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.

Filter by
Sorted by
Tagged with
0 votes
1 answer
64 views

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 ...
0 votes
0 answers
22 views

government bond yields - source to download from [duplicate]

Is there a source from where I can directly download gov. bond yields of different countries? I don't want to search one by one country using different sources,Im looking for a website that publishes ...
0 votes
2 answers
46 views

Calculate combined return on corp. bond traded multiple times? [closed]

I hope this is an okay place to ask this: Case: Assume you find a corporate bond you want to invest in. You then invest in it below par several times over the years, and you also sell bits of your ...
  • 1
0 votes
1 answer
64 views

How to price PIK (paid-in-kind) coupon bond with option by the borrower to pay cash?

I'm trying to price a PIK coupon with an Embedded Option by the borrower to pay in cash. Without the Embedded Option, it is simply a zero-coupon bond paying Principal*(1 + coupon rate)^n at the end. ...
1 vote
0 answers
34 views

Comparative statics on $c/r$ using fundamental asset pricing equation

Consider the fundamental asset pricing equation for a perpetual coupon bond: $$rP = c + \mu P' + \sigma^2/2 P''$$ with standard boundary conditions $P(\bar x) = \bar x$ and $\underset{x\rightarrow \...
  • 307
2 votes
1 answer
70 views

Definition of continuously compounded yield for perpetual defaultable coupon bond

In continuous-time asset pricing, the price of a defaultable perpetual coupon bond is given by $$P(V) = \frac{c}{r}\left[ 1- \left(\frac{V}{V_b}\right)^{-\gamma}\right] + (1-\alpha)V_b \left(\frac{V}{...
  • 307
0 votes
0 answers
33 views

Accrued Interest and Forward Pricing of Bond with Quantlib

I'm working on a forward bond pricing engine so i can either calulate the repo rate, or the forward price of the operation. I'm using bloomberg as a reference to see if my values are right. First ...
2 votes
3 answers
611 views

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 ...
  • 21
0 votes
1 answer
57 views

Is there any way to get cashflow amount including cashflow date in QuantLib?

...
0 votes
1 answer
87 views

Business day convention in fixed income

I have a question regarding the business day convention. Suppose I have a bond that matures on the 17th of September 2023 and pays an annual coupon of $1%$. It has a $30/360$ day-count convention and ...
  • 71
0 votes
2 answers
99 views

Are risk-free-rate bonds and cash fungible?

I had a thought experiment: suppose you wanted to borrow an equity security from me (perhaps to short sell it). I ask you for collateral and a borrow fee, and in exchange you get the stock. If you ...
  • 177
1 vote
0 answers
81 views

Stripped treasury bond prices

I saw this paragraph in the SHV prospectus The Underlying Index is market valueweighted based on amounts outstanding of issuances consisting of publicly issued U.S. Treasury securities that have a ...
0 votes
1 answer
58 views

how to add redemptions to amortizing floating bond in dates that are not coupon dates

How can I in QuantLib add redemptions to a AmortizingFloatingRateBond that follow in dates outside the Bond Schedule? ...
1 vote
2 answers
105 views

Bond forward arbitrage relationships

I am trying to see if the following statement is true or not and I would really appreciate your help. The statement is as follows: $\forall $ Tradable Asset $V(t)$, $$ E[\frac{P(t,T_{i})P(T_{i},T_{i+1}...
  • 237
0 votes
1 answer
92 views

Negative Accrued for treasury bonds?

I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
1 vote
0 answers
52 views

Modified Duration as interest risk [closed]

I am new to bond pricing and I am studying the sensitivity measures of a bond (with discrete compounding) and even though I understand the mathematical concepts of modified duration and convexity ...
user avatar
0 votes
1 answer
156 views

Convexity adjustment doubt

So this the question and the answer to the first one states that only the 5 year swap rate will be adjusted for convexity and the answer to the second one states that neither of the rates will be ...
0 votes
1 answer
191 views

Calculate Bond Price knowing Z-Spread

From my point of view, to calculate the price of a bond, we just need to add the discounted cash flows. The discount factor calculation is as follows: In my theory knowing the z-spread of a bond I ...
2 votes
1 answer
47 views

Efficient encoding technique for credit ratings

Is there any categorical encoding technique for credit ratings that take into account the kind of non linear nature of the notches of the credit ratings? The literature standard is the ordinal one ...
0 votes
0 answers
33 views

Why do bonds with a shorter next call dates have shorter extension risk?

