Questions tagged [bond]
A bond is a fixed-income instrument generating cash flows at some specific dates in the futures. These cash-flows depend on the interest rate of the bond, which can either be fixed or variable. It is a debt instrument acting as a loan made from the buyer to the seller.
668
questions
1
vote
1
answer
31
views
Where to look for data on bonds? [duplicate]
Greetings I am looking for data on bonds. When I go into Yahoo Finance and I type in F for Ford it does not bring up anything about bonds just like that other website(firna) it goes straight to stock ...
- 11
0
votes
0
answers
40
views
Is there a relationship formula between Bond YTM, ZSpread ( to OIS ) and OIS rate?
It seems to me that :
$$\begin{aligned}
P_{Dirty} &= \sum_i(\text{cashflow}_i * \exp( - \text{yield} * t_i ) ) \\
&= \sum_i( \text{cashflow}_i * \exp( - ( \text{OIS}...
- 1
0
votes
0
answers
28
views
Downloading historic yield curve data from bloomberg [closed]
I am a PhD student and I have a couple of problems:
I want to get the US yield curve but I don't know which curve I need.
Once I have identified the curve, I want to download historic data for it.
I ...
- 452
0
votes
2
answers
58
views
Difference in interpretation between credit ratings from different agencies
i got this question at work from a client and my answer was not satisfying so here I am.
if i have a portfolio of corporate bonds and govies, i collect all credit ratings from BBG terminal and by ...
0
votes
0
answers
58
views
How do you interpret the portfolio DV01?
I am having trouble understanding the active dv01 of a portfolio? If the active dv01 of a portfolio
is -10,000, what does that mean, all else equal? And what are different ways of increasing dv01 of a ...
0
votes
0
answers
16
views
Barrier Reverse Convertible on interest rate
I'm trying to find the price of an barrier reverse convertible on interest rate - https://structuredproducts-ch.leonteq.com/isin/CH1251797945. I have simulated the underlying interest rate by Vasicek ...
1
vote
0
answers
21
views
I am trying to compute the the tail of a future roll using the ratio of forward dv01
I am trying to compute the the tail of a future roll using the ratio of forward dv01, per the link CME: Calendar Spreads with Tails : I am trying to compute the the tail of a future roll using the ...
- 11
1
vote
0
answers
36
views
Can I use Nielson Siegel to 'interpolate' par yield
The NS model initially set a parametric form for forwards and we can get equivalent zero rates. If I have a few par yields, can I simply fit the par yields to the NS form or the NS form of the zero ...
- 91
0
votes
0
answers
83
views
Bond future's roll (and other rolls)
I am missing some intuition on the above subject. Say I am long CTD basis (I.e. short futures):
I may opt to hold onto my position till last delivery for many reasons, say switch, wildcard etc. Why ...
- 361
1
vote
2
answers
119
views
TBA - what is and isn't a TBA? (help please)
this is probably a naming issue - but i am totally confused as the documentation is never clear. I understand well what a generic TBA is, what is a "STIP"? is it also a form of TBA? One doc ...
- 21
3
votes
0
answers
64
views
True or false: roll-down return is negative when a bond is trading at a premium
These three sources all say that the bond roll-down effect is negative if the bond is trading at a premium:
https://www.investopedia.com/terms/r/rolldownreturn.asp
https://corporatefinanceinstitute....
- 31
0
votes
1
answer
215
views
Repo/Fwd/Spot/Bond Futures
I have a slight confusion with regards to what price the repo rate impacts.
Assume the repo for a particular bond richens. My current thought process is, spot should also richen (as now that bond ...
- 21
0
votes
0
answers
59
views
Is there another method besides DCF to evaluate a fixed-rate bond?
I am a beginner who recently found a job in the FICC sector. My superior gave me this question to think about: 'We have a bond with a 5% coupon rate and a maturity of 10 years, and the discount rate ...
- 11
1
vote
0
answers
32
views
Term structure building for credit risky bonds
I am trying to understand how, in practice, bonds (from simple corporate bonds to structured products like CDOs, ABS, MBS, etc.) are valued and marked to market.
-For corporate bonds,
...
- 33
0
votes
0
answers
37
views
Spot vs fwd bond
Slight confusion here; say I am long a 10y bond and short the same bond 3m fwd.
Roughly over 3m I earn:
Carry on my spot pos = 3m9.75y yield - 10y yield.
