credit spread ajustment considering currency

I would like to understand what is credit spread basis currency ajustment. credit spread implied by a usd bond won't be the same as one implied by a chf bond, isn't it ? Do you have any elements (...
3
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1answer
88 views

Bond SDE under its own forward measure

I am trying to write the SDE for a forward bond, $dP(t,T_1,T_2)$, under the $T_1$-Forward measure, $Q_{T_1}$. I can easily do this by: Writing the equation of $dP(t,T_1)$ and $dP(t,T_2)$ under the ...
0
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2answers
61 views

why the implied repo rate is higher when choosing the last delivery date to deliver rather than first delivery date

there must be something very basic that I did not get.... I am reading a book. And it says the implied repo rate is defined as IRR = ( invoice price / cash bond price - 1) * 360/ n, where is the ...
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0answers
42 views

repo rate v.s. reverse repo rate

from a book, I read that repo rate is usually higher than reverse repo rate. i.e., the rate to financing a long security position is higher than the rate to lend cash using securities as collateral. ...
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0answers
44 views

how to calibrate hull white model

Under the hull white model, I know that $\theta(t)$ is earned from the cubic spline curve of the treasury yield curve. But I don't know how to calibrate volatility and mean reverting speed parameter. ...
0
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0answers
48 views

Should risky gov't bonds be treated differently from riskless ones when it comes to risk computation?

If I were computing: YTM, DV01, OAS, Spread Duration for risk-free gov't bonds (eg, US Treasuries, German Gov't Bonds), and suddenly I'm adding risky gov't bonds to my portfolio, should the ...
0
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1answer
97 views

why the financing cost of a bond is repo?

In a repo transaction, the cash borrower pays an interest in repo rate for borrowing the cash. On the other hand, the cash lender gets a bond as collateral. In this transaction, it looks like the ...
0
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1answer
61 views

what is the underling of treasury bond future contracts? and what determine/drives bond future's theoretical/market prices? [duplicate]

Am I right that the underlying is a basket of deliverable bonds? If this is the case, how is the bond future prices actually determined? If there was only one bond in the deliverable set, the bond ...
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0answers
26 views

Bond Data on UK corporate

I have got data from FRED on Moody's Seasoned Aaa Corporate Bond Yield. Does anyone know where I can get such UK data on this? If not, would using exchange rates and the interest rate parity theorem ...
1
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1answer
63 views

Macaulay's Duration with Zero Rates

The definition of Macaulay's Duration is the weighted average maturity of cash flows and is calculated as- $$D_{mac}=\frac{\sum_ttPV(C_t)}{V}$$ where $PV(C_t)$ is the present value of the cash flow ...
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0answers
53 views

How to determine the default probability of a county in a bond that is not in its native currency?

Disclaimer: This post is cross posted in here also. Consider the following case: Country P uses the currency Euro and gives p percent interest on a one year bond issued in Euro. Country Q uses the ...
1
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1answer
46 views

Using DayCounter ActualActual.ISMA in QuantLib

Suppose we have a semiannual coupon bond. The calculation date is 5/8 2017. The ex-coupon date is 4/20 2017 and next coupon date is 10/20 2017. ...
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0answers
38 views

How to find the maximum clean price during lifetime of a bond

I'm trying to find a solution to following question: If I'm buying a bond and assume an upward sloping yield curve, than this bond will (under certain circumstances) experience price gains during his ...
-2
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1answer
70 views

Derivative of Time Value of Money by time [closed]

I'm struggling with a (probably very simple) problem. What i like to do is the following: Lets assume we got a bullet bond (no calls, etc) which is currently trading above par. Under the assumption ...
0
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1answer
81 views

Accrued Interest on a bond [closed]

If I were to price a bond on one of its coupon payment days, does that day's coupon payment gets added to the cashflows, if so, do we just discount that by 1 (same day)? ie, C1*df1 + C2*df2 + ... ...
1
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2answers
111 views

Corporate Bond Yield Curve

I am an intern in a mutual fund and they have asked me to create in house yield curve for different type bonds in their portfolio I need to know on what basis are different yield curves made. For ...
2
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1answer
43 views

Optimal number of nodes for binomial lattice?