I was reading a research article and I'm not really understanding why. Is it to do with the option premium being priced in at the beginning?
-1 votes
1 answer
124 views

Why is carry divided by DV01 to scale it?

If I understand correctly, 6M carry in a fixed-floating interest rate swap should be the difference between the fixed and floating leg. When I read this on Page 2: https://corporate.nordea.com/api/...
0 votes
0 answers
69 views

Treasury Bond Clean Price - Quantlib

The clean price of the Treasury 10 year bond on 6/30/22 is 98.8046 according to Bloomberg. The settlement day for treasury bonds is 1 day. I think this still means the clean price of bond is 98.8046 ...
0 votes
0 answers
59 views

Is there a Bloomberg field for bonds that captures the coupon payment amount for a particular day?

For a bond, I want to know what the coupon payment amount would have been made (for today or any specific day) based on the payment schedule. Is there a bloomberg/bpipe field that would return that ...
1 vote
0 answers
64 views

Tree Pricing FRN Implementation

When pricing a bond via a short rate model on a tree, it seems natural to include intermediate time steps in addition to those corresponding to cashflow dates (i.e. for bonds with American style ...
  • 11
2 votes
0 answers
44 views

high coupon and low coupon treasury

for treasury off the run bonds, in general, does the market prefer high coupon or low coupon bonds ? How about for credit bonds ?
  • 674
0 votes
1 answer
121 views

Can a Bond have FX Delta Risk?

Given we know the Notional Trade Price Currency in which the Bond Pays Coupons FX Rate from Bond Currency to USD Trying to understand if a Bond can have FX Delta Risk and how it should be computed?
  • 103
1 vote
0 answers
26 views

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. ...
0 votes
1 answer
163 views

Is it possible to have negative Z-spread for a corporate bond?

I have a 2 year maturity AA rated US corporate bonds, and I found that it has negative Z-spread, -0.00053. Does it make sense or it's wrong?
0 votes
0 answers
33 views

How does purchase price come into treasury future settlement?

The settlement procedures for US Treasury futures on CME state that the invoice price is determined using the future's settlement price, and then longs pay the invoice price to shorts who deliver the ...
  • 1
1 vote
1 answer
107 views

Why did Ginnie Mae MBS Net issuance decrease significantly in 2020-2021?

Net Issuance of Agency MBS can be thought of as driven by Existing Home Sales, New Home Sales, Cash out Refis, Amortization and Non-Agency MBS runoff. Based on this definition of net issuance, is ...
0 votes
1 answer
78 views

How to calculate corporate bonds Z spreads having yield to maturities and knowing that they pay annual fixed coupons?

I have three corporate bonds with maturities 2,3 and 5 years. They pay annual fixed coupons. I know their yield to maturities. How to compute their z spreads?
1 vote
0 answers
57 views

How to calculate the gaussian VaR for a portfolio with 3 corporate bonds and 1 IRS payer?

As data I have the daily change of zero coupon spot rates for some vertex (0.25, 0.5, 1, 2..) and the daily change of z-spread for corporate bonds, also by vertex
2 votes
0 answers
49 views

The price of liquidity

We are currently in the US Treasury roll period when investors are rolling from the previously issued notes and bonds into the currently issued notes and bonds, aka "Rolling from Off-The-Runs to ...
  • 5,477
0 votes
0 answers
78 views

short rate, yield curve and zero-coupon bond price formula under CIR mode: How to calibrate the market price of risk

I recently read a document posted by a user in QF, who said that "In the past, I have calibrated simple short rate models to the term structure by using maximum likelihood to get the parameters ...
  • 409
1 vote
1 answer
132 views

Treasury futures wild card option (Monte carlo simulation)

I recently joined a bulge bracket bank in New York City trading the long-end but mostly doing a lot of analysis until I get up to speed. I'm working on the Wildcard model which is going to be an ...
1 vote
0 answers
52 views

Is there a closed form solution to the following system of SDEs?

