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.
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Bond indices : where to find yields and asset swap spreads by rating and average duration?
I am looking for alternatives or relatively similar information about historical data for yields and/or asset swap spreads for bond indices in major currency. I would like to gather the info by rating ...
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Is this linear interpolation for clean bond price an approximation?
Consider the attached discussion from Berk and Demarzo's Corporate Finance.
I am confused about the calculation of a bond's "clean price". It seems that the procedure described above seems ...
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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 ...
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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}...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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....
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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 ...
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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 ...
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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,
...
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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 ...
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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 ...
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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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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 ...
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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!
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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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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 ...
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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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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\...
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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 ...
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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 ...
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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 ...
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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 ...
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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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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 (...
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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:}&...
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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 ...
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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% ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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()...
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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 ...
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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]...
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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 ...
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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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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, ...
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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?
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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, ...
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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 ...
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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 ...
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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 ...
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