Let's suppose one is valuing a Euro call on a ZCB in a Black-Derman-Toy lattice. How many nodes/levels of discretization are optimal? Obviously too many creates computational issues and too few ...
2
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4answers
131 views

Intuitively, why does liquidity premium contribute to bond yield?

According to the Wikipedia, "The upwards-curving component of the interest yield can be explained by the liquidity premium... Liquidity risk premiums are recommended to be used with longer term ...
2
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1answer
46 views

duration hedging of illiquid bonds

Let's say that I have a totally illiquid 30Y bond that I want to hedge with short-dated bonds and that the market is liquid up to 10Y bonds. After 20 years, my 30Y bond will become a 10Y bond so I'll ...
0
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2answers
88 views

Bond Convexity and Maturity

What the reasoning for why bond convexity increases with maturity. Heuristic explanations are somewhat better as I would like a fundamental understanding. Also what causes a more convex bond to be ...
1
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2answers
188 views

Why is 'duration' not the same as 'spread duration' for risky bonds

For risky bonds, duration is defined as sensitivity of price due to change in underlying yield while spread duration is sensitivity of price due to change in the 'spread in yields to the ...
1
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3answers
59 views

Yield To Maturity calculations for risk-free vs risky bonds

For a risk-free bond such as a US treasury bond, the YTM would be solving for $r$ in the denominator of each ($\frac{coupon payment}{(1+r)^n})$ such that the total equals the given price. And such a ...
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0answers
69 views

Predicting bond auction result. Should I train separate models for different maturity in face of Data deficiency?

Problem Statement Trying to predict how bond auction result ( in terms of yield ) is different from its forecast (the when-issued yield ). More info:http://www.mortgagenewsdaily.com/mortgage_rates/...
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0answers
42 views

Cashflows of Inflation linked bond

could somebody tell me how could I use the given current bond price =120 to solve this question. No information about the bond inception date is given, I wonder how could we calculate the cashflows? ...
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0answers
46 views

Should we use total return or OAS when comparing different bonds?

When comparing different bonds, for example corporate bonds and Treasuries, should we use total return or Option Adjusted Spread if we want to know one's return advantage over another? Some say ...
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0answers
61 views

How to calculate bond equivalent Yield of treasury strips using Quantlib?

I'm trying to calculate the bond equivalent yield of a zero coupon treasury strip with a quoted yield of 2.4162%. I've tried the following code and get 2.4424% but Bloomberg is reporting a Treasury ...
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0answers
30 views

Why do a fixed coupon bond term-sheet sometimes feature a day count convention even if it is not used when computing the cash flows?

Some fixed coupon bond term-sheets can feature a day count convention even if that day count convention is not used when determining the cash flows generated by the bond. This is for instance the ...
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0answers
90 views

How to estimate theta in the Ho-Lee model using the yield curve?

I know theta must be estimated piecewise-analytically based on the interpolation scheme of the yield curve. I have to start with theta(0) and calibrate it fitting the Ho-Lee price of the bond to the ...
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0answers
82 views

Yield curve estimaton using linear regression

Assuming that there are not any zero coupon bonds in the market, then someone has to use the prices of regular bonds with same maturity and characteristics (risk,issue etc.) to obtain the yield curve. ...
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0answers
26 views

Bond data: finding a suitable outlier detection method

Me and my team has recently bought access to market data for sovereign bonds from Latin America countries. We are interested in finding a suitable outlier detection method to detect eventual errors in ...
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1answer
360 views

Generic bond yields

I was looking on historical sovereign bond yields for a project. I was wondering what is meant by "generic bond yields" mentioned on bloomberg. Somewhere else i found data about the same country but ...
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0answers
27 views

How to value a convertible bond with a one-time callable option embedded

I'm looking at a product (sold by a bank for 11 dollars) which converts to a share of a separate company after 1 year, but gives the bank the one-time option to call the note back after 6 months (for $...
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0answers
138 views

What is the forward price of a bond 18 months from today?

What is the formula to compute the forward price of a bond 18 months from now? I have the following data: ...
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0answers
103 views

AAA BAA UK corporate bond data?

I have seen lots of examples of US data on corporate bonds. However, I was wondering if there was a UK equivalent of the Moodys AAA, BAA spread.