Suppose we have the system \begin{align} dr_t=\alpha_r(x_t-r_t)dt+\sigma_rdW_t^r\\ dx_t=\alpha_x(\bar{x}-x_t)dt+\sigma_xdW_t^x\\ \end{align} As this system is affine, I believe there should be an easy ...
  • 123
2 votes
2 answers
138 views

How to calculate the yield of a perpetual bond that pays a floating coupon payment?

I know that perpetual bonds are becoming a rare phenomenon and that ones that pay a variable coupon are even rarer. However, I believe that there are such bonds out there, and I'm hoping that someone ...
  • 403
1 vote
1 answer
102 views

How to break down yield to maturity to different components?

Suppose we have the PV of a bond, as well as two separate streams of cash flows, say, $C_a$ and $C_b$ that make up the total annual cash flows $C$ (i.e. $C=C_a+C_b$). In other words, suppose we have, \...
  • 123
-1 votes
1 answer
147 views

How can I optimize a Bond Portfolio in Practice?

I'd like to optimize a bond portfolio with different bond classes (government bonds, corporates, ...) and different ratings as well as maturities. Is this even possible to optimize such a portfolio? ...
0 votes
1 answer
46 views

Bond Discounting Error With QuantLib

I have a list of bond coupons, their maturities and their current price. I want to find their corresponding discount factors. The code I have used is from the QuantLib cookbook, attached below: ...
0 votes
0 answers
41 views

Jarrow and Turnbull (1997) Discrete time forward rate confusion

I'm reading Jarrow and Turnbull (1997). They defined $p(t,T)$ as the time $t$ price of a default free zero coupon bond paying a sure dollar at time $T$ where $0\le t \le T$ (in year). They also ...
  • 103
1 vote
0 answers
170 views

Can 2 unique Instruments have the same ISIN?

I always thought that 1 ISIN uniquely identifies 1 financial instrument. However, I have come across cases, where the same ISIN is used for a stock and a bond: ...
  • 1,142
1 vote
1 answer
64 views

Does a bond pay a coupon at maturity? [closed]

I know a bond pays an annuity cashflow of coupon payments and then at maturity it pays the face value. But, at maturity, does it pay an additional coupon payment on top of the face value or are we ...
  • 11
0 votes
0 answers
82 views

Simple bond math calculation - Quantlib

I am reconciling a dirty price calculation using quantlib and I am having difficulty getting the same dirty price manually. I am confident it is used to the day count convention but I've tripled ...
  • 21
0 votes
2 answers
60 views

Between these bonds, how to find out which is one pricey (Higher valuation) and cheap (Lower valuation)?

Trying to understand, how to find out which of these bonds are cheap and which are expensive? The current spot rate is 8.167%. How do I go about finding the cheap vs expensive bonds especially when ...
  • 117
0 votes
0 answers
14 views

Finding Asset-backed Security Prospectuses in EDGAR

Currently, I'm trying to find prospectus on more esoteric types of asset-backed securities, such as those backed by various equipment so I that I can learn about how to model/structure such types of ...
  • 41
0 votes
0 answers
58 views

Bootstrapping when cashflows are irregular

EDIT: this question was previously closed because it was 'assumed that it should be common knowledge'. I advise you to READ THE QUESTION PROPERLY and you will find out is is NOT common knowledge at ...
  • 23
0 votes
1 answer
127 views

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

Given that the price of market risk (or market price of interest rate risk) is $\lambda(r_t, t)=0$ and that we have the following dynamics of the interest rate (under the physical measure $P$. $$dr_t =...
  • 359
0 votes
1 answer
130 views

Spot rate dominates the yield to maturity if the yield curve is normal

Let $y_{k}$ denote the yield-to-maturity of a $k$-period coupon bond. Let $S(k)$ denote the $k$-th period spot rate. If $y_{1}<y_{2}<y_{3}<\cdots$, then $S(k)\geq y_{k}$ for all $k\in \mathbb{...
0 votes
0 answers
46 views

What is the standard bond stripping approach?

Suppose that the discounted payoff of an index-based cat bond with binary payoff, trigger level $Y$, risk exposure period until $T$, coupon payment $c$, maturing at time $T^\prime$, and nominal value ...
  • 409

1
2 3 4 5
13