Roll on my spot = 10y yield - 9.75 yield
Total ...
- 361
1
vote
1
answer
69
views
PV different from Dirty Price in QuantLib
As far as I understand, dirty price is the sum of clean price and accrued amount and should be equal to the Present Value (PV) of a bond at a certain yield rate. However, I can't replicate this ...
0
votes
0
answers
77
views
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.
1
vote
2
answers
710
views
Repo impact on Bond Future Basis
I wanted to check my understanding on something. Say bond A (deliverable, but not CTD) goes special (from GC) at some point. What can we say about how its basis should behave?
A. Firstly the bond ...
- 21
0
votes
0
answers
35
views
How to compute Bloomberg T-Bill yield in BXT? [duplicate]
could any kind soul explain how are the Discount and Yield computed? Also, do they refer to “Discount Yield (daycount Act/360)” and “Yield (daycount Act/365)” respectively? Thank you!
0
votes
2
answers
461
views
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, ...
- 101
0
votes
0
answers
152
views
Bond Carry calculation
I had a couple of questions about carry:
$-Carry for a bond: Coupon Income - Financing Costs, if I want to convert this to bps running, would I just divide by the fwd Dv01?
My understanding is, the ...
- 21
0
votes
2
answers
150
views
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 &...
- 111
1
vote
0
answers
40
views
How can a bond price that follows an Ito process possably have value 1 at maturity? [closed]
Consider the HJM model for instance. According to Wikipedia, the price $P(t,T)$ of a ZCB at time $t$ with maturity time $T$ is of the form
$$
{\displaystyle {\frac {dP(t,T)}{P(t,T)}}=\mu\left(t,T\...
- 61
0
votes
1
answer
176
views
Bond RV YTM vs maturity or YTM vs duration
I was reading some material online - seems to be a mixed bag of people who analyse yields vs maturity and yields vs duration.
To me, looking at yield vs maturity is slightly misleading - as, for a ...
- 21
0
votes
0
answers
55
views
Coupon/Financing adjustments to bond prices
I have seen similar questions asked although didn't really understand the answers. If i have bonds of similar duration why is it problematic for me to adjust for coupon differentials and for financing ...
- 21
0
votes
1
answer
206
views
Relative Value and Z-spreads
I wanted to understand how I can use Z-spreads in the context of gov bond RV.
I understand how to compute Z-spreads although I am having some trouble interpreting the meaning. I am solving for the ...
- 21
0
votes
0
answers
71
views
UST bootstrapping (coupon bearing or strips)
how common is it to use the US STRIP market directly to bootstrap a par yield curve? I am having quite a few problems using cubic (peicewise) splines on coupon bearing yield curve, but I see a fair ...
- 21
2
votes
1
answer
478
views
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 <...
- 158
1
vote
2
answers
322
views
Different maturities but same tenor to obtain the yield
My question is in regards to obtaining the yield of a specific tenor at any date (for example, when constructing the yield curve). For example, when calculating the yield for a specific zero-coupon (...
- 21
3
votes
0
answers
104
views
How to calculate spot rates using market data of bonds?
Given 3 Bonds $A$, $B$ and $C$ with
\begin{matrix}
& \text{Bond } A& \text{Bond } B& \text{Bond } C& \\
\text{Price:}& 101,12\%& 99,03\%& 102,95\%\\
\text{Mat. in years:}&...
- 195
0
votes
0
answers
67
views
Bond approximations
I was wondering where a couple of bond math approximations came from (aside from just 'feel'):
Pull to par impact:
I've seen this as (Coupon - YTM) / Yrs to Maturity which is approximately the ...
- 21
2
votes
1
answer
74
views
How to calculate accrued interest for a reverse floater?
I was looking at an example from my lecture notes regarding a reverse floater. We have the following data (We use the Act/365 convention):
Nominal value: 1000 EUR
Maturity: 14.04.2026
Coupon: 4,5% ...
- 195
2
votes
1
answer
97
views
Credit Spread Replication by Long/ Short Bonds
I am trying to derive the credit spread using an hypothetical portfolio of a long corporate bond plus a short treasury bond, which have the exact cashflows. I should be able to get the credit spread ...
2
votes
1
answer
238
views
Incorporating the I-Spread and Parallel Shift for Accurate Bond Pricing
I am currently working on pricing bonds and intend to utilize the S490 curve sourced from Bloomberg. This curve is constructed exclusively using swap rates. However, I have encountered challenges when ...
- 333
1
vote
0
answers
130
views
Total Return on Bond [closed]
I'm trying to calculate the total return (in %) on a 9% coupon 20-year bond with the following assumptions:
reinvestment rate of 6% annually (3% every six months)
terminal yield of 12% (semiannual ...
- 11
2
votes
1
answer
132
views
Days to settlement for US corporate bonds
This question may be not be very relevant to quantitative finance, but I guess fixed-income modellers may encounter this some time as well.
The question is about the days to settlement for US ...
- 178
1
vote
0
answers
101
views
Gross Basis - Bond Futures
Just want to confirm - Gross Basis for Bond A, deliverable into a Future:
Gross Basis [A] = Clean Price [A] - Futures Price x CF [A]
where CF [A] = Conversion factor of Bond A.
Is this due to:
Gross ...
- 31
0
votes
1
answer
103
views
QuantLib FixedRateLeg cashflow date shifting issue with Unadjusted convention
I'm using the QuantLib library in Python to generate a payment schedule and cashflows for a fixed-rate bond. I added a holiday to the calendar and used the ql.Unadjusted convention in the ql.Schedule()...
- 47
3
votes
1
answer
701
views
Parameters in Nelson-Siegel model and Nelson-Siegel-Svensson model
I am trying to determine the parameters for the Nelson Siegel and Nelson Siegel Svensson model and try to solve
SE=$\sum_{i=1}^{n_{i}}(y_{t_{i}}-\hat{y}_{t_{i}}(X))^{2}$
where $y_{t_{i}}$ denotes the ...
- 77
0
votes
1
answer
77
views
forward rate/zero coupon [closed]
We have an asset with the price process $S_t$, $0\leq t\leq T$
Further we have a zero coupon bond, and the price of it at time $t$ is denoted by $P(t,T)$ (with payoff 1 at time T). Let $F_{(t, T )}[S]...
- 105
2
votes
0
answers
170
views
Futures basis (Bond) optimal delivery
i have a confusion regarding how the basis converges in a couple of scenarios. Lets assume I am long UST CTD Basis
Say the curve is upward sloping:
optimally, i would choose to make delivery of the ...
- 31
2
votes
1
answer
195
views
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 ...
- 179
1
vote
1
answer
178
views
How to calculate returns for interest rate futures
Say we have the active German government bond future, RXH3 and we wanted to calculate a series of returns for the active contract.
Would we calculate returns on the daily price difference? And if so, ...
- 59
0
votes
0
answers
36
views
what is the problem of using asset swap spread to compare bonds
people use asset swap spread to compare bond relative values (rich/cheap).
is there a known issues or anything that needs to be aware of when using swap spread to compare relative value of bonds?
- 736
2
votes
1
answer
196
views
Questions about the replicating portfolio in the binomial model
I'm starting to teach myself quantitative finance and I've got several questions (marked in bold) regarding the replicating portfolio of a security in the binomial model. I'm following, among others, ...
- 131
0
votes
0
answers
94
views
Pricing the embedded option in a callable floating rate note
From my understanding, I know that we can decompose a long callable bond into a long vanilla bond and short receiver swaption. However, I do not understand, how could I separate or calculate the ...
- 21
0
votes
1
answer
82
views
Can one compute the total return of a fixed-rate bond without having the coupon? [duplicate]
Say that I have a historical series of yields and no coupon data because these yields come from a generic government bond, hence an constant maturity interpolation.
How would I go about computing the ...
- 59
1
vote
1
answer
112
views
Basic question/clarification about the LOOP
This is a very basic question/comment regarding the way that the LOOP is stated in the book "Dan Stefanica - A Primer for the Mathematics of Financial Engineering". The proposition goes as ...
- 131
1
vote
0
answers
172
views
Why is Bloomberg showing difference yields than US Dept of Treasury
I am using historical 30yr US treasury rates for a project. When I downloaded the rates from Bloomberg by queuing the history of the USGG30YR index, I found the numbers different from what US ...
- 31
0
votes
1
answer
120
views
How to construct a forward exposure portfolio with bonds?
I was asked in an interview to get an exposure to 5Y5Y forward rate using bonds alone. Essentially it is short 5Y bond and long 10Y bond, and I needed to compute the relative weights. Regarding risk:
...
